# EDGAR Filing Document

**Accession Number:** 0001612930
**File Stem:** 0001193125-25-335126
**Filing Date:** 2025-12
**Character Count:** 593939
**Document Hash:** 97efc501557e050b17607c38fe916b7e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-335126.hdr.sgml**: 20251229

**ACCESSION NUMBER**: 0001193125-25-335126

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251229

**DATE AS OF CHANGE**: 20251229

**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:** 251608329

**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** |
| **October 31, 2025 (Unaudited)** | **October 31, 2025 (Unaudited)** | **October 31, 2025 (Unaudited)** |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - 46.1%** | **Par** | **Value**  |
|  Adjustable Rate Mortgage Trust Series 2007-2, Class 1A21, 4.88%, 06/25/2037 <sup>(a)</sup> | $1467751 | $1222519 |
| American Home Mortgage Assets LLC | American Home Mortgage Assets LLC | American Home Mortgage Assets LLC |
| &nbsp;&nbsp; Series 2006-1, Class XC, 0.01%, 05/25/2046 <sup>(a)(b)</sup> | 12706151 | 106859 |
| &nbsp;&nbsp; Series 2006-6, Class XP, 0.04%, 12/25/2046 <sup>(a)(b)</sup> | 46890286 | 372215 |
| &nbsp;&nbsp; Series 2007-5, Class XP, 0.06%, 06/25/2047 <sup>(a)(b)</sup> | 11303634 | 133858 |
|  American Home Mortgage Investment Trust Series 2006-3, Class 22A1, 6.04% (6 mo. Term SOFR + 2.18%), 12/25/2036, (11.57% Cap) <sup>(c)</sup> | 2913753 | 2489507 |
|  AMSR Trust Series 2023-SFR1, Class C, 4.00%, 04/17/2040 <sup>(d)</sup> | 1000000 | 969187 |
|  Arroyo Mortgage Trust Series 2022-1, Class M1, 3.65%, 12/25/2056 <sup>(d)</sup> | 2000000 | 1622058 |
| ATLX Trust | ATLX Trust | ATLX Trust |
| &nbsp;&nbsp; Series 2024-RPL1, Class A2, 4.41%, 04/25/2064 <sup>(a)(d)</sup> | 3000000 | 2937852 |
| &nbsp;&nbsp; Series 2024-RPL1, Class M1, 4.41%, 04/25/2064 <sup>(a)(d)</sup> | 3500000 | 3374025 |
|  ATLXM Trust Series 2024-RPL2, Class M1, 3.85%, 04/25/2063 <sup>(a)(d)</sup> | 10000000 | 9454590 |
|  Banc of America Alternative Loan Trust Series 2006-9, Class 30PO, 0.00%, 01/25/2037 <sup>(e)</sup> | 114786 | 65100 |
| Banc of America Funding Corp. | Banc of America Funding Corp. | Banc of America Funding Corp. |
| &nbsp;&nbsp; Series 2007-2, Class 1A16, 4.71% (1 mo. Term SOFR + 0.71%), 03/25/2037, (6.00% Cap) | 1872316 | 1390131 |
| &nbsp;&nbsp; Series 2007-8, Class 2A1, 7.00%, 10/25/2037 <sup>(c)</sup> | 2722276 | 2152354 |
| &nbsp;&nbsp; Series 2007-A, Class 2A2, 4.57% (1 mo. Term SOFR + 0.53%), 02/20/2047, (10.50% Cap) | 595632 | 530452 |
| &nbsp;&nbsp; Series 2007-C, Class 7A4, 4.59% (1 mo. Term SOFR + 0.55%), 05/20/2047 <sup>(c)</sup> | 1510765 | 1416920 |
| &nbsp;&nbsp; Series 2014-R1, Class A2, 3.68% (1 mo. LIBOR US + 0.15%), 06/26/2037 <sup>(c)(d)(f)</sup> | 3332827 | 3231806 |
|  Barclays Mortgage Loan Trust Series 2021-NQM1, Class A1, 1.75%, 09/25/2051 <sup>(a)(d)</sup> | 1820347 | 1665455 |
|  Bayview Financial Acquisition Trust Series 2005-D, Class APO, 0.00%, 12/28/2035 <sup>(e)</sup> | 119218 | 97128 |
|  BCAP LLC Trust Series 2013-RR1, Class 6A2, 4.64%, 05/26/2036 <sup>(a)(d)</sup> | 2621763 | 1658787 |
|  Bear Stearns Adjustable Rate Mortgage Trust Series 2005-6, Class 1A1, 4.89%, 08/25/2035 <sup>(a)</sup> | 1063696 | 923403 |
|  Bear Stearns Asset Backed Securities Trust Series 2005-AC5, Class 1A2, 5.11% (1 mo. Term SOFR + 1.11%), 08/25/2035, (5.50% Cap) | 1042804 | 691466 |
| Bellemeade Re Ltd. | Bellemeade Re Ltd. | Bellemeade Re Ltd. |
| &nbsp;&nbsp; Series 2023-1, Class B1, 10.88% (30 day avg SOFR US + 6.70%), 10/25/2033 <sup>(d)</sup> | 538000 | 574411 |
| &nbsp;&nbsp; Series 2023-1, Class M1B, 8.43% (30 day avg SOFR US + 4.25%), 10/25/2033 <sup>(d)</sup> | 6200000 | 6362607 |
| &nbsp;&nbsp; Series 2024-1, Class M1C, 8.13% (30 day avg SOFR US + 3.95%), 08/25/2034 <sup>(d)</sup> | 5430000 | 5553500 |
| &nbsp;&nbsp; Series 2024-1, Class M2, 8.78% (30 day avg SOFR US + 4.60%), 08/25/2034 <sup>(d)</sup> | 1000000 | 1036729 |
|  Boston Lending Trust Series 2021-1, Class A, 2.00%, 07/25/2061 <sup>(a)(d)</sup> | 3405172 | 3266428 |
| BRAVO Residential Funding Trust | BRAVO Residential Funding Trust | BRAVO Residential Funding Trust |
| &nbsp;&nbsp; Series 2021-NQM3, Class A2, 1.85%, 04/25/2060 <sup>(a)(d)</sup> | 1448792 | 1363489 |
| &nbsp;&nbsp; Series 2024-NQM4, Class A2, 4.35%, 01/25/2060 <sup>(d)(g)</sup> | 1316880 | 1301284 |
| &nbsp;&nbsp; Series 2024-NQM4, Class A3, 4.35%, 01/25/2060 <sup>(d)(g)</sup> | 4987725 | 4941998 |
| &nbsp;&nbsp; Series 2024-NQM8, Class A2, 4.30%, 08/01/2053 <sup>(d)(g)</sup> | 1820385 | 1793333 |
|  Builder Capital Loan Acquisition Trust Series 2024-NPL1, Class A1B, 9.00%, 09/25/2029 <sup>(d)(g)</sup> | 10092000 | 10051632 |
| Cascade Funding Mortgage Trust | Cascade Funding Mortgage Trust | Cascade Funding Mortgage Trust |
| &nbsp;&nbsp; Series 2024-NR1, Class A1, 6.41%, 11/25/2029 <sup>(d)(g)</sup> | 5377880 | 5436940 |
| &nbsp;&nbsp; Series 2024-R1, Class M1, 4.00%, 10/25/2054 <sup>(d)(g)</sup> | 1500000 | 1419078 |
|  Cascade MH Asset Trust Series 2021-MH1, Class B3, 7.69%, 02/25/2046 <sup>(a)(d)</sup> | 3000000 | 2767104 |
| CC Funding Corp. | CC Funding Corp. | CC Funding Corp. |
| &nbsp;&nbsp; Series 2005-4A, Class NIO, 0.41%, 04/25/2037 <sup>(a)(b)(d)</sup> | 13904147 | 177959 |
| &nbsp;&nbsp; Series 2006-1A, Class A1, 4.26% (1 mo. Term SOFR + 0.26%), 12/25/2046 <sup>(c)(d)</sup> | 2419990 | 2295346 |
| &nbsp;&nbsp; Series 2006-2A, Class A1, 4.24% (1 mo. Term SOFR + 0.24%), 04/25/2047 <sup>(c)(d)</sup> | 7324246 | 6779249 |
| &nbsp;&nbsp; Series 2006-4A, Class A2, 4.29% (1 mo. Term SOFR + 0.29%), 11/25/2047 <sup>(c)(d)</sup> | 2825707 | 2400885 |
| Chase Mortgage Finance Corp. | Chase Mortgage Finance Corp. | Chase Mortgage Finance Corp. |
| &nbsp;&nbsp; Series 2021-CL1, Class B, 10.68% (30 day avg SOFR US + 6.50%), 02/25/2050 <sup>(d)</sup> | 2159000 | 2016638 |
| &nbsp;&nbsp; Series 2021-CL1, Class M3, 5.73% (30 day avg SOFR US + 1.55%), 02/25/2050 <sup>(d)</sup> | 1919159 | 1826111 |
| &nbsp;&nbsp; Series 2021-CL1, Class M4, 6.83% (30 day avg SOFR US + 2.65%), 02/25/2050 <sup>(d)</sup> | 1985371 | 1814800 |
| &nbsp;&nbsp; Series 2021-CL1, Class M5, 7.43% (30 day avg SOFR US + 3.25%), 02/25/2050 <sup>(d)</sup> | 794050 | 710779 |
|  Chaseflex Trust Series 2005-2, Class 5A6, 5.00%, 06/25/2035 | 1306327 | 752302 |
| CIM Trust | CIM Trust | CIM Trust |
| &nbsp;&nbsp; Series 2019-J1, Class B5, 3.91%, 08/25/2049 <sup>(a)(d)</sup> | 613000 | 405371 |
| &nbsp;&nbsp; Series 2021-J1, Class B4, 2.66%, 03/25/2051 <sup>(a)(d)</sup> | 1247161 | 674010 |
| &nbsp;&nbsp; Series 2021-J2, Class B4, 2.67%, 04/25/2051 <sup>(a)(d)</sup> | 1494749 | 845021 |
| &nbsp;&nbsp; Series 2021-J3, Class B4, 2.61%, 06/25/2051 <sup>(a)(d)</sup> | 1281000 | 629246 |
| &nbsp;&nbsp; Series 2022-R1, Class M3, 4.00%, 01/25/2061 <sup>(a)(d)</sup> | 7425000 | 6250335 |
| &nbsp;&nbsp; Series 2025-NR1, Class A1, 5.00%, 06/25/2064 <sup>(d)(g)</sup> | 3044431 | 3005170 |
| Citimortgage Alternative Loan Trust | Citimortgage Alternative Loan Trust | Citimortgage Alternative Loan Trust |
| &nbsp;&nbsp; Series 2006-A4, Class 1A3, 6.00%, 09/25/2036 <sup>(c)</sup> | 2409316 | 2154863 |
| &nbsp;&nbsp; Series 2006-A6, Class 1APO, 0.00%, 11/25/2036 <sup>(e)</sup> | 68381 | 37598 |
| &nbsp;&nbsp; Series 2006-A7, Class 1A1, 6.00%, 12/25/2036, (7.50% Cap) <sup>(a)(c)</sup> | 1577619 | 1392525 |
| &nbsp;&nbsp; Series 2006-A7, Class 1A9, 4.76% (1 mo. Term SOFR + 0.76%), 12/25/2036, (6.00% Cap) <sup>(c)</sup> | 3436193 | 2824502 |
| &nbsp;&nbsp; Series 2007-A3, Class 1A2, 4.71% (1 mo. Term SOFR + 0.71%), 03/25/2037, (6.00% Cap) <sup>(c)</sup> | 1773944 | 1432554 |
| &nbsp;&nbsp; Series 2007-A3, Class APO, 0.00%, 03/25/2037 <sup>(e)</sup> | 81761 | 43837 |
| &nbsp;&nbsp; Series 2007-A4, Class APO, 0.00%, 04/25/2037 <sup>(e)</sup> | 66555 | 36242 |
| &nbsp;&nbsp; Series 2007-A5, Class 1A3, 4.61% (1 mo. Term SOFR + 0.61%), 05/25/2037, (6.10% Cap) <sup>(c)</sup> | 2933408 | 2498688 |
|  CitiMortgage, Inc. Series 2005-2, Class 1APO, 0.00%, 03/25/2035 <sup>(e)</sup> | 27099 | 18891 |
| COLT Funding LLC | COLT Funding LLC | COLT Funding LLC |
| &nbsp;&nbsp; Series 2020-2R, Class B1, 4.12%, 10/26/2065 <sup>(a)(d)</sup> | 3605000 | 3292962 |
| &nbsp;&nbsp; Series 2021-2, Class B2, 3.94%, 08/25/2066 <sup>(a)(d)</sup> | 5250000 | 4359138 |
| &nbsp;&nbsp; Series 2021-3R, Class M1, 2.36%, 12/25/2064 <sup>(a)(d)</sup> | 2862000 | 2426930 |
| &nbsp;&nbsp; Series 2021-5, Class B1, 4.23%, 11/26/2066 <sup>(a)(d)</sup> | 4085000 | 3596050 |
| &nbsp;&nbsp; Series 2021-HX1, Class B3A, 4.16%, 10/25/2066 <sup>(a)(d)</sup> | 5510000 | 4254987 |
| &nbsp;&nbsp; Series 2021-RPL1, Class M2, 3.08%, 09/25/2061 <sup>(a)(d)</sup> | 2250000 | 1971621 |
| &nbsp;&nbsp; Series 2022-2, Class B1, 3.95%, 02/25/2067 <sup>(a)(d)</sup> | 1750000 | 1481107 |
| &nbsp;&nbsp; Series 2022-3, Class B1, 4.19%, 02/25/2067 <sup>(a)(d)</sup> | 2362000 | 2095923 |
| &nbsp;&nbsp; Series 2022-4, Class B1, 4.72%, 03/25/2067 <sup>(a)(d)</sup> | 5571000 | 5285180 |
| &nbsp;&nbsp; Series 2022-5, Class B1, 4.74%, 03/25/2067 <sup>(a)(d)</sup> | 4714000 | 4502455 |
| Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust |
| &nbsp;&nbsp; Series 2005-14, Class 2X, 0.07%, 05/25/2035 <sup>(a)(b)</sup> | 8708234 | 57318 |
| &nbsp;&nbsp; Series 2005-16, Class X2, 0.00%, 06/25/2035 <sup>(a)(b)</sup> | 13668249 | 137 |
| &nbsp;&nbsp; Series 2005-24, Class 1AX, 0.00%, 07/20/2035 <sup>(a)(b)</sup> | 5772816 | 4532 |
| &nbsp;&nbsp; Series 2005-27, Class 2X1, 0.00%, 08/25/2035 <sup>(a)(b)</sup> | 15877977 | 159 |
| &nbsp;&nbsp; Series 2005-38, Class X, 4.70%, 09/25/2035 <sup>(a)(b)</sup> | 32682991 | 556 |
| &nbsp;&nbsp; Series 2005-41, Class 2X2, 0.00%, 09/25/2035 <sup>(a)(b)</sup> | 3328738 | 7007 |
| &nbsp;&nbsp; Series 2005-44, Class 1X, 0.02%, 10/25/2035 <sup>(a)(b)</sup> | 17162062 | 38769 |
| &nbsp;&nbsp; Series 2005-44, Class 2X, 5.39%, 10/25/2035 <sup>(a)(b)</sup> | 1550368 | 291801 |
| &nbsp;&nbsp; Series 2005-51, Class 1X, 1.83%, 11/20/2035 <sup>(a)(b)</sup> | 11557726 | 851585 |
| &nbsp;&nbsp; Series 2005-51, Class 3X2, 0.04%, 11/20/2035 <sup>(a)(b)</sup> | 9480664 | 64146 |
| &nbsp;&nbsp; Series 2005-51, Class 4X, 0.03%, 11/20/2035 <sup>(a)(b)</sup> | 13481005 | 57887 |
| &nbsp;&nbsp; Series 2005-56, Class 4X, 0.00%, 11/25/2035 <sup>(a)(b)</sup> | 17615381 | 164721 |
| &nbsp;&nbsp; Series 2005-58R, Class A, 0.08%, 12/20/2035 <sup>(a)(b)(d)</sup> | 32220738 | 320113 |
| &nbsp;&nbsp; Series 2005-59R, Class A, 2.21%, 12/20/2035 <sup>(a)(b)(d)</sup> | 9052689 | 797 |
| &nbsp;&nbsp; Series 2005-J11, Class 1A4, 4.51% (1 mo. Term SOFR + 0.51%), 11/25/2035, (5.50% Cap) | 2542151 | 1345947 |
| &nbsp;&nbsp; Series 2005-J14, Class A8, 5.50%, 12/25/2035 | 1356965 | 849474 |
| &nbsp;&nbsp; Series 2006-29T1, Class 2A13, 4.41% (1 mo. Term SOFR + 0.41%), 10/25/2036, (8.00% Cap) | 1970224 | 912582 |
| &nbsp;&nbsp; Series 2006-HY10, Class 1X, 0.48%, 05/25/2036 <sup>(a)(b)</sup> | 2295330 | 42819 |
| &nbsp;&nbsp; Series 2006-OA1, Class 1X, 0.06%, 03/20/2046 <sup>(a)(b)</sup> | 7921019 | 80818 |
| &nbsp;&nbsp; Series 2006-OA10, Class XAD, 0.00%, 08/25/2046 <sup>(b)(g)</sup> | 18265570 | 43691 |
| &nbsp;&nbsp; Series 2006-OA10, Class XNB, 0.00%, 08/25/2046 <sup>(a)(b)</sup> | 17601661 | 176 |
| &nbsp;&nbsp; Series 2006-OA10, Class XPP, 0.00%, 08/25/2046 <sup>(a)(b)</sup> | 10473643 | 105 |
| &nbsp;&nbsp; Series 2006-OA3, Class X, 0.00%, 05/25/2036 <sup>(a)(b)</sup> | 9671378 | 24420 |
| Countrywide Home Loan Mortgage Pass Through Trust | Countrywide Home Loan Mortgage Pass Through Trust | Countrywide Home Loan Mortgage Pass Through Trust |
| &nbsp;&nbsp; Series 2004-20, Class X, 0.37%, 10/25/2034 <sup>(a)(b)</sup> | 4124589 | 176446 |
| &nbsp;&nbsp; Series 2004-25, Class 1X, 0.00%, 02/25/2035 <sup>(a)(b)</sup> | 9672480 | 97 |
| &nbsp;&nbsp; Series 2004-29, Class 1X, 0.06%, 02/25/2035 <sup>(a)(b)</sup> | 1289924 | 13 |
| &nbsp;&nbsp; Series 2005-1, Class 1X, 0.00%, 03/25/2035 <sup>(a)(b)</sup> | 2579682 | 137 |
| &nbsp;&nbsp; Series 2005-11, Class 4X, 0.05%, 04/25/2035 <sup>(a)(b)</sup> | 3549937 | 177011 |
| &nbsp;&nbsp; Series 2005-2, Class 2X, 0.00%, 03/25/2035 <sup>(a)(b)</sup> | 6379550 | 64 |
| &nbsp;&nbsp; Series 2005-7, Class 3A2, 3.43%, 03/25/2035 <sup>(a)(c)</sup> | 3040386 | 2428758 |
| &nbsp;&nbsp; Series 2005-7, Class 3X, 0.86%, 03/25/2035 <sup>(a)(b)</sup> | 824548 | 33462 |
| &nbsp;&nbsp; Series 2006-12, Class X, 0.12%, 07/25/2036 <sup>(a)(b)</sup> | 11904814 | 49429 |
| &nbsp;&nbsp; Series 2007-18, Class 2A1, 6.50%, 11/25/2037 | 1882073 | 690049 |
|  Credit Suisse First Boston Mortgage Securities Corp. Series 2005-10, Class 6A12, 5.50%, 11/25/2035 <sup>(c)</sup> | 1942856 | 739911 |
|  Credit Suisse Management LLC Series 2002-18, Class 2A1, 7.50%, 06/25/2032 | 1631017 | 1536010 |
| Credit Suisse Mortgage Capital Certificates | Credit Suisse Mortgage Capital Certificates | Credit Suisse Mortgage Capital Certificates |
| &nbsp;&nbsp; Series 2006-4, Class 1A1, 4.81% (1 mo. Term SOFR + 0.81%), 05/25/2036, (6.00% Cap) | 1682446 | 788928 |
| &nbsp;&nbsp; Series 2014-3R, Class 1A1, 2.47% (1 mo. LIBOR US + 0.45%), 03/27/2036, (7.50% Cap) <sup>(d)(f)</sup> | 391142 | 307629 |
| &nbsp;&nbsp; Series 2014-7R, Class 8A2, 4.19%, 07/27/2037 <sup>(a)(d)</sup> | 2176765 | 2234704 |
| &nbsp;&nbsp; Series 2017-RPL3, Class B5, 4.41%, 08/01/2057 <sup>(a)(d)</sup> | 6590980 | 5752140 |
| &nbsp;&nbsp; Series 2020-RPL4, Class B3, 3.98%, 01/25/2060 <sup>(a)(d)</sup> | 10124150 | 6967511 |
| &nbsp;&nbsp; Series 2020-RPL4, Class B4, 3.98%, 01/25/2060 <sup>(a)(d)</sup> | 10125738 | 6013200 |
| &nbsp;&nbsp; Series 2020-RPL4, Class XS, 1.49%, 01/25/2060 <sup>(a)(b)(d)</sup> | 157983160 | 3511176 |
| &nbsp;&nbsp; Series 2021-AFC1, Class B1, 3.25%, 03/25/2056 <sup>(a)(d)</sup> | 3031450 | 2040887 |
| &nbsp;&nbsp; Series 2021-AFC1, Class B2, 4.26%, 03/25/2056 <sup>(a)(d)</sup> | 1539950 | 1073428 |
| &nbsp;&nbsp; Series 2021-INV1, Class AIOS, 0.04%, 07/25/2056 <sup>(a)(b)(d)</sup> | 97669054 | 178539 |
| &nbsp;&nbsp; Series 2021-INV1, Class AX4, 0.40%, 07/25/2056 <sup>(a)(b)(d)</sup> | 6539546 | 117496 |
| &nbsp;&nbsp; Series 2021-INV1, Class B3, 3.08%, 07/25/2056 <sup>(a)(d)</sup> | 3940580 | 3357658 |
| &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>(b)(d)(h)</sup> | 17512965 | 676894 |
| &nbsp;&nbsp; Series 2021-INV2, Class A15X, 0.50%, 11/25/2056 <sup>(a)(b)(d)</sup> | 10492482 | 237183 |
| &nbsp;&nbsp; Series 2021-INV2, Class AIOS, 0.04%, 11/25/2056 <sup>(a)(b)(d)</sup> | 281973025 | 518548 |
| &nbsp;&nbsp; Series 2021-INV2, Class AX4, 0.15%, 11/25/2056 <sup>(a)(b)(d)</sup> | 16070641 | 108654 |
| &nbsp;&nbsp; Series 2021-NQM2, Class M1, 2.28%, 02/25/2066 <sup>(a)(d)</sup> | 1000000 | 793681 |
| &nbsp;&nbsp; Series 2021-NQM7, Class B1, 3.72%, 10/25/2066 <sup>(a)(d)</sup> | 5417100 | 4582986 |
| &nbsp;&nbsp; Series 2021-NQM8, Class A2, 2.30%, 10/25/2066 <sup>(a)(d)</sup> | 1367863 | 1225103 |
| &nbsp;&nbsp; Series 2021-NQM8, Class B1, 4.21%, 10/25/2066 <sup>(a)(d)</sup> | 4346000 | 3606202 |
| &nbsp;&nbsp; Series 2022-ATH1, Class B1, 4.63%, 01/25/2067 <sup>(a)(d)</sup> | 7220300 | 6642914 |
| &nbsp;&nbsp; Series 2022-ATH2, Class B1, 4.98%, 05/25/2067 <sup>(a)(d)</sup> | 4450000 | 4197738 |
| &nbsp;&nbsp; Series 2022-ATH2, Class B2, 4.98%, 05/25/2067 <sup>(a)(d)</sup> | 7000000 | 6169107 |
| &nbsp;&nbsp; Series 2022-NQM5, Class M1, 5.17%, 05/25/2067 <sup>(a)(d)</sup> | 500000 | 475591 |
| Deephaven Residential Mortgage Trust | Deephaven Residential Mortgage Trust | Deephaven Residential Mortgage Trust |
| &nbsp;&nbsp; Series 2021-2, Class B2, 3.93%, 04/25/2066 <sup>(a)(d)</sup> | 6528000 | 5427673 |
| &nbsp;&nbsp; Series 2021-2, Class M1, 2.22%, 04/25/2066 <sup>(a)(d)</sup> | 2500000 | 1996818 |
| &nbsp;&nbsp; Series 2021-3, Class B2, 4.13%, 08/25/2066 <sup>(a)(d)</sup> | 4600000 | 3742086 |
| &nbsp;&nbsp; Series 2022-1, Class B1, 4.27%, 01/25/2067 <sup>(a)(d)</sup> | 5000000 | 4268490 |
| &nbsp;&nbsp; Series 2022-1, Class B2, 4.27%, 01/25/2067 <sup>(a)(d)</sup> | 4628000 | 3568702 |
| &nbsp;&nbsp; Series 2022-3, Class B1, 5.27%, 07/25/2067 <sup>(a)(d)</sup> | 5000000 | 4846535 |
| Deutsche ALT-A Securities, Inc. | Deutsche ALT-A Securities, Inc. | Deutsche ALT-A Securities, Inc. |
| &nbsp;&nbsp; Series 2005-5, Class 2A4, 5.50%, 11/25/2035 <sup>(c)</sup> | 3393996 | 1786633 |
| &nbsp;&nbsp; Series 2006-AB2, Class A8, 4.69%, 06/25/2036 <sup>(a)(c)</sup> | 2179877 | 2004416 |
| &nbsp;&nbsp; Series 2007-AR1, Class A1, 4.35% (1 mo. Term SOFR + 0.35%), 01/25/2047, (10.50% Cap) <sup>(c)</sup> | 4654984 | 4440347 |
| &nbsp;&nbsp; Series 2007-AR1, Class A2, 4.47% (1 mo. Term SOFR + 0.47%), 01/25/2047, (10.50% Cap) | 808457 | 738176 |
| &nbsp;&nbsp; Series 2007-BAR1, Class A4, 4.59% (1 mo. Term SOFR + 0.59%), 03/25/2037 <sup>(c)</sup> | 83950000 | 6007546 |
|  Deutsche Mortgage Securities, Inc. Series 2009-RS6, Class A2B, 3.69%, 08/25/2037 <sup>(a)(d)</sup> | 6058103 | 5617636 |
| Downey Savings & Loan Association Mortgage Loan Trust | Downey Savings & Loan Association Mortgage Loan Trust | Downey Savings & Loan Association Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-AR1, Class X2, 0.03%, 09/19/2044 <sup>(a)(b)</sup> | 10397290 | 4138 |
| &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>(a)(b)</sup> | 9687857 | 9417 |
| &nbsp;&nbsp; Series 2004-AR4, Class X2, 0.00%, 01/19/2045 <sup>(a)(b)</sup> | 8771052 | 614 |
| &nbsp;&nbsp; Series 2005-AR1, Class 1A, 4.69% (1 mo. Term SOFR + 0.65%), 02/19/2045, (10.50% Cap) <sup>(c)</sup> | 15632050 | 11943746 |
| &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>(a)(b)</sup> | 16031531 | 19350 |
| &nbsp;&nbsp; Series 2005-AR2, Class 2A1C, 4.59% (1 mo. Term SOFR + 0.55%), 03/19/2045, (10.50% Cap) <sup>(c)</sup> | 978488 | 960456 |
| &nbsp;&nbsp; Series 2007-AR1, Class 1A1A, 4.29% (1 mo. Term SOFR + 0.25%), 04/19/2047 <sup>(c)</sup> | 29502228 | 24159493 |
|  DSLA Mortgage Loan Trust, Series 2005-AR2, Class C, 0.00%, 03/19/2045 | 1 | 0 |
|  Eagle Re Ltd. Series 2021-2, Class M2, 8.43% (30 day avg SOFR US + 4.25%), 04/25/2034 <sup>(d)</sup> | 3000000 | 3071817 |
| Ellington Financial Mortgage Trust | Ellington Financial Mortgage Trust | Ellington Financial Mortgage Trust |
| &nbsp;&nbsp; Series 2021-2, Class B1, 3.20%, 06/25/2066 <sup>(a)(d)</sup> | 3320000 | 2526244 |
| &nbsp;&nbsp; Series 2021-2, Class M1, 2.30%, 06/25/2066 <sup>(a)(d)</sup> | 2710000 | 1925555 |
| &nbsp;&nbsp; Series 2021-3, Class B2, 4.29%, 09/25/2066 <sup>(a)(d)</sup> | 2910000 | 2256280 |
| &nbsp;&nbsp; Series 2022-4, Class AIOS, 0.25%, 09/25/2067 <sup>(a)(b)(d)</sup> | 255059515 | 724114 |
| &nbsp;&nbsp; Series 2022-4, Class B1, 5.89%, 09/25/2067 <sup>(a)(d)</sup> | 4010100 | 4050562 |
| &nbsp;&nbsp; Series 2022-4, Class B3, 5.89%, 09/25/2067 <sup>(a)(d)</sup> | 20802921 | 11801435 |
| &nbsp;&nbsp; Series 2022-4, Class X, 0.00%, 09/25/2067 <sup>(a)(b)(d)</sup> | 255059515 | 443293 |
| &nbsp;&nbsp; Series 2024-CES1, Class B2, 8.03%, 01/26/2060 <sup>(a)(d)</sup> | 1393000 | 1422509 |
| &nbsp;&nbsp; Series 2024-CES1, Class B3, 8.72%, 01/26/2060 <sup>(a)(d)</sup> | 3588553 | 3666740 |
| &nbsp;&nbsp; Series 2024-INV2, Class B3, 7.66%, 10/25/2069 <sup>(a)(d)</sup> | 6155807 | 5739373 |
| &nbsp;&nbsp; Series 2024-NQM1, Class B2, 7.55%, 11/25/2069 <sup>(a)(d)</sup> | 2897500 | 2910217 |
| &nbsp;&nbsp; Series 2024-NQM1, Class B3, 7.55%, 11/25/2069 <sup>(a)(d)</sup> | 2739000 | 2615868 |
| &nbsp;&nbsp; Series 2025-CES2, Class A3, 6.09%, 02/25/2060 <sup>(d)(g)</sup> | 2854000 | 2899107 |
| &nbsp;&nbsp; Series 2025-NQM1, Class B3, 7.44%, 01/25/2070 <sup>(a)(d)</sup> | 5008000 | 4721392 |
| FIGRE Trust | FIGRE Trust | FIGRE Trust |
| &nbsp;&nbsp; Series 2024-HE1, Class C, 6.75%, 03/25/2054 <sup>(a)(d)</sup> | 1010382 | 1041469 |
| &nbsp;&nbsp; Series 2025-HE5, Class D, 6.36%, 08/25/2055 <sup>(a)(d)</sup> | 3500000 | 3597948 |
| Flagstar Mortgage Trust | Flagstar Mortgage Trust | Flagstar Mortgage Trust |
| &nbsp;&nbsp; Series 2018-2, Class B5, 4.00%, 04/25/2048 <sup>(a)(d)</sup> | 2540029 | 2251162 |
| &nbsp;&nbsp; Series 2018-6RR, Class B5, 4.91%, 10/25/2048 <sup>(a)(d)</sup> | 2478000 | 2077612 |
| &nbsp;&nbsp; Series 2021-1, Class B4, 3.08%, 02/01/2051 <sup>(a)(d)</sup> | 2557546 | 2081380 |
| &nbsp;&nbsp; Series 2021-1, Class B5, 3.08%, 02/01/2051 <sup>(a)(d)</sup> | 1222000 | 637525 |
| &nbsp;&nbsp; Series 2021-10IN, Class B5, 3.50%, 10/25/2051 <sup>(a)(d)</sup> | 1163553 | 908748 |
| &nbsp;&nbsp; Series 2021-2, Class B4, 2.78%, 04/25/2051 <sup>(a)(d)</sup> | 1340188 | 743909 |
| &nbsp;&nbsp; Series 2021-2, Class B5, 2.78%, 04/25/2051 <sup>(a)(d)</sup> | 1343000 | 679105 |
| &nbsp;&nbsp; Series 2021-6INV, Class B5, 3.48%, 08/25/2051 <sup>(a)(d)</sup> | 2885844 | 2258401 |
| &nbsp;&nbsp; Series 2021-9INV, Class AX1, 0.46%, 09/25/2041 <sup>(a)(b)(d)</sup> | 176645705 | 2051210 |
| &nbsp;&nbsp; Series 2021-9INV, Class B4, 2.96%, 09/25/2041 <sup>(a)(d)</sup> | 431945 | 394748 |
| &nbsp;&nbsp; Series 2021-9INV, Class B5, 2.96%, 09/25/2041 <sup>(a)(d)</sup> | 1211408 | 789245 |
| GCAT Trust | GCAT Trust | GCAT Trust |
| &nbsp;&nbsp; Series 2021-NQM4, Class A3, 1.56%, 08/25/2066 <sup>(a)(d)</sup> | 613208 | 510077 |
| &nbsp;&nbsp; Series 2021-NQM6, Class M1, 3.41%, 08/25/2066 <sup>(a)(d)</sup> | 1250000 | 972645 |
| &nbsp;&nbsp; Series 2022-NQM1, Class A1A, 3.17%, 02/25/2067 <sup>(d)(g)</sup> | 2603616 | 2558566 |
|  Goldman Sachs Mortgage Pass-Through Trust Series 2022-1, Class PT, 4.22%, 02/25/2053 <sup>(a)(d)</sup> | 42535114 | 38734601 |
| Greenpoint Mortgage Funding Trust | Greenpoint Mortgage Funding Trust | Greenpoint Mortgage Funding Trust |
| &nbsp;&nbsp; Series 2005-AR1, Class X1, 0.00%, 06/25/2045 <sup>(a)(b)</sup> | 10791324 | 86708 |
| &nbsp;&nbsp; Series 2005-AR3, Class X1, 0.00%, 08/25/2045 <sup>(a)(b)</sup> | 20296412 | 239031 |
| &nbsp;&nbsp; Series 2005-AR4, Class 4A1A, 4.73% (1 mo. Term SOFR + 0.73%), 10/25/2045, (10.50% Cap) | 751882 | 707725 |
| &nbsp;&nbsp; Series 2005-AR4, Class X4, 0.00%, 10/25/2045 <sup>(a)(b)</sup> | 6460779 | 0 |
| &nbsp;&nbsp; Series 2006-AR3, Class 4X, 1.00%, 04/25/2036 <sup>(b)</sup> | 13623510 | 466932 |
| GS Mortgage Securities Corp. | GS Mortgage Securities Corp. | GS Mortgage Securities Corp. |
| &nbsp;&nbsp; Series 2014-5R, Class 3B2, 4.77% (1 mo. Term SOFR + 0.26%), 02/26/2037 <sup>(d)</sup> | 4729807 | 4626589 |
| &nbsp;&nbsp; Series 2014-5R, Class 3B3, 4.77% (1 mo. Term SOFR + 0.26%), 02/26/2037 <sup>(d)</sup> | 5707000 | 5299868 |
| &nbsp;&nbsp; Series 2014-5R, Class 3B4, 4.77% (1 mo. Term SOFR + 0.26%), 02/26/2037 <sup>(c)(d)</sup> | 5709149 | 4838589 |
| GS Mortgage-Backed Securities Trust | GS Mortgage-Backed Securities Trust | GS Mortgage-Backed Securities Trust |
| &nbsp;&nbsp; Series 2019-PJ1, Class B4, 4.01%, 08/25/2049 <sup>(a)(d)</sup> | 1500000 | 1229262 |
| &nbsp;&nbsp; Series 2019-PJ1, Class B5, 4.01%, 08/25/2049 <sup>(a)(d)</sup> | 577000 | 420064 |
| &nbsp;&nbsp; Series 2019-PJ3, Class AIOS, 0.22%, 03/25/2050 <sup>(a)(b)(d)</sup> | 24552880 | 241428 |
| &nbsp;&nbsp; Series 2020-PJ5, Class B5, 3.25%, 03/27/2051 <sup>(a)(d)</sup> | 1671763 | 1054478 |
| &nbsp;&nbsp; Series 2020-PJ6, Class AX1, 0.02%, 05/25/2051 <sup>(a)(b)(d)</sup> | 294300532 | 273699 |
| &nbsp;&nbsp; Series 2020-PJ6, Class B4, 2.77%, 05/25/2051 <sup>(a)(d)</sup> | 1688331 | 1394570 |
| &nbsp;&nbsp; Series 2020-PJ6, Class B5, 2.77%, 05/25/2051 <sup>(a)(d)</sup> | 1462766 | 909807 |
| &nbsp;&nbsp; Series 2020-RPL1, Class B1, 3.77%, 07/25/2059 <sup>(a)(d)</sup> | 6323000 | 5292863 |
| &nbsp;&nbsp; Series 2021-HP1, Class B3, 3.21%, 01/25/2052 <sup>(a)(c)(d)</sup> | 3432305 | 2925299 |
| &nbsp;&nbsp; Series 2021-HP1, Class B4, 3.21%, 01/25/2052 <sup>(a)(d)</sup> | 3441623 | 2904090 |
| &nbsp;&nbsp; Series 2021-HP1, Class B5, 3.21%, 01/25/2052 <sup>(a)(d)</sup> | 1382228 | 1130919 |
| &nbsp;&nbsp; Series 2021-INV1, Class B3, 3.02%, 12/25/2051 <sup>(a)(d)</sup> | 3881965 | 3284425 |
| &nbsp;&nbsp; Series 2021-MM1, Class A2, 2.50%, 04/25/2052 <sup>(a)(d)</sup> | 797899 | 658644 |
| &nbsp;&nbsp; Series 2021-MM1, Class B3, 2.73%, 04/25/2052 <sup>(a)(c)(d)</sup> | 2401520 | 2041844 |
| &nbsp;&nbsp; Series 2021-MM1, Class B4, 2.73%, 04/25/2052 <sup>(a)(d)</sup> | 1523773 | 746742 |
| &nbsp;&nbsp; Series 2021-NQM1, Class A3, 1.53%, 07/25/2061 <sup>(a)(d)</sup> | 1859931 | 1676811 |
| &nbsp;&nbsp; Series 2021-PJ1, Class B4, 2.75%, 06/25/2051 <sup>(a)(d)</sup> | 2200647 | 1638107 |
| &nbsp;&nbsp; Series 2021-PJ1, Class B5, 2.75%, 06/25/2051 <sup>(a)(d)</sup> | 1039000 | 532942 |
| &nbsp;&nbsp; Series 2021-PJ11, Class A2, 2.50%, 04/25/2052 <sup>(a)(d)</sup> | 1157234 | 955870 |
| &nbsp;&nbsp; Series 2021-PJ11, Class B4, 2.85%, 04/25/2052 <sup>(a)(d)</sup> | 1300000 | 661973 |
| &nbsp;&nbsp; Series 2021-PJ3, Class B4, 2.65%, 08/25/2051 <sup>(a)(d)</sup> | 1172775 | 951967 |
| &nbsp;&nbsp; Series 2021-PJ3, Class B5, 2.65%, 08/25/2051 <sup>(a)(d)</sup> | 1185671 | 727505 |
| &nbsp;&nbsp; Series 2021-PJ4, Class AX1, 0.01%, 09/25/2051 <sup>(a)(b)(d)</sup> | 417020752 | 148876 |
| &nbsp;&nbsp; Series 2021-PJ4, Class B4, 2.61%, 09/25/2051 <sup>(a)(d)</sup> | 2490018 | 1483060 |
| &nbsp;&nbsp; Series 2021-PJ5, Class B4, 2.58%, 10/25/2051 <sup>(a)(d)</sup> | 3473855 | 2398451 |
| &nbsp;&nbsp; Series 2021-PJ6, Class AX1, 0.02%, 11/25/2051 <sup>(a)(b)(d)</sup> | 724674880 | 642787 |
| &nbsp;&nbsp; Series 2021-PJ6, Class B4, 2.68%, 11/25/2051 <sup>(a)(c)(d)</sup> | 5155115 | 4033599 |
| &nbsp;&nbsp; Series 2021-PJ7, Class B4, 2.72%, 01/25/2052 <sup>(a)(c)(d)</sup> | 7101699 | 5569912 |
| &nbsp;&nbsp; Series 2021-PJ8, Class B4, 2.76%, 01/25/2052 <sup>(a)(d)</sup> | 3614786 | 2715207 |
| &nbsp;&nbsp; Series 2021-PJ8, Class B5, 2.76%, 01/25/2052 <sup>(a)(d)</sup> | 1237000 | 606375 |
| &nbsp;&nbsp; Series 2021-PJ9, Class A13, 2.00%, 02/26/2052 <sup>(a)(d)</sup> | 1500000 | 969060 |
| &nbsp;&nbsp; Series 2021-PJ9, Class B4, 2.92%, 02/26/2052 <sup>(a)(d)</sup> | 3150480 | 2543250 |
| &nbsp;&nbsp; Series 2021-PJ9, Class B5, 2.92%, 02/26/2052 <sup>(a)(d)</sup> | 1186318 | 832507 |
| &nbsp;&nbsp; Series 2022-GR1, Class B4, 3.19%, 06/25/2052 <sup>(a)(d)</sup> | 3590078 | 2863030 |
| &nbsp;&nbsp; Series 2022-GR1, Class B5, 3.19%, 06/25/2052 <sup>(a)(d)</sup> | 1127168 | 854530 |
| &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>(b)(d)(h)</sup> | 12272848 | 508354 |
| &nbsp;&nbsp; Series 2022-LTV1, Class B2, 3.24%, 06/25/2052 <sup>(a)(d)</sup> | 4512475 | 3761220 |
| &nbsp;&nbsp; Series 2022-LTV1, Class B4, 3.24%, 06/25/2052 <sup>(a)(c)(d)</sup> | 4657270 | 3696182 |
| &nbsp;&nbsp; Series 2022-LTV1, Class B5, 3.24%, 06/25/2052 <sup>(a)(d)</sup> | 727641 | 547178 |
| &nbsp;&nbsp; Series 2022-PJ3, Class A4, 2.50%, 08/25/2052 <sup>(a)(d)</sup> | 3931215 | 3320905 |
| &nbsp;&nbsp; Series 2023-PJ4, Class A15, 6.00%, 01/25/2054 <sup>(a)(d)</sup> | 2451711 | 2475819 |
| &nbsp;&nbsp; Series 2023-PJ6, Class A16, 6.50%, 04/25/2054 <sup>(a)(d)</sup> | 2231497 | 2270597 |
| &nbsp;&nbsp; Series 2024-HE1, Class B2, 8.18% (30 day avg SOFR US + 4.00%), 08/25/2054 <sup>(d)</sup> | 2947000 | 2934387 |
| &nbsp;&nbsp; Series 2024-PJ3, Class B4, 6.07%, 08/25/2054 <sup>(a)(d)</sup> | 2340000 | 1910144 |
| &nbsp;&nbsp; Series 2024-PJ5, Class B4, 6.89%, 09/25/2054 <sup>(a)(d)</sup> | 1613000 | 1409775 |
| &nbsp;&nbsp; Series 2024-PJ6, Class B4, 6.73%, 10/25/2054 <sup>(a)(d)</sup> | 1584000 | 1363699 |
| &nbsp;&nbsp; Series 2024-PJ8, Class B4, 6.88%, 02/25/2055 <sup>(a)(d)</sup> | 1734000 | 1405445 |
| &nbsp;&nbsp; Series 2024-RPL2, Class M1, 4.06%, 07/25/2061 <sup>(a)(d)</sup> | 5000000 | 4696585 |
| &nbsp;&nbsp; Series 2024-RPL4, Class M1, 4.00%, 09/25/2061 <sup>(a)(d)</sup> | 3500000 | 3349196 |
| &nbsp;&nbsp; Series 2025-CES2, Class B2, 7.96%, 09/25/2055 <sup>(a)(d)</sup> | 2500000 | 2518738 |
| &nbsp;&nbsp; Series 2025-PJ3, Class A2, 5.50%, 07/25/2055 <sup>(a)(d)</sup> | 5313940 | 5374566 |
| &nbsp;&nbsp; Series 2025-RPL3, Class A1, 4.10%, 07/25/2065 <sup>(d)(g)</sup> | 4615271 | 4507542 |
| GSAA Trust | GSAA Trust | GSAA Trust |
| &nbsp;&nbsp; Series 2005-14, Class 2A3, 4.81% (1 mo. Term SOFR + 0.81%), 12/25/2035 <sup>(c)</sup> | 1781009 | 1585406 |
| &nbsp;&nbsp; Series 2007-2, Class AV1, 4.19% (1 mo. Term SOFR + 0.19%), 03/25/2037 | 3258146 | 621188 |
| &nbsp;&nbsp; Series 2007-5, Class 2A1A, 4.35% (1 mo. Term SOFR + 0.35%), 04/25/2047 <sup>(c)</sup> | 1221274 | 1139827 |
|  GSR Mortgage Loan Trust Series 2005-6F, Class 3A6, 4.44% (1 mo. Term SOFR + 0.44%), 07/25/2035, (7.25% Cap) | 1212774 | 1041927 |
| 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>(a)(b)</sup> | 6569152 | 66 |
| &nbsp;&nbsp; Series 2004-7, Class X1, 0.50%, 11/19/2034 <sup>(a)(b)</sup> | 865270 | 12418 |
| &nbsp;&nbsp; Series 2004-9, Class 4A2, 4.93% (1 mo. Term SOFR + 0.89%), 12/19/2034 <sup>(c)</sup> | 1390535 | 1246905 |
| &nbsp;&nbsp; Series 2005-1, Class X, 0.00%, 03/19/2035 <sup>(a)(b)</sup> | 4269753 | 6405 |
| &nbsp;&nbsp; Series 2005-10, Class X, 0.00%, 11/19/2035 <sup>(a)(b)</sup> | 21088333 | 211 |
| &nbsp;&nbsp; Series 2005-11, Class X, 0.00%, 08/19/2045 <sup>(a)(b)</sup> | 6257470 | 63 |
| &nbsp;&nbsp; Series 2005-12, Class X2B, 0.11%, 10/19/2035 <sup>(a)(b)</sup> | 6859323 | 69 |
| &nbsp;&nbsp; Series 2005-13, Class X, 0.00%, 02/19/2036 <sup>(a)(b)</sup> | 10395511 | 104 |
| &nbsp;&nbsp; Series 2005-3, Class X2, 0.04%, 06/19/2035 <sup>(a)(b)</sup> | 30147876 | 301 |
| &nbsp;&nbsp; Series 2005-8, Class 2XA1, 0.04%, 09/19/2035 <sup>(a)(b)</sup> | 20999773 | 210 |
| &nbsp;&nbsp; Series 2006-14, Class 2A1A, 4.45% (1 mo. Term SOFR + 0.41%), 01/25/2047 <sup>(c)</sup> | 14502010 | 13761711 |
| &nbsp;&nbsp; Series 2007-6, Class 2A1A, 4.34% (1 mo. Term SOFR + 0.30%), 08/19/2037, (10.50% Cap) | 1448384 | 1306248 |
|  Helios Loan Funding Trust, 10.70%, 10/06/2053 <sup>(a)</sup> | 53306412 | 56384111 |
| Home RE Ltd. | Home RE Ltd. | Home RE Ltd. |
| &nbsp;&nbsp; Series 2021-2, Class M2, 7.43% (30 day avg SOFR US + 3.25%), 01/25/2034 <sup>(d)</sup> | 8250000 | 8304664 |
| &nbsp;&nbsp; Series 2023-1, Class M2, 10.18% (30 day avg SOFR US + 6.00%), 10/25/2033 <sup>(d)</sup> | 3000000 | 3207117 |
|  Homebanc Mortgage Trust Series 2004-2, Class A2, 5.01% (1 mo. Term SOFR + 1.01%), 12/25/2034, (11.50% Cap) | 742616 | 720527 |
|  Impac Secured Assets CMN Owner Trust Series 2006-2, Class 1A2C, 4.67% (1 mo. Term SOFR + 0.67%), 08/25/2036, (11.50% Cap) <sup>(c)</sup> | 2877467 | 2602231 |
| Imperial Fund Mortgage Trust | Imperial Fund Mortgage Trust | Imperial Fund Mortgage Trust |
| &nbsp;&nbsp; Series 2021-NQM1, Class B2, 4.36%, 06/25/2056 <sup>(a)(d)</sup> | 2570000 | 2024278 |
| &nbsp;&nbsp; Series 2021-NQM4, Class B2, 4.10%, 01/25/2057 <sup>(a)(d)</sup> | 2500000 | 1792693 |
| &nbsp;&nbsp; Series 2022-NQM1, Class B2, 4.08%, 02/25/2067 <sup>(a)(d)</sup> | 7250000 | 5342228 |
| Indymac Index Mortgage Loan Trust | Indymac Index Mortgage Loan Trust | Indymac Index Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2004-AR12, Class AX2, 0.00%, 12/25/2034 <sup>(a)(b)</sup> | 1330805 | 13 |
| &nbsp;&nbsp; Series 2005-16IP, Class AX, 0.00%, 07/25/2045 <sup>(a)(b)</sup> | 9459710 | 4683 |
| &nbsp;&nbsp; Series 2005-AR10, Class AX, 0.00%, 06/25/2035 <sup>(a)(b)</sup> | 22891225 | 229 |
| &nbsp;&nbsp; Series 2005-AR12, Class AX2, 0.00%, 07/25/2035 <sup>(a)(b)</sup> | 36689661 | 367 |
| &nbsp;&nbsp; Series 2005-AR14, Class 2X, 0.01%, 07/25/2035 <sup>(a)(b)</sup> | 17119586 | 14141 |
| &nbsp;&nbsp; Series 2005-AR2, Class AX2, 0.00%, 02/25/2035 <sup>(a)(b)</sup> | 8721177 | 0 |
| &nbsp;&nbsp; Series 2005-AR4, Class AX2, 0.00%, 03/25/2035 <sup>(a)(b)</sup> | 10591713 | 136834 |
| &nbsp;&nbsp; Series 2005-AR8, Class AX2, 0.00%, 05/25/2035 <sup>(a)(b)</sup> | 13945448 | 139 |
| &nbsp;&nbsp; Series 2006-AR25, Class 5A1, 3.61%, 09/25/2036 <sup>(a)(c)</sup> | 3672404 | 2882485 |
| &nbsp;&nbsp; Series 2007-AR9, Class 2A1, 3.78%, 04/25/2037 <sup>(a)(c)</sup> | 2793281 | 1745086 |
|  Invitation Homes Trust Series 2024-SFR1, Class A, 4.00%, 09/17/2041 <sup>(d)</sup> | 2994870 | 2956257 |
| JP Morgan Chase Commercial Mortgage Securities | 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)(d)</sup> | 3473665 | 3336956 |
| &nbsp;&nbsp; Series 2019-LTV1, Class B5, 4.61%, 06/25/2049 <sup>(a)(d)</sup> | 1752008 | 1447598 |
| JP Morgan Mortgage Trust | JP Morgan Mortgage Trust | JP Morgan Mortgage Trust |
| &nbsp;&nbsp; Series 2005-ALT1, Class 2A1, 5.30%, 10/25/2035 <sup>(a)(c)</sup> | 4315208 | 3421710 |
| &nbsp;&nbsp; Series 2006-A6, Class 1A4L, 4.16%, 10/25/2036 <sup>(a)</sup> | 1313417 | 1003161 |
| &nbsp;&nbsp; Series 2007-A4, Class 3A3, 5.25%, 06/25/2037 <sup>(a)</sup> | 1095407 | 877490 |
| &nbsp;&nbsp; Series 2019-7, Class AX1, 0.00%, 02/25/2050 <sup>(a)(b)(d)</sup> | 17786329 | 53 |
| &nbsp;&nbsp; Series 2019-7, Class B4, 3.95%, 02/25/2050 <sup>(a)(d)</sup> | 2692345 | 2212612 |
| &nbsp;&nbsp; Series 2019-7, Class B5, 3.95%, 02/25/2050 <sup>(a)(d)</sup> | 1199000 | 844353 |
| &nbsp;&nbsp; Series 2019-8, Class AX1, 0.14%, 03/25/2050 <sup>(a)(b)(d)</sup> | 39587092 | 254426 |
| &nbsp;&nbsp; Series 2019-9, Class B5, 3.78%, 05/25/2050 <sup>(a)(d)</sup> | 2343132 | 2102589 |
| &nbsp;&nbsp; Series 2019-LTV3, Class B5, 4.32%, 03/25/2050 <sup>(a)(d)</sup> | 1658213 | 1511871 |
| &nbsp;&nbsp; Series 2020-1, Class B5, 3.82%, 06/25/2050 <sup>(a)(d)</sup> | 2001540 | 1761427 |
| &nbsp;&nbsp; Series 2020-3, Class B4, 3.83%, 08/25/2050 <sup>(a)(d)</sup> | 192457 | 173286 |
| &nbsp;&nbsp; Series 2020-3, Class B5, 3.83%, 08/25/2050 <sup>(a)(d)</sup> | 1527677 | 1340660 |
| &nbsp;&nbsp; Series 2020-5, Class B5, 3.57%, 12/25/2050 <sup>(a)(d)</sup> | 1635174 | 1272816 |
| &nbsp;&nbsp; Series 2020-LTV1, Class B5, 4.25%, 06/25/2050 <sup>(a)(d)</sup> | 2655539 | 2394365 |
| &nbsp;&nbsp; Series 2020-LTV2, Class B5, 4.01%, 11/25/2050 <sup>(a)(d)</sup> | 2905147 | 2500518 |
| &nbsp;&nbsp; Series 2021-10, Class B5, 2.83%, 12/25/2051 <sup>(a)(d)</sup> | 2274822 | 1579745 |
| &nbsp;&nbsp; Series 2021-13, Class A5, 2.50%, 04/25/2052 <sup>(a)(d)</sup> | 1500000 | 1035090 |
| &nbsp;&nbsp; Series 2021-15, Class B3, 3.11%, 06/25/2052 <sup>(a)(d)</sup> | 8377765 | 7049001 |
| &nbsp;&nbsp; Series 2021-15, Class B4, 3.11%, 06/25/2052 <sup>(a)(d)</sup> | 4874021 | 3969666 |
| &nbsp;&nbsp; Series 2021-3, Class B4, 2.93%, 07/25/2051 <sup>(a)(d)</sup> | 1953568 | 1569784 |
| &nbsp;&nbsp; Series 2021-6, Class B4, 2.83%, 10/25/2051 <sup>(a)(d)</sup> | 3484406 | 2739461 |
| &nbsp;&nbsp; Series 2021-7, Class B4, 2.80%, 11/25/2051 <sup>(a)(d)</sup> | 1708347 | 1347196 |
| &nbsp;&nbsp; Series 2021-7, Class B5, 2.80%, 11/25/2051 <sup>(a)(d)</sup> | 1708347 | 970300 |
| &nbsp;&nbsp; Series 2021-8, Class B4, 2.84%, 12/25/2051 <sup>(a)(d)</sup> | 2913599 | 2309633 |
| &nbsp;&nbsp; Series 2021-INV6, Class A5A, 2.50%, 04/25/2052 <sup>(a)(d)</sup> | 1038704 | 859917 |
| &nbsp;&nbsp; Series 2022-1, Class B4, 3.08%, 07/25/2052 <sup>(a)(c)(d)</sup> | 13752479 | 10899115 |
| &nbsp;&nbsp; Series 2023-6, Class A3, 5.50%, 12/26/2053 <sup>(a)(c)(d)</sup> | 14058819 | 14024488 |
| &nbsp;&nbsp; Series 2023-6, Class AX1, 0.27%, 12/26/2053 <sup>(a)(b)(d)</sup> | 118569167 | 283143 |
| &nbsp;&nbsp; Series 2023-6, Class B4, 6.15%, 12/26/2053 <sup>(a)(d)</sup> | 1544354 | 1314452 |
| &nbsp;&nbsp; Series 2023-7, Class B4, 6.20%, 02/25/2054 <sup>(a)(d)</sup> | 1035500 | 840373 |
| &nbsp;&nbsp; Series 2023-8, Class B4, 6.23%, 02/25/2054 <sup>(a)(d)</sup> | 3012669 | 2624493 |
| &nbsp;&nbsp; Series 2023-9, Class B4, 6.34%, 04/25/2054 <sup>(a)(d)</sup> | 2955425 | 2688739 |
| &nbsp;&nbsp; Series 2024-10, Class B6, 6.76%, 03/25/2055 <sup>(a)(d)</sup> | 2843931 | 1961655 |
| &nbsp;&nbsp; Series 2024-11, Class A2, 6.00%, 04/25/2055 <sup>(a)(c)(d)</sup> | 5351756 | 5428881 |
| &nbsp;&nbsp; Series 2024-4, Class B4, 7.11%, 10/25/2054 <sup>(a)(d)</sup> | 2986197 | 2834283 |
| &nbsp;&nbsp; Series 2024-5, Class B4, 6.92%, 11/25/2054 <sup>(a)(d)</sup> | 2596404 | 2474734 |
| &nbsp;&nbsp; Series 2024-5, Class B5, 6.92%, 11/25/2054 <sup>(a)(d)</sup> | 2366000 | 2031535 |
| &nbsp;&nbsp; Series 2024-6, Class B4, 6.91%, 12/25/2054 <sup>(a)(d)</sup> | 2512639 | 2211241 |
| &nbsp;&nbsp; Series 2024-6, Class B5, 6.91%, 12/25/2054 <sup>(a)(d)</sup> | 1795000 | 1520961 |
| &nbsp;&nbsp; Series 2024-8, Class B4, 7.00%, 01/25/2055 <sup>(a)(d)</sup> | 2611000 | 2316492 |
| &nbsp;&nbsp; Series 2024-9, Class B4, 6.99%, 02/25/2055 <sup>(a)(d)</sup> | 3297099 | 3102472 |
| &nbsp;&nbsp; Series 2024-9, Class B6, 6.88%, 02/25/2055 <sup>(a)(d)</sup> | 2597975 | 1794281 |
| &nbsp;&nbsp; Series 2024-CCM1, Class A3, 5.50%, 04/25/2055 <sup>(a)(d)</sup> | 2159751 | 2177941 |
|  JP Morgan Wealth Management Series 2020-ATR1, Class A5, 3.00%, 02/25/2050 <sup>(a)(d)</sup> | 2857357 | 2516572 |
| JPMorgan Chase Bank NA | JPMorgan Chase Bank NA | JPMorgan Chase Bank NA |
| &nbsp;&nbsp; Series 2019-CL1, Class M2, 5.81% (1 mo. Term SOFR + 1.81%), 04/25/2047 <sup>(d)</sup> | 3274043 | 3325923 |
| &nbsp;&nbsp; Series 2019-CL1, Class M4, 6.71% (1 mo. Term SOFR + 2.71%), 04/25/2047 <sup>(d)</sup> | 1212152 | 1250968 |
| &nbsp;&nbsp; Series 2020-CL1, Class B, 14.11% (1 mo. Term SOFR + 10.11%), 10/25/2057 <sup>(d)</sup> | 6690285 | 7023441 |
| &nbsp;&nbsp; Series 2020-CL1, Class M2, 6.61% (1 mo. Term SOFR + 2.61%), 10/25/2057 <sup>(d)</sup> | 2584159 | 2706067 |
| &nbsp;&nbsp; Series 2020-CL1, Class M4, 8.46% (1 mo. Term SOFR + 4.46%), 10/25/2057 <sup>(d)</sup> | 826255 | 881984 |
| &nbsp;&nbsp; Series 2020-CL1, Class M5, 9.71% (1 mo. Term SOFR + 5.71%), 10/25/2057 <sup>(d)</sup> | 1586953 | 1650210 |
| &nbsp;&nbsp; Series 2021-CL1, Class B, 11.08% (30 day avg SOFR US + 6.90%), 03/25/2051 <sup>(d)</sup> | 1150672 | 1109618 |
| &nbsp;&nbsp; Series 2021-CL1, Class M5, 8.03% (30 day avg SOFR US + 3.85%), 03/25/2051 <sup>(d)</sup> | 359119 | 327743 |
| Lake Summit Mortgage Trust | Lake Summit Mortgage Trust | Lake Summit Mortgage Trust |
| &nbsp;&nbsp; 8.67%, 08/15/2049 <sup>(a)</sup> | 2255674 | 2238653 |
| &nbsp;&nbsp; 6.68%, 08/28/2049 <sup>(a)</sup> | 9194942 | 9009278 |
|  Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 5.75%, 07/25/2061 <sup>(d)(g)</sup> | 4161103 | 4230714 |
| Lehman Mortgage Trust | Lehman Mortgage Trust | Lehman Mortgage Trust |
| &nbsp;&nbsp; Series 2007-5, Class PO1, 0.00%, 06/25/2037 <sup>(e)</sup> | 15349 | 11324 |
| &nbsp;&nbsp; Series 2007-9, Class AP, 0.00%, 10/25/2037 <sup>(e)</sup> | 9437 | 7572 |
| Lehman XS Trust | Lehman XS Trust | Lehman XS Trust |
| &nbsp;&nbsp; Series 2005-3, Class 3A3A, 4.76%, 09/25/2035 <sup>(g)</sup> | 1521710 | 1366459 |
| &nbsp;&nbsp; Series 2007-12N, Class 1A3A, 4.51% (1 mo. Term SOFR + 0.51%), 07/25/2047 | 1148150 | 1114465 |
| &nbsp;&nbsp; Series 2007-7N, Class 1A1A, 4.55% (1 mo. Term SOFR + 0.55%), 06/25/2047 | 2302372 | 2188745 |
| &nbsp;&nbsp; Series 2007-9, Class WFIO, 0.00%, 04/25/2037 <sup>(b)</sup> | 13051885 | 131 |
| Luminent Mortgage Trust | Luminent Mortgage Trust | Luminent Mortgage Trust |
| &nbsp;&nbsp; Series 2006-1, Class A1, 4.83% (1 mo. Term SOFR + 0.83%), 04/25/2036 <sup>(c)</sup> | 2877287 | 2609184 |
| &nbsp;&nbsp; Series 2006-1, Class X, 0.06%, 04/25/2036 <sup>(a)(b)</sup> | 20387307 | 84057 |
| &nbsp;&nbsp; Series 2006-2, Class X, 0.00%, 02/25/2046 <sup>(a)(b)</sup> | 28637801 | 286 |
| &nbsp;&nbsp; Series 2006-5, Class X, 0.00%, 07/25/2036 <sup>(a)(b)</sup> | 24275748 | 243 |
|  Mastr Adjustable Rate Mortgages Trust Series 2005-7, Class 2A1, 4.45%, 09/25/2035 <sup>(a)</sup> | 849916 | 788309 |
| MASTR Alternative Loans Trust | MASTR Alternative Loans Trust | MASTR Alternative Loans Trust |
| &nbsp;&nbsp; Series 2004-6, Class 30PO, 0.00%, 07/25/2034 <sup>(e)</sup> | 72753 | 60399 |
| &nbsp;&nbsp; Series 2007-1, Class 15PO, 0.00%, 11/25/2025 <sup>(e)</sup> | 2913 | 0 |
| &nbsp;&nbsp; Series 2007-HF1, Class 4A1, 7.00%, 10/25/2047 <sup>(c)</sup> | 9522417 | 3756860 |
| MASTR Asset Securitization Trust | MASTR Asset Securitization Trust | MASTR Asset Securitization Trust |
| &nbsp;&nbsp; Series 2005-2, Class PO, 0.00%, 11/25/2035 <sup>(e)</sup> | 9750 | 5692 |
| &nbsp;&nbsp; Series 2007-1, Class AP, 0.00%, 11/25/2037 <sup>(e)</sup> | 403 | 0 |
| Mello Mortgage Capital Acceptance | Mello Mortgage Capital Acceptance | Mello Mortgage Capital Acceptance |
| &nbsp;&nbsp; Series 2018-MTG1, Class B4, 3.66%, 03/25/2048 <sup>(a)(d)</sup> | 1799000 | 1330380 |
| &nbsp;&nbsp; Series 2018-MTG1, Class B5, 3.66%, 03/25/2048 <sup>(a)(d)</sup> | 1499000 | 1085939 |
| &nbsp;&nbsp; Series 2021-INV4, Class B5, 3.20%, 12/25/2051 <sup>(a)(d)</sup> | 1127842 | 883936 |
| &nbsp;&nbsp; Series 2021-MTG1, Class B4, 2.65%, 04/25/2051 <sup>(a)(d)</sup> | 1016135 | 800529 |
| &nbsp;&nbsp; Series 2021-MTG1, Class B5, 2.65%, 04/25/2051 <sup>(a)(d)</sup> | 507625 | 279665 |
| &nbsp;&nbsp; Series 2021-MTG2, Class B4, 2.67%, 06/25/2051 <sup>(a)(d)</sup> | 1552564 | 1140507 |
| &nbsp;&nbsp; Series 2021-MTG3, Class B5, 2.90%, 07/01/2051 <sup>(a)(d)</sup> | 488000 | 222108 |
| Merrill Lynch Mortgage Investors, Inc. | Merrill Lynch Mortgage Investors, Inc. | Merrill Lynch Mortgage Investors, Inc. |
| &nbsp;&nbsp; Series 2003-OPT1, Class M3, 6.58% (1 mo. Term SOFR + 2.59%), 07/25/2034 | 1558243 | 1322289 |
| &nbsp;&nbsp; Series 2006-AF1, Class AF2A, 6.25%, 08/25/2036 | 1612463 | 653449 |
| MFRA Trust | MFRA Trust | MFRA Trust |
| &nbsp;&nbsp; Series 2021-INV2, Class B1, 4.39%, 11/25/2056 <sup>(a)(c)(d)</sup> | 4000000 | 3585788 |
| &nbsp;&nbsp; Series 2021-RPL1, Class A2, 2.07%, 07/25/2060 <sup>(a)(d)</sup> | 4106000 | 3556855 |
| &nbsp;&nbsp; Series 2021-RPL1, Class M2, 2.85%, 07/25/2060 <sup>(a)(d)</sup> | 4500000 | 3881767 |
| Morgan Stanley ABS Capital I, Inc. | Morgan Stanley ABS Capital I, Inc. | Morgan Stanley ABS Capital I, Inc. |
| &nbsp;&nbsp; Series 2007-HE6, Class A3, 4.29% (1 mo. Term SOFR + 0.29%), 05/25/2037 | 11292819 | 10072201 |
| &nbsp;&nbsp; Series 2007-HE6, Class A4, 4.36% (1 mo. Term SOFR + 0.36%), 05/25/2037 <sup>(c)</sup> | 1626166 | 1427000 |
| Morgan Stanley Mortgage Loan Trust | Morgan Stanley Mortgage Loan Trust | Morgan Stanley Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2006-3AR, Class 1AX, 0.64%, 03/25/2036 <sup>(a)(b)</sup> | 12830551 | 364760 |
| &nbsp;&nbsp; Series 2006-5AR, Class AX, 0.32%, 04/25/2036 <sup>(a)(b)</sup> | 13858594 | 71552 |
|  Morgan Stanley Reremic Trust Series 2015-R4, Class CB3, 4.29%, 08/26/2047 <sup>(a)(d)</sup> | 1010309 | 914368 |
| Morgan Stanley Residential Mortgage Loan Trust | 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)(d)</sup> | 748306 | 444948 |
| &nbsp;&nbsp; Series 2021-1, Class B5, 2.94%, 03/25/2051 <sup>(a)(d)</sup> | 988000 | 516816 |
| &nbsp;&nbsp; Series 2021-3, Class B4, 2.78%, 06/25/2051 <sup>(a)(d)</sup> | 1093000 | 555974 |
| &nbsp;&nbsp; Series 2021-4, Class B4, 2.92%, 07/25/2051 <sup>(a)(d)</sup> | 1240000 | 653965 |
| &nbsp;&nbsp; Series 2021-5, Class B4, 2.98%, 08/25/2051 <sup>(a)(d)</sup> | 1935967 | 1133023 |
| &nbsp;&nbsp; Series 2025-SPL1, Class B1, 4.25%, 02/25/2065 <sup>(d)(g)</sup> | 1660000 | 1465493 |
|  MortgageIT Trust Series 2006-1, Class 1X, 0.01%, 04/25/2036 <sup>(a)(b)</sup> | 6779522 | 0 |
|  New Residential Mortgage LLC Series 2025-FHT1, Class A, 6.55%, 03/25/2032 <sup>(d)(g)</sup> | 1776574 | 1810451 |
| New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2018-2A, Class B6, 5.23%, 02/25/2058 <sup>(a)(d)</sup> | 1174108 | 956423 |
| &nbsp;&nbsp; Series 2019-2A, Class B6, 4.72%, 12/25/2057 <sup>(a)(d)</sup> | 4984136 | 4230784 |
| &nbsp;&nbsp; Series 2019-6A, Class B5IA, 1.75%, 09/25/2059 <sup>(a)(b)(d)</sup> | 12149671 | 779292 |
| &nbsp;&nbsp; Series 2025-NQM2, Class B1, 7.25%, 04/25/2065 <sup>(a)(d)</sup> | 5116000 | 5241265 |
| &nbsp;&nbsp; Series 2025-NQM2, Class B3, 7.25%, 04/25/2065 <sup>(a)(d)</sup> | 11758000 | 10663530 |
| &nbsp;&nbsp; Series 2025-NQM3, Class B1, 7.06%, 05/25/2065 <sup>(a)(d)</sup> | 2784000 | 2828396 |
|  Nomura Resecuritization Trust Series 2014-3R, Class 4A15, 1.60% (1 mo. Term SOFR + 0.27%), 03/26/2037 <sup>(d)</sup> | 3364160 | 3022021 |
|  Oceanview Mortgage Trust Series 2021-5, Class B4, 2.97%, 10/25/2051 <sup>(a)(d)</sup> | 1715000 | 927606 |
| Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust | Onslow Bay Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2021-J2, Class A1, 2.50%, 07/25/2051 <sup>(a)(d)</sup> | 1498410 | 1258745 |
| &nbsp;&nbsp; Series 2021-J3, Class A7, 2.50%, 10/25/2051 <sup>(a)(d)</sup> | 2500000 | 1721970 |
| &nbsp;&nbsp; Series 2021-NQM1, Class A1, 1.07%, 02/25/2066 <sup>(a)(d)</sup> | 920972 | 806280 |
| &nbsp;&nbsp; Series 2021-NQM2, Class A3, 1.56%, 05/25/2061 <sup>(a)(d)</sup> | 1742871 | 1489220 |
| &nbsp;&nbsp; Series 2021-NQM4, Class A2, 2.16%, 10/25/2061 <sup>(a)(d)</sup> | 1751852 | 1529059 |
| &nbsp;&nbsp; Series 2025-J2, Class A1, 5.50%, 09/25/2055 <sup>(a)(d)</sup> | 9813882 | 9864306 |
|  PHH Alternative Mortgage Trust Series 2007-1, Class 21PO, 0.00%, 02/25/2037 <sup>(e)</sup> | 10298 | 8521 |
|  PMT Loan Trust Series 2025-INV4, Class A12, 5.50%, 03/25/2056 <sup>(a)(d)</sup> | 5000000 | 4977380 |
| Point Securitization Trust | Point Securitization Trust | Point Securitization Trust |
| &nbsp;&nbsp; Series 2025-1, Class A1, 6.25%, 06/25/2055 <sup>(d)</sup> | 966675 | 974801 |
| &nbsp;&nbsp; Series 2025-2, Class A1, 5.75%, 09/25/2055 <sup>(d)(g)</sup> | 1750000 | 1746089 |
| &nbsp;&nbsp; Series 2025-2, Class B1, 7.00%, 09/25/2055 <sup>(d)(g)</sup> | 1500000 | 1300715 |
| Pretium Mortgage Credit Partners LLC | Pretium Mortgage Credit Partners LLC | Pretium Mortgage Credit Partners LLC |
| &nbsp;&nbsp; Series 2024-NPL6, Class A1, 5.93%, 10/25/2054 <sup>(d)(g)</sup> | 3347524 | 3352421 |
| &nbsp;&nbsp; Series 2024-NPL7, Class A1, 5.93%, 10/25/2054 <sup>(d)(g)</sup> | 1767928 | 1767680 |
| &nbsp;&nbsp; Series 2025-RPL1, Class M2, 4.00%, 07/25/2069 <sup>(d)(g)</sup> | 4000000 | 3731872 |
| &nbsp;&nbsp; Series 2025-RPL2, Class A2, 4.00%, 08/25/2064 <sup>(d)(g)</sup> | 8000000 | 7659168 |
|  Progress Residential Trust Series 2023-SFR2, Class D, 4.50%, 10/17/2040 <sup>(d)</sup> | 800000 | 789363 |
| PRPM LLC | PRPM LLC | PRPM LLC |
| &nbsp;&nbsp; Series 2022-NQM1, Class B1, 5.40%, 08/25/2067 <sup>(a)(d)</sup> | 3750000 | 3797895 |
| &nbsp;&nbsp; Series 2024-7, Class A1, 5.87%, 11/25/2029 <sup>(d)(g)</sup> | 2481147 | 2482031 |
| &nbsp;&nbsp; Series 2024-RPL4, Class A3, 4.00%, 12/25/2054 <sup>(d)(g)</sup> | 2936000 | 2791986 |
| &nbsp;&nbsp; Series 2025-RCF4, Class M2, 4.50%, 08/25/2055 <sup>(d)(g)</sup> | 2000000 | 1836242 |
| Radnor RE Ltd. | Radnor RE Ltd. | Radnor RE Ltd. |
| &nbsp;&nbsp; Series 2024-1, Class M1C, 7.68% (30 day avg SOFR US + 3.50%), 09/25/2034 <sup>(d)</sup> | 500000 | 506792 |
| &nbsp;&nbsp; Series 2024-1, Class M2, 8.18% (30 day avg SOFR US + 4.00%), 09/25/2034 <sup>(d)</sup> | 1500000 | 1541870 |
| RALI Trust | RALI Trust | RALI Trust |
| &nbsp;&nbsp; Series 2005-QA13, Class 2A1, 5.27%, 12/25/2035 <sup>(a)(c)</sup> | 2985371 | 2675851 |
| &nbsp;&nbsp; Series 2005-QO5, Class X, 1.66%, 01/25/2046 <sup>(a)(b)</sup> | 18855167 | 1570692 |
| &nbsp;&nbsp; Series 2005-QS13, Class AP, 0.00%, 09/25/2035 <sup>(e)</sup> | 166873 | 110117 |
| &nbsp;&nbsp; Series 2005-QS17, Class A1, 6.00%, 12/25/2035 <sup>(c)</sup> | 1388353 | 1235634 |
| &nbsp;&nbsp; Series 2005-QS17, Class AP, 0.00%, 12/25/2035 <sup>(e)</sup> | 216346 | 144138 |
| &nbsp;&nbsp; Series 2006-QA7, Class 2A1, 4.48% (1 mo. Term SOFR + 0.48%), 08/25/2036 <sup>(c)</sup> | 4202156 | 3802884 |
| &nbsp;&nbsp; Series 2006-QA9, Class A1, 4.47% (1 mo. Term SOFR + 0.47%), 11/25/2036, (11.00% Cap) | 1305613 | 701518 |
| &nbsp;&nbsp; Series 2006-QS11, Class 1A2, 6.00%, 08/25/2036 <sup>(c)</sup> | 1576153 | 1266380 |
| &nbsp;&nbsp; Series 2006-QS11, Class 1A8, 6.00%, 08/25/2036 <sup>(c)</sup> | 1570320 | 1261798 |
| &nbsp;&nbsp; Series 2006-QS12, Class AP, 0.00%, 09/25/2036 <sup>(e)</sup> | 67790 | 41314 |
| &nbsp;&nbsp; Series 2006-QS14, Class A15, 4.41% (1 mo. Term SOFR + 0.41%), 11/25/2036, (7.50% Cap) | 1222114 | 886300 |
| &nbsp;&nbsp; Series 2006-QS15, Class A5, 6.50%, 10/25/2036 | 833928 | 715196 |
| &nbsp;&nbsp; Series 2006-QS15, Class AP, 0.00%, 10/25/2036 <sup>(e)</sup> | 91987 | 44061 |
| &nbsp;&nbsp; Series 2006-QS16, Class AP, 0.00%, 11/25/2036 <sup>(e)</sup> | 91428 | 44870 |
| &nbsp;&nbsp; Series 2006-QS3, Class 1A1, 4.81% (1 mo. Term SOFR + 0.81%), 03/25/2036, (5.50% Cap) <sup>(c)</sup> | 2061429 | 1719529 |
| &nbsp;&nbsp; Series 2006-QS3, Class 1A8, 4.51% (1 mo. Term SOFR + 0.51%), 03/25/2036, (6.00% Cap) | 1112169 | 944106 |
| &nbsp;&nbsp; Series 2006-QS5, Class AP, 0.00%, 05/25/2036 <sup>(e)</sup> | 24685 | 15040 |
| &nbsp;&nbsp; Series 2006-QS9, Class 1AP, 0.00%, 07/25/2036 <sup>(e)</sup> | 14957 | 9003 |
| &nbsp;&nbsp; Series 2006-QS9, Class 2AP, 0.00%, 07/25/2036 <sup>(e)</sup> | 14951 | 0 |
| &nbsp;&nbsp; Series 2007-QA2, Class A3, 4.41% (1 mo. Term SOFR + 0.41%), 02/25/2037, (14.00% Cap) <sup>(c)</sup> | 4264942 | 3697120 |
| &nbsp;&nbsp; Series 2007-QS1, Class 1AP, 0.00%, 01/25/2037 <sup>(e)</sup> | 16831 | 13556 |
| &nbsp;&nbsp; Series 2007-QS3, Class AP, 0.00%, 02/25/2037 <sup>(e)</sup> | 336760 | 154634 |
| &nbsp;&nbsp; Series 2007-QS4, Class 4A3, 0.00%, 03/25/2037 <sup>(e)</sup> | 490346 | 0 |
| &nbsp;&nbsp; Series 2007-QS5, Class AP, 0.00%, 03/25/2037 <sup>(e)</sup> | 153094 | 79436 |
| &nbsp;&nbsp; Series 2007-QS6, Class AP, 0.00%, 04/25/2037 <sup>(e)</sup> | 257866 | 126721 |
| &nbsp;&nbsp; Series 2007-QS9, Class AP, 0.00%, 07/25/2037 <sup>(e)</sup> | 736366 | 346946 |
| Rate Mortgage Trust | Rate Mortgage Trust | Rate Mortgage Trust |
| &nbsp;&nbsp; Series 2021-HB1, Class B4, 2.70%, 12/25/2051 <sup>(a)(d)</sup> | 2418827 | 1688242 |
| &nbsp;&nbsp; Series 2021-J1, Class B4, 2.71%, 07/25/2051 <sup>(a)(d)</sup> | 1291000 | 648113 |
| &nbsp;&nbsp; Series 2022-J1, Class B4, 2.75%, 01/25/2052 <sup>(a)(d)</sup> | 3423941 | 1959011 |
| &nbsp;&nbsp; Series 2024-J2, Class A2, 5.50%, 07/25/2054 <sup>(a)(d)</sup> | 1329200 | 1332893 |
| &nbsp;&nbsp; Series 2024-J2, Class B5, 6.44%, 07/25/2054 <sup>(a)(d)</sup> | 927000 | 710378 |
| &nbsp;&nbsp; Series 2024-J3, Class B4, 6.40%, 10/25/2054 <sup>(a)(d)</sup> | 747000 | 599256 |
| &nbsp;&nbsp; Series 2024-J3, Class B5, 6.40%, 10/25/2054 <sup>(a)(d)</sup> | 935000 | 721827 |
|  RBSSP Resecuritization Trust Series 2009-3, Class 3A3, 5.75%, 09/26/2035 <sup>(a)(d)</sup> | 1172220 | 1044337 |
| RCKT Mortgage Trust | RCKT Mortgage Trust | RCKT Mortgage Trust |
| &nbsp;&nbsp; Series 2021-2, Class B4, 2.56%, 06/25/2051 <sup>(a)(d)</sup> | 2363730 | 1688235 |
| &nbsp;&nbsp; Series 2021-2, Class B5, 2.56%, 06/25/2051 <sup>(a)(d)</sup> | 1566000 | 758069 |
| &nbsp;&nbsp; Series 2022-1, Class B3, 2.75%, 01/25/2052 <sup>(a)(c)(d)</sup> | 9256925 | 7181226 |
| &nbsp;&nbsp; Series 2022-1, Class B4, 2.75%, 01/25/2052 <sup>(a)(d)</sup> | 5197193 | 3692450 |
| &nbsp;&nbsp; Series 2022-1, Class B5, 2.75%, 01/25/2052 <sup>(a)(d)</sup> | 2245000 | 1013860 |
| Residential Asset Securitization Trust | Residential Asset Securitization Trust | Residential Asset Securitization Trust |
| &nbsp;&nbsp; Series 2005-A11, Class 1A1, 4.56% (1 mo. Term SOFR + 0.56%), 10/25/2035, (5.50% Cap) | 1472670 | 915652 |
| &nbsp;&nbsp; Series 2005-A11, Class 1A3, 5.50%, 10/25/2035 | 1332956 | 896983 |
| &nbsp;&nbsp; Series 2005-A11, Class PO, 0.00%, 10/25/2035 <sup>(e)</sup> | 519208 | 221850 |
| &nbsp;&nbsp; Series 2006-A2, Class A5, 4.81% (1 mo. Term SOFR + 0.81%), 01/25/2046, (6.00% Cap) | 1846479 | 578566 |
| &nbsp;&nbsp; Series 2007-A2, Class 2A2, 6.50%, 04/25/2037 | 3943420 | 1166499 |
| &nbsp;&nbsp; Series 2007-A8, Class 1A1, 6.00%, 08/25/2037 | 3864867 | 1857652 |
| RFMSI Trust | RFMSI Trust | RFMSI Trust |
| &nbsp;&nbsp; Series 2005-S7, Class AP, 0.00%, 11/25/2035 <sup>(e)</sup> | 10955 | 7186 |
| &nbsp;&nbsp; Series 2006-S10, Class 1AP, 0.00%, 10/25/2036 <sup>(e)</sup> | 10955 | 5680 |
| &nbsp;&nbsp; Series 2006-S4, Class AP, 0.00%, 04/25/2036 <sup>(e)</sup> | 103529 | 67737 |
| &nbsp;&nbsp; Series 2006-S5, Class A4, 0.00%, 06/25/2036 <sup>(e)</sup> | 26443 | 15118 |
| &nbsp;&nbsp; Series 2007-S5, Class AP, 0.00%, 05/25/2037 <sup>(e)</sup> | 161110 | 82753 |
| Rithm Capital Corp. | Rithm Capital Corp. | Rithm Capital Corp. |
| &nbsp;&nbsp; Series 2021-NQM3, Class B2, 4.05%, 11/27/2056 <sup>(a)(d)</sup> | 2729000 | 2345008 |
| &nbsp;&nbsp; Series 2022-SFR2, Class E2, 4.00%, 09/04/2039 <sup>(d)</sup> | 2554000 | 2460919 |
| Saluda Grade Mortgage Funding LLC | Saluda Grade Mortgage Funding LLC | Saluda Grade Mortgage Funding LLC |
| &nbsp;&nbsp; Series 2020-SEQ1, Class A1, 3.32%, 05/25/2050 <sup>(a)(d)</sup> | 2031141 | 1994240 |
| &nbsp;&nbsp; Series 2020-SEQ1, Class C, 0.00%, 05/25/2050 <sup>(a)(b)(d)</sup> | 26202262 | 2983442 |
| &nbsp;&nbsp; Series 2021-FIG2, Class M1, 4.25%, 10/25/2051 <sup>(a)(d)</sup> | 1449524 | 1465806 |
| &nbsp;&nbsp; Series 2021-FIG2, Class M2, 6.00%, 10/25/2051 <sup>(a)(d)</sup> | 1159619 | 1172118 |
| &nbsp;&nbsp; Series 2021-MF1, Class A1, 3.81%, 11/25/2029 <sup>(a)(d)</sup> | 6884819 | 6669324 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class B1, 5.50%, 02/25/2052 <sup>(a)(d)</sup> | 3153250 | 2947365 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class B2, 6.00%, 02/25/2052 <sup>(a)(d)</sup> | 2011000 | 1864308 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class B3, 7.51%, 02/25/2052 <sup>(a)(d)</sup> | 2141093 | 2032264 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class CERT, 0.00%, 02/25/2052 <sup>(d)</sup> | 38061600 | 36016322 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class M1, 5.00%, 02/25/2052 <sup>(a)(d)</sup> | 5213750 | 4925602 |
| &nbsp;&nbsp; Series 2022-SEQ2, Class XS, 0.00%, 02/25/2052 <sup>(a)(b)(d)</sup> | 92453435 | 858430 |
| &nbsp;&nbsp; Series 2022-SG2, Class A, 8.00%, 05/15/2052 <sup>(d)(g)</sup> | 15000000 | 15128160 |
| &nbsp;&nbsp; Series 2023-FIG3, Class A, 7.07%, 08/25/2053 <sup>(a)(d)</sup> | 2770554 | 2828148 |
| &nbsp;&nbsp; Series 2023-FIG4, Class A, 6.72%, 11/25/2053 <sup>(a)(d)</sup> | 4376971 | 4476954 |
| &nbsp;&nbsp; Series 2023-SEQ3, Class A2, 6.89%, 06/01/2053 <sup>(a)(d)</sup> | 4250000 | 4312717 |
| &nbsp;&nbsp; Series 2025-LOC5, Class B1, 7.74% (1 mo. Term SOFR + 3.75%), 10/25/2055 <sup>(d)</sup> | 3029000 | 3050312 |
| &nbsp;&nbsp; Series 2025-NPL1, Class A1, 7.12%, 01/25/2030 <sup>(d)(g)</sup> | 8909118 | 8928824 |
| &nbsp;&nbsp; Series 2025-NPL1, Class A2, 9.05%, 01/25/2030 <sup>(d)(g)</sup> | 1250000 | 1256395 |
| &nbsp;&nbsp; Series 2025-NPL2, Class A1, 7.77%, 05/25/2030 <sup>(d)(g)</sup> | 6932418 | 6975988 |
| Sequoia Mortgage Trust | Sequoia Mortgage Trust | Sequoia Mortgage Trust |
| &nbsp;&nbsp; Series 2005-2, Class XA, 0.05%, 03/20/2035 <sup>(a)(b)</sup> | 2750983 | 0 |
| &nbsp;&nbsp; Series 2007-1, Class 5A1, 4.08%, 10/20/2046 <sup>(a)(c)</sup> | 1602433 | 1171867 |
| &nbsp;&nbsp; Series 2021-1, Class B4, 2.66%, 03/25/2051 <sup>(a)(d)</sup> | 2326292 | 1453746 |
| &nbsp;&nbsp; Series 2023-4, Class A10, 5.99%, 11/25/2053 <sup>(a)(d)</sup> | 1363528 | 1370528 |
| &nbsp;&nbsp; Series 2023-5, Class B4, 5.90%, 12/25/2053 <sup>(a)(d)</sup> | 1191000 | 934404 |
| &nbsp;&nbsp; Series 2024-8, Class B4, 6.65%, 09/25/2054 <sup>(a)(d)</sup> | 2812457 | 2608090 |
| SGR Residential Mortgage Trust | SGR Residential Mortgage Trust | SGR Residential Mortgage Trust |
| &nbsp;&nbsp; Series 2020-2, Class A1, 1.38%, 05/25/2065 <sup>(a)(d)</sup> | 495985 | 460020 |
| &nbsp;&nbsp; Series 2021-2, Class A2, 1.94%, 12/25/2061 <sup>(a)(d)</sup> | 1539050 | 1334878 |
|  Shellpoint Asset Funding Trust Series 2013-1, Class B4, 3.84%, 07/25/2043 <sup>(a)(d)</sup> | 782566 | 702021 |
| Starwood Mortgage Residential Trust | Starwood Mortgage Residential Trust | Starwood Mortgage Residential Trust |
| &nbsp;&nbsp; Series 2021-1, Class B1, 3.52%, 05/25/2065 <sup>(a)(d)</sup> | 2743000 | 2409632 |
| &nbsp;&nbsp; Series 2021-2, Class A3, 1.43%, 05/25/2065 <sup>(a)(d)</sup> | 110417 | 105770 |
| &nbsp;&nbsp; Series 2021-3, Class M1, 2.49%, 06/25/2056 <sup>(a)(c)(d)</sup> | 5170000 | 4105233 |
| &nbsp;&nbsp; Series 2021-5, Class A3, 2.44%, 09/25/2066 <sup>(a)(d)</sup> | 6585422 | 5870107 |
| &nbsp;&nbsp; Series 2021-6, Class B2, 3.94%, 11/25/2066 <sup>(a)(d)</sup> | 3921000 | 3008881 |
| &nbsp;&nbsp; Series 2022-3, Class A3, 4.16%, 03/25/2067 <sup>(a)(d)</sup> | 2199761 | 2077092 |
| &nbsp;&nbsp; Series 2022-SFR3, Class A, 5.68% (1 mo. Term SOFR + 1.65%), 05/17/2039 <sup>(d)</sup> | 1967852 | 1975443 |
| Structured Asset Mortgage Investments, Inc. | Structured Asset Mortgage Investments, Inc. | Structured Asset Mortgage Investments, Inc. |
| &nbsp;&nbsp; Series 2004-AR1, Class X, 0.00%, 03/19/2034 <sup>(a)(b)</sup> | 3036769 | 30 |
| &nbsp;&nbsp; Series 2004-AR7, Class X, 0.55%, 04/19/2035 <sup>(a)(b)</sup> | 4943071 | 29194 |
| &nbsp;&nbsp; Series 2005-AR2, Class 1X, 0.08%, 05/25/2045 <sup>(a)(b)</sup> | 6358639 | 9131 |
| &nbsp;&nbsp; Series 2005-AR3, Class 1X, 0.01%, 08/25/2035 <sup>(a)(b)</sup> | 8250547 | 14348 |
| &nbsp;&nbsp; Series 2006-AR5, Class 1X, 0.00%, 05/25/2046 <sup>(a)(b)</sup> | 9978858 | 111055 |
| &nbsp;&nbsp; Series 2006-AR5, Class 4X, 0.00%, 05/25/2046 <sup>(a)(b)</sup> | 34688932 | 26884 |
| &nbsp;&nbsp; Series 2006-AR7, Class X, 0.90%, 08/25/2036 <sup>(b)</sup> | 21654607 | 729370 |
|  Terwin Mortgage Trust Series 2005-18AL, Class PX, 0.00%, 01/25/2037 <sup>(a)(b)(d)</sup> | 21239332 | 140732 |
| Towd Point Mortgage Trust | Towd Point Mortgage Trust | Towd Point Mortgage Trust |
| &nbsp;&nbsp; Series 2017-6, Class B4, 3.31%, 10/25/2057 <sup>(a)(d)</sup> | 4500000 | 3191441 |
| &nbsp;&nbsp; Series 2018-2, Class B4, 3.70%, 03/25/2058 <sup>(a)(d)</sup> | 3000000 | 2090046 |
| &nbsp;&nbsp; Series 2018-5, Class B3, 3.44%, 07/25/2058 <sup>(a)(d)</sup> | 3000000 | 2089827 |
| &nbsp;&nbsp; Series 2019-1, Class B2, 3.79%, 03/25/2058 <sup>(a)(d)</sup> | 3000000 | 2373390 |
| &nbsp;&nbsp; Series 2019-HY2, Class B3, 6.36% (1 mo. Term SOFR + 2.36%), 05/25/2058 <sup>(d)</sup> | 2294000 | 2094229 |
| &nbsp;&nbsp; Series 2021-SJ2, Class A2, 2.50%, 12/25/2061 <sup>(a)(d)</sup> | 2548781 | 2389355 |
| &nbsp;&nbsp; Series 2024-3, Class M2, 5.03%, 07/25/2065 <sup>(a)(d)</sup> | 1695000 | 1537294 |
| &nbsp;&nbsp; Series 2024-4, Class A2, 4.55%, 10/27/2064 <sup>(a)(d)</sup> | 2897000 | 2773011 |
| &nbsp;&nbsp; Series 2024-4, Class M1, 4.55%, 10/27/2064 <sup>(a)(d)</sup> | 4966000 | 4576780 |
|  Triangle Re Ltd. Series 2023-1, Class M1A, 7.58% (30 day avg SOFR US + 3.40%), 11/25/2033 <sup>(d)</sup> | 2464614 | 2481637 |
|  Unlock Hea Trust Series 2023-1, Class A, 7.00%, 10/25/2038 <sup>(d)</sup> | 1610834 | 1609515 |
| UWM Mortgage Trust | UWM Mortgage Trust | UWM Mortgage Trust |
| &nbsp;&nbsp; Series 2021-INV1, Class B5, 3.15%, 08/25/2051 <sup>(a)(d)</sup> | 1528449 | 1195241 |
| &nbsp;&nbsp; Series 2021-INV2, Class B5, 3.24%, 09/25/2051 <sup>(a)(d)</sup> | 2005008 | 1601560 |
|  VCAT Asset Securitization LLC Series 2025-NPL1, Class A1, 5.88%, 01/25/2055 <sup>(d)(g)</sup> | 784466 | 787589 |
| Verus Securitization Trust | Verus Securitization Trust | Verus Securitization Trust |
| &nbsp;&nbsp; Series 2021-3, Class B1, 3.20%, 06/25/2066 <sup>(a)(d)</sup> | 1750000 | 1361413 |
| &nbsp;&nbsp; Series 2021-3, Class B2, 3.96%, 06/25/2066 <sup>(a)(d)</sup> | 2270000 | 1698979 |
| &nbsp;&nbsp; Series 2021-3, Class M1, 2.40%, 06/25/2066 <sup>(a)(d)</sup> | 2500000 | 1937618 |
| &nbsp;&nbsp; Series 2021-4, Class A3, 1.35%, 07/25/2066 <sup>(a)(d)</sup> | 1461360 | 1214641 |
| &nbsp;&nbsp; Series 2022-2, Class B1, 4.26%, 02/25/2067 <sup>(a)(d)</sup> | 6743650 | 5673912 |
| &nbsp;&nbsp; Series 2022-3, Class B2, 4.05%, 02/25/2067 <sup>(a)(d)</sup> | 5296000 | 4223756 |
| &nbsp;&nbsp; Series 2022-3, Class M1, 4.05%, 02/25/2067 <sup>(a)(d)</sup> | 2500000 | 2136160 |
| &nbsp;&nbsp; Series 2023-6, Class B2, 7.78%, 09/25/2068 <sup>(a)(d)</sup> | 3450000 | 3526107 |
| &nbsp;&nbsp; Series 2023-INV1, Class M1, 7.47%, 02/25/2068 <sup>(a)(d)</sup> | 2300000 | 2310486 |
| &nbsp;&nbsp; Series 2025-1, Class B2, 7.35%, 01/25/2070 <sup>(a)(d)</sup> | 1250000 | 1254489 |
| &nbsp;&nbsp; Series 2025-4, Class B1, 7.44%, 05/25/2070 <sup>(a)(d)</sup> | 2600000 | 2674118 |
| &nbsp;&nbsp; Series 2025-5, Class B2, 7.33%, 06/25/2070 <sup>(a)(d)</sup> | 1350000 | 1355285 |
| &nbsp;&nbsp; Series 2025-7, Class B2, 7.51%, 08/25/2070 <sup>(a)(d)</sup> | 1250000 | 1259851 |
| Vista Point Securitization Trust | Vista Point Securitization Trust | Vista Point Securitization Trust |
| &nbsp;&nbsp; Series 2024-CES1, Class B2, 10.35%, 05/25/2054 <sup>(a)(d)</sup> | 1000000 | 1045287 |
| &nbsp;&nbsp; Series 2024-CES2, Class A3, 5.91%, 10/25/2054 <sup>(d)(g)</sup> | 1000000 | 1003982 |
| &nbsp;&nbsp; Series 2024-CES2, Class B1, 7.50%, 10/25/2054 <sup>(a)(d)</sup> | 1000000 | 1028754 |
| &nbsp;&nbsp; Series 2024-CES3, Class B1, 7.83%, 01/25/2055 <sup>(a)(d)</sup> | 1750000 | 1787977 |
| &nbsp;&nbsp; Series 2025-CES2, Class B2, 8.15%, 08/25/2055 <sup>(a)(d)</sup> | 3250000 | 3358423 |
| Washington Mutual Alternative Mortgage Pass-Through Certificates | 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>(e)</sup> | 188 | 148 |
| &nbsp;&nbsp; Series 2004-AR10, Class X, 0.00%, 07/25/2044 <sup>(a)(b)</sup> | 6590547 | 534 |
| &nbsp;&nbsp; Series 2005-5, Class CB11, 5.51% (1 mo. Term SOFR + 1.51%), 07/25/2035, (6.00% Cap) <sup>(c)</sup> | 2525976 | 2275528 |
| &nbsp;&nbsp; Series 2005-AR6, Class X, 0.06%, 04/25/2045 <sup>(a)(b)</sup> | 12785305 | 80560 |
| &nbsp;&nbsp; Series 2006-AR8, Class 3X1, 0.04%, 10/25/2046 <sup>(a)(b)</sup> | 10205936 | 139352 |
| &nbsp;&nbsp; Series 2007-OA4, Class 1XPP, 0.00%, 05/25/2047 <sup>(a)(b)</sup> | 54761906 | 17140 |
| &nbsp;&nbsp; Series 2007-OA4, Class XPPP, 0.01%, 04/25/2047 <sup>(a)(b)</sup> | 17344046 | 61398 |
| &nbsp;&nbsp; Series 2007-OA5, Class 1XPP, 0.00%, 06/25/2047 <sup>(a)(b)</sup> | 50247102 | 3869 |
| Wells Fargo Mortgage Backed Securities Trust | 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>(e)</sup> | 14604 | 9406 |
| &nbsp;&nbsp; Series 2019-3, Class B4, 3.73%, 07/25/2049 <sup>(a)(d)</sup> | 1627000 | 1159607 |
| &nbsp;&nbsp; Series 2019-4, Class B4, 3.51%, 09/25/2049 <sup>(a)(d)</sup> | 2124000 | 1414960 |
| &nbsp;&nbsp; Series 2021-1, Class B4, 2.70%, 12/25/2050 <sup>(a)(d)</sup> | 1818000 | 992948 |
| &nbsp;&nbsp; Series 2021-1, Class B5, 2.70%, 12/25/2050 <sup>(a)(d)</sup> | 1011000 | 509809 |
| &nbsp;&nbsp; Series 2022-1, Class B4, 2.97%, 08/25/2051 <sup>(a)(d)</sup> | 1465950 | 1150930 |
| &nbsp;&nbsp; Series 2022-1, Class B5, 2.97%, 08/25/2051 <sup>(a)(d)</sup> | 1158000 | 553238 |
| Western Alliance Bancorp | Western Alliance Bancorp | Western Alliance Bancorp |
| &nbsp;&nbsp; Series 2021-CL2, Class B, 12.68% (30 day avg SOFR US + 8.50%), 07/25/2059 <sup>(d)</sup> | 6600000 | 6550295 |
| &nbsp;&nbsp; Series 2021-CL2, Class M4, 9.53% (30 day avg SOFR US + 5.35%), 07/25/2059 <sup>(d)</sup> | 11242553 | 11090430 |
| &nbsp;&nbsp; Series 2021-CL2, Class M5, 10.68% (30 day avg SOFR US + 6.50%), 07/25/2059 <sup>(d)</sup> | 6566982 | 6401284 |
| WinWater Mortgage Loan Trust | WinWater Mortgage Loan Trust | WinWater Mortgage Loan Trust |
| &nbsp;&nbsp; Series 2014-1, Class B5, 3.93%, 06/20/2044 <sup>(a)(d)</sup> | 2370000 | 1894090 |
| &nbsp;&nbsp; Series 2014-2, Class B5, 4.04%, 09/20/2044 <sup>(a)(d)</sup> | 1938000 | 1671510 |
| **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** (Cost $1,351,038,900) | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES** (Cost $1,351,038,900) | 1235176377 |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY - 15.5%** | **Par** | **Value**  |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; Pool QG6305, 4.50%, 07/01/2053 | 16710095 | 16345038 |
| &nbsp;&nbsp; Pool QJ0225, 6.00%, 07/01/2054 | 10803191 | 11104848 |
| &nbsp;&nbsp; Pool QJ5663, 5.00%, 10/01/2054 | 13056406 | 13016035 |
| &nbsp;&nbsp; Pool QJ6122, 5.00%, 10/01/2054 | 2845999 | 2831863 |
| &nbsp;&nbsp; Pool QJ7711, 5.00%, 11/01/2054 | 5014631 | 4995992 |
| &nbsp;&nbsp; Pool RA3515, 2.50%, 09/01/2050 | 12657841 | 10862427 |
| &nbsp;&nbsp; Pool RA4179, 2.50%, 12/01/2050 | 2474860 | 2105301 |
| &nbsp;&nbsp; Pool RJ1430, 6.00%, 05/01/2054 | 5520951 | 5652687 |
| &nbsp;&nbsp; Pool SD1581, 2.50%, 09/01/2052 | 5723405 | 4879392 |
| &nbsp;&nbsp; Pool SD1932, 3.50%, 02/01/2052 | 10532416 | 9741189 |
| &nbsp;&nbsp; Pool SD2500, 5.00%, 03/01/2053 | 10734140 | 10680823 |
| &nbsp;&nbsp; Pool SD3636, 6.00%, 08/01/2053 | 1324357 | 1361751 |
| &nbsp;&nbsp; Pool SD5781, 6.00%, 07/01/2054 | 7493296 | 7707215 |
| &nbsp;&nbsp; Pool SD6195, 5.00%, 10/01/2053 | 7927231 | 7927493 |
| &nbsp;&nbsp; Pool SD6869, 6.00%, 05/01/2054 | 7731964 | 7934580 |
| &nbsp;&nbsp; Pool SD8134, 2.00%, 03/01/2051 | 12295511 | 9997234 |
| &nbsp;&nbsp; Pool SD8150, 2.00%, 06/01/2051 | 5933608 | 4831915 |
| &nbsp;&nbsp; Pool SD8322, 4.50%, 05/01/2053 | 339436 | 330802 |
| &nbsp;&nbsp; Pool SL0817, 6.00%, 04/01/2055 | 3843433 | 3989910 |
| &nbsp;&nbsp; Pool SL1634, 2.50%, 07/01/2052 | 8695990 | 7413618 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; Pool 000TBA, 5.00%, 11/15/2040 | 40000000 | 39804854 |
| &nbsp;&nbsp; Pool BY0126, 5.50%, 04/01/2053 | 2443094 | 2478294 |
| &nbsp;&nbsp; Pool CA7278, 2.50%, 10/01/2050 | 6572300 | 5588324 |
| &nbsp;&nbsp; Pool CB2795, 3.00%, 02/01/2052 | 3762783 | 3342827 |
| &nbsp;&nbsp; Pool CB3349, 2.50%, 04/01/2052 | 3210680 | 2738431 |
| &nbsp;&nbsp; Pool CB3770, 3.50%, 06/01/2052 | 7414343 | 6851195 |
| &nbsp;&nbsp; Pool CB4211, 4.50%, 07/01/2052 | 13439749 | 13152501 |
| &nbsp;&nbsp; Pool CB4289, 4.50%, 08/01/2052 | 2910420 | 2846396 |
| &nbsp;&nbsp; Pool CB8004, 6.00%, 02/01/2054 | 4003862 | 4104403 |
| &nbsp;&nbsp; Pool CB8710, 6.00%, 06/01/2054 | 3318786 | 3408347 |
| &nbsp;&nbsp; Pool CB9060, 5.50%, 08/01/2054 | 9147408 | 9253472 |
| &nbsp;&nbsp; Pool CB9655, 5.00%, 12/01/2054 | 11658128 | 11614794 |
| &nbsp;&nbsp; Pool DB3770, 5.50%, 05/01/2054 | 4112675 | 4157791 |
| &nbsp;&nbsp; Pool DB6624, 5.50%, 06/01/2054 | 1145248 | 1170431 |
| &nbsp;&nbsp; Pool DC1302, 5.00%, 08/01/2054 | 1462229 | 1466619 |
| &nbsp;&nbsp; Pool DC3426, 5.00%, 09/01/2054 | 2793408 | 2784771 |
| &nbsp;&nbsp; Pool DC4050, 5.00%, 10/01/2054 | 20049586 | 19956255 |
| &nbsp;&nbsp; Pool DC5656, 5.00%, 11/01/2054 | 2955212 | 2964084 |
| &nbsp;&nbsp; Pool DC5739, 5.50%, 11/01/2054 | 2815518 | 2850805 |
| &nbsp;&nbsp; Pool FA0970, 6.00%, 03/01/2055 | 9983784 | 10223176 |
| &nbsp;&nbsp; Pool FA1386, 4.00%, 05/01/2053 | 18884342 | 17985749 |
| &nbsp;&nbsp; Pool FA1728, 6.00%, 10/01/2053 | 11685374 | 11971502 |
| &nbsp;&nbsp; Pool FP0069, 2.50%, 01/01/2052 | 12319395 | 10506535 |
| &nbsp;&nbsp; Pool FS6925, 2.50%, 12/01/2051 | 2236784 | 1904963 |
| &nbsp;&nbsp; Pool FS7280, 5.00%, 03/01/2053 | 10280208 | 10254846 |
| &nbsp;&nbsp; Pool FS8458, 5.50%, 11/01/2053 | 4176934 | 4227976 |
| &nbsp;&nbsp; Pool MA4562, 2.00%, 03/01/2052 | 8148268 | 6649058 |
| &nbsp;&nbsp; Pool MA4579, 3.00%, 04/01/2052 | 20371204 | 18081705 |
| &nbsp;&nbsp; Pool MA4624, 3.00%, 06/01/2052 | 16537869 | 14696134 |
| &nbsp;&nbsp; Pool MA5320, 4.00%, 03/01/2054 | 23764075 | 22570144 |
|  Government National Mortgage Association, Pool MA9166, 3.00%, 09/20/2053 | 3214076 | 2901812 |
| **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY** (Cost $414,344,948) | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY** (Cost $414,344,948) | 416218307 |
| **ASSET-BACKED SECURITIES - 13.8%** | **Par** | **Value**  |
| **Automobile - 7.9%** | **Automobile - 7.9%** | **Automobile - 7.9%** |
|  ACC Trust, Series 2022-1, Class D, 6.65%, 10/20/2028 <sup>(d)</sup> | 1500000 | 15 |
|  AgoraCapital Auto Securities Trust, Series 2025-1A, Class B, 7.27%, 11/25/2032 <sup>(d)</sup> | 2000000 | 2015101 |
|  American Heritage Auto Receivables Trust, Series 2024-1A, Class D, 6.34%, 01/18/2033 <sup>(d)</sup> | 750000 | 769720 |
|  Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class D, 7.38%, 09/17/2029 <sup>(d)</sup> | 500000 | 499097 |
| Avis Budget Car Rental LLC | Avis Budget Car Rental LLC | Avis Budget Car Rental LLC |
| &nbsp;&nbsp; Series 2021-1A, Class C, 2.13%, 08/20/2027 <sup>(d)</sup> | 540000 | 531059 |
| &nbsp;&nbsp; Series 2021-2A, Class D, 4.08%, 02/20/2028 <sup>(d)</sup> | 5000000 | 4893479 |
| &nbsp;&nbsp; Series 2023-4A, Class D, 7.31%, 06/20/2029 <sup>(d)</sup> | 5000000 | 5128967 |
|  Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class E, 10.37%, 07/15/2030 <sup>(d)</sup> | 11000000 | 11782057 |
|  CAL Receivables LLC, Series 2022-1, Class B, 8.58% (30 day avg SOFR US + 4.35%), 10/15/2026 <sup>(d)</sup> | 2815939 | 2822987 |
|  CarNow Auto Receivables Trust, Series 2022-1A, Class D, 5.79%, 09/15/2027 <sup>(d)</sup> | 2049468 | 1977670 |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust | Carvana Auto Receivables Trust |
| &nbsp;&nbsp; Series 2021-N1, Class F, 4.55%, 01/10/2028 <sup>(d)</sup> | 715394 | 711200 |
| &nbsp;&nbsp; Series 2021-N4, Class E, 4.53%, 09/11/2028 <sup>(d)</sup> | 11531896 | 11184389 |
| &nbsp;&nbsp; Series 2023-N2, Class E, 9.94%, 04/10/2030 <sup>(d)</sup> | 4000000 | 4199728 |
| &nbsp;&nbsp; Series 2023-N3, Class E, 9.49%, 09/10/2030 <sup>(d)</sup> | 4000000 | 4199967 |
| CPS Auto Trust | CPS Auto Trust | CPS Auto Trust |
| &nbsp;&nbsp; Series 2022-D, Class E, 12.12%, 06/17/2030 <sup>(d)</sup> | 4100000 | 4488729 |
| &nbsp;&nbsp; Series 2023-D, Class E, 10.13%, 05/15/2031 <sup>(d)</sup> | 6120000 | 6664768 |
| &nbsp;&nbsp; Series 2024-A, Class E, 8.42%, 08/15/2031 <sup>(d)</sup> | 1000000 | 1036544 |
| &nbsp;&nbsp; Series 2024-B, Class E, 8.36%, 11/17/2031 <sup>(d)</sup> | 7770000 | 8061502 |
| &nbsp;&nbsp; Series 2024-C, Class E, 8.04%, 03/15/2032 <sup>(d)</sup> | 1500000 | 1545561 |
| &nbsp;&nbsp; Series 2025-A, Class E, 7.65%, 08/16/2032 <sup>(d)</sup> | 1800000 | 1838366 |
| &nbsp;&nbsp; Series 2025-B, Class E, 7.95%, 03/15/2033 <sup>(d)</sup> | 2226000 | 2283637 |
| &nbsp;&nbsp; Series 2025-C, Class E, 6.59%, 02/15/2033 <sup>(d)</sup> | 4000000 | 3908366 |
| &nbsp;&nbsp; Series 2025-D, Class E, 7.69%, 05/16/2033 <sup>(d)</sup> | 2000000 | 2027762 |
| Exeter Automobile Receivables Trust | Exeter Automobile Receivables Trust | Exeter Automobile Receivables Trust |
| &nbsp;&nbsp; Series 2022-1A, Class E, 5.02%, 10/15/2029 <sup>(d)</sup> | 6000000 | 5869424 |
| &nbsp;&nbsp; Series 2022-2A, Class E, 6.34%, 10/15/2029 <sup>(d)</sup> | 9300000 | 9024875 |
| &nbsp;&nbsp; Series 2022-5A, Class E, 10.45%, 04/15/2030 <sup>(d)</sup> | 7146000 | 7541447 |
| &nbsp;&nbsp; Series 2022-6A, Class E, 11.61%, 06/17/2030 <sup>(d)</sup> | 5500000 | 5930060 |
| &nbsp;&nbsp; Series 2023-2A, Class E, 9.75%, 11/15/2030 <sup>(d)</sup> | 2640000 | 2821503 |
| &nbsp;&nbsp; Series 2023-3A, Class E, 9.98%, 01/15/2031 <sup>(d)</sup> | 3028000 | 3251644 |
| &nbsp;&nbsp; Series 2024-1A, Class E, 7.89%, 08/15/2031 <sup>(d)</sup> | 2375000 | 2466182 |
| &nbsp;&nbsp; Series 2024-2A, Class E, 7.98%, 10/15/2031 <sup>(d)</sup> | 4096000 | 4279353 |
| &nbsp;&nbsp; Series 2024-3A, Class E, 7.84%, 10/15/2031 <sup>(d)</sup> | 11784000 | 12257227 |
| &nbsp;&nbsp; Series 2024-5A, Class E, 7.22%, 05/17/2032 <sup>(d)</sup> | 3000000 | 3074924 |
| FHF Trust | FHF Trust | FHF Trust |
| &nbsp;&nbsp; Series 2023-2A, Class D, 9.31%, 10/15/2030 <sup>(d)</sup> | 688000 | 705805 |
| &nbsp;&nbsp; Series 2024-2A, Class D, 7.15%, 09/15/2031 <sup>(d)</sup> | 1128000 | 1102511 |
| &nbsp;&nbsp; Series 2024-3A, Class D, 6.01%, 12/15/2031 <sup>(d)</sup> | 1717000 | 1613669 |
| &nbsp;&nbsp; Series 2025-1A, Class D, 5.95%, 06/15/2032 <sup>(d)</sup> | 600000 | 566365 |
| Flagship Credit Auto Trust | Flagship Credit Auto Trust | Flagship Credit Auto Trust |
| &nbsp;&nbsp; Series 2021-2, Class E, 3.16%, 09/15/2028 <sup>(d)</sup> | 4100000 | 3971890 |
| &nbsp;&nbsp; Series 2021-4, Class E, 4.03%, 03/15/2029 <sup>(d)</sup> | 4000000 | 3421991 |
| &nbsp;&nbsp; Series 2022-1, Class E, 5.37%, 06/15/2029 <sup>(d)</sup> | 1000000 | 653269 |
| &nbsp;&nbsp; Series 2024-1, Class E, 8.60%, 05/15/2031 <sup>(d)</sup> | 1150000 | 1067640 |
|  Foursight Capital Automobile Receivables Trust, Series 2022-1, Class E, 4.69%, 08/15/2029 <sup>(d)</sup> | 5000000 | 4986068 |
| GLS Auto Receivables Trust | GLS Auto Receivables Trust | GLS Auto Receivables Trust |
| &nbsp;&nbsp; Series 2023-1A, Class E, 11.42%, 03/15/2030 <sup>(d)</sup> | 7870000 | 8576528 |
| &nbsp;&nbsp; Series 2023-2A, Class E, 9.37%, 01/15/2030 <sup>(d)</sup> | 3000000 | 3207092 |
| &nbsp;&nbsp; Series 2023-3A, Class E, 9.27%, 08/15/2030 <sup>(d)</sup> | 2500000 | 2677625 |
| &nbsp;&nbsp; Series 2023-4A, Class E, 9.72%, 08/15/2030 <sup>(d)</sup> | 5270000 | 5727044 |
| &nbsp;&nbsp; Series 2024-3A, Class E, 7.25%, 06/16/2031 <sup>(d)</sup> | 1000000 | 1021078 |
| &nbsp;&nbsp; Series 2024-4A, Class E, 7.51%, 08/15/2031 <sup>(d)</sup> | 1500000 | 1545329 |
| &nbsp;&nbsp; Series 2025-1A, Class E, 7.19%, 03/15/2032 <sup>(d)</sup> | 1000000 | 1014484 |
| Hertz Corp. | Hertz Corp. | Hertz Corp. |
| &nbsp;&nbsp; Series 2022-2A, Class D, 5.16%, 06/26/2028 <sup>(d)</sup> | 4000000 | 3909924 |
| &nbsp;&nbsp; Series 2023-4A, Class C, 7.51%, 03/25/2030 <sup>(d)</sup> | 800000 | 843578 |
|  Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class D, 9.43% (30 day avg SOFR US + 5.25%), 05/20/2032 <sup>(d)</sup> | 872018 | 890733 |
|  JPMorgan Chase Bank NA, Series 2021-2, Class G, 8.48%, 12/26/2028 <sup>(d)</sup> | 507479 | 507856 |
|  Kinetic Advantage Master Owner Trust Series 2024-1A, Class A, 6.88% (30 day avg SOFR US + 2.65%), 11/15/2027 <sup>(d)</sup> | 750000 | 750372 |
|  Prestige Auto Receivables Trust, Series 2024-1A, Class E, 7.94%, 04/15/2031 <sup>(d)</sup> | 6682000 | 6743686 |
|  Research-Driven Pagaya Motor Asset Trust, Series 2025-3A, Class E, 11.09%, 02/27/2034 <sup>(d)</sup> | 1000000 | 1000226 |
|  Santander Holdings USA, Inc., Series 2024-A, Class F, 10.17%, 06/15/2032 <sup>(d)</sup> | 1067584 | 1086427 |
|  Skopos Auto Receivable Trust, Series 2019-1A, Class E, 7.82%, 06/15/2026 <sup>(d)</sup> | 493056 | 493200 |
|  Strike Acceptance Auto Funding Trust, Series 2023-1A, Class A, 8.00%, 05/15/2026 <sup>(d)</sup> | 1182173 | 1186875 |
|  Upgrade Auto Receivables Trust, Series 2025-1A, Class C, 5.55%, 04/15/2032 <sup>(d)</sup> | 2744000 | 2717271 |
| US Auto Funding Trust | US Auto Funding Trust | US Auto Funding Trust |
| &nbsp;&nbsp; Series 2022-1A, Class B, 5.13%, 12/15/2025 <sup>(d)</sup> | 1283672 | 469298 |
| &nbsp;&nbsp; Series 2022-1A, Class D, 9.14%, 07/15/2027 <sup>(d)</sup> | 2053000 | 21 |
| Veros Automobile Receivables Trust | Veros Automobile Receivables Trust | Veros Automobile Receivables Trust |
| &nbsp;&nbsp; Series 2024-1, Class D, 9.87%, 05/15/2031 <sup>(d)</sup> | 3500000 | 3631589 |
| &nbsp;&nbsp; Series 2025-1, Class C, 6.17%, 12/17/2029 <sup>(d)</sup> | 1400000 | 1418914 |
| &nbsp;&nbsp; Series 2025-1, Class D, 8.79%, 05/17/2032 <sup>(d)</sup> | 1500000 | 1539913 |
|  Westlake Automobile Receivables Trust, Series 2021-3A, Class F, 4.25%, 06/15/2028 <sup>(d)</sup> | 3000000 | 2991894 |
|  |  | 211127475 |
| **Consumer - 5.1%** | **Consumer - 5.1%** | **Consumer - 5.1%** |
|  ACHV ABS Trust Series 2024-3AL, Class E, 7.00%, 12/26/2031 <sup>(d)</sup> | 1701174 | 1693688 |
| Affirm, Inc. | Affirm, Inc. | Affirm, Inc. |
| &nbsp;&nbsp; Series 2024-A, Class 1E, 9.17%, 02/15/2029 <sup>(d)</sup> | 6440000 | 6479521 |
| &nbsp;&nbsp; Series 2024-A, Class D, 6.89%, 02/15/2029 <sup>(d)</sup> | 900000 | 904082 |
| &nbsp;&nbsp; Series 2024-A, Class E, 9.17%, 02/15/2029 <sup>(d)</sup> | 3350000 | 3370558 |
| &nbsp;&nbsp; Series 2024-X1, Class CERT, 0.00%, 05/15/2029 <sup>(d)</sup> | 10885 | 97840 |
| &nbsp;&nbsp; Series 2024-X2, Class CERT, 0.00%, 12/17/2029 <sup>(d)</sup> | 9712 | 272835 |
| Aqua Finance Trust | Aqua Finance Trust | Aqua Finance Trust |
| &nbsp;&nbsp; Series 2019-A, Class D, 6.07%, 07/16/2040 <sup>(d)</sup> | 1721745 | 1709334 |
| &nbsp;&nbsp; Series 2021-A, Class C, 3.14%, 07/17/2046 <sup>(d)</sup> | 2220000 | 2053400 |
|  Bankers Healthcare Group, Inc. Series 2022-C, Class E, 9.73%, 10/17/2035 <sup>(d)</sup> | 2517000 | 2713989 |
|  Foundation Finance Trust Series 2025-2A, Class E, 8.35%, 04/15/2052 <sup>(d)</sup> | 1000000 | 1006106 |
| 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>(d)</sup> | 6510752 | 6264826 |
| &nbsp;&nbsp; Series 2021-GRN2, Class D, 4.00%, 06/25/2051 <sup>(d)</sup> | 1769461 | 1721773 |
| LendingClub Receivables Trust | LendingClub Receivables Trust | LendingClub Receivables Trust |
| &nbsp;&nbsp; Series 2019-7, Class R1, 0.00%, 01/15/2027 <sup>(d)</sup> | 19049500 | 8286 |
| &nbsp;&nbsp; Series 2019-7, Class R2, 0.00%, 01/15/2027 <sup>(d)</sup> | 4408000 | 1917 |
| 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>(d)</sup> | 148676 | 147114 |
| &nbsp;&nbsp; Series 2022-A, Class E, 7.02%, 06/15/2029 <sup>(d)</sup> | 3320000 | 33 |
|  LendingPoint Pass-Through Trust Series 2022-ST3, Class CERT, 0.00%, 05/15/2028 <sup>(d)</sup> | 1576000 | 161994 |
| Marlette Funding Trust | Marlette Funding Trust | Marlette Funding Trust |
| &nbsp;&nbsp; Series 2022-3A, Class D, 7.80%, 11/15/2032 <sup>(d)</sup> | 3820000 | 3871932 |
| &nbsp;&nbsp; Series 2023-1A, Class D, 8.15%, 04/15/2033 <sup>(d)</sup> | 12000000 | 12223448 |
| &nbsp;&nbsp; Series 2023-2A, Class D, 7.92%, 06/15/2033 <sup>(d)</sup> | 19000000 | 19365674 |
| &nbsp;&nbsp; Series 2024-1A, Class D, 6.93%, 07/17/2034 <sup>(d)</sup> | 500000 | 513839 |
| &nbsp;&nbsp; Series 2025-1A, Class D, 6.02%, 07/16/2035 <sup>(d)</sup> | 1500000 | 1512483 |
| Momnt Technologies Trust | Momnt Technologies Trust | Momnt Technologies Trust |
| &nbsp;&nbsp; Series 2023-1A, Class B, 8.29%, 03/20/2045 <sup>(d)</sup> | 400000 | 412304 |
| &nbsp;&nbsp; Series 2023-1A, Class C, 11.24%, 03/20/2045 <sup>(d)</sup> | 900000 | 818683 |
|  NetCredit Funding LLC Series 2025-A, Class A, 7.29%, 10/20/2031 <sup>(d)</sup> | 2045320 | 2084291 |
| Oportun Financial Corp. | Oportun Financial Corp. | Oportun Financial Corp. |
| &nbsp;&nbsp; Series 2021-C, Class D, 5.57%, 10/08/2031 <sup>(d)</sup> | 861287 | 851167 |
| &nbsp;&nbsp; Series 2025-B, Class E, 9.40%, 05/09/2033 <sup>(d)</sup> | 2000000 | 2011340 |
| &nbsp;&nbsp; Series 2025-C, Class E, 9.20%, 07/08/2033 <sup>(d)</sup> | 1000000 | 992243 |
| &nbsp;&nbsp; Series 2025-D, Class D, 6.97%, 02/08/2033 <sup>(d)</sup> | 500000 | 497035 |
| 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>(d)</sup> | 751575 | 745508 |
| &nbsp;&nbsp; Series 2021-3, Class C, 3.27%, 05/15/2029 <sup>(d)</sup> | 557835 | 549444 |
| &nbsp;&nbsp; Series 2021-5, Class C, 3.93%, 08/15/2029 <sup>(d)</sup> | 647209 | 638992 |
| &nbsp;&nbsp; Series 2022-2, Class C, 7.50%, 01/15/2030 <sup>(d)</sup> | 3207278 | 3210595 |
| &nbsp;&nbsp; Series 2024-10, Class F, 12.00%, 06/15/2032 <sup>(d)</sup> | 1999831 | 1851578 |
| &nbsp;&nbsp; Series 2024-11, Class F, 12.00%, 07/15/2032 <sup>(d)</sup> | 1749799 | 1620451 |
| &nbsp;&nbsp; Series 2024-6, Class D, 11.35%, 11/15/2031 <sup>(d)</sup> | 300987 | 308697 |
| &nbsp;&nbsp; Series 2024-7, Class D, 10.90%, 12/15/2031 <sup>(d)</sup> | 1482416 | 1533309 |
| &nbsp;&nbsp; Series 2025-1, Class F, 12.00%, 07/15/2032 <sup>(d)</sup> | 1249893 | 1224289 |
| &nbsp;&nbsp; Series 2025-2, Class F, 12.00%, 10/15/2032 <sup>(d)</sup> | 999895 | 970682 |
| &nbsp;&nbsp; Series 2025-3, Class E, 12.63%, 12/15/2032 <sup>(d)</sup> | 3249343 | 3326579 |
| &nbsp;&nbsp; Series 2025-5, Class F, 12.00%, 03/15/2033 <sup>(d)</sup> | 1000000 | 954672 |
| &nbsp;&nbsp; Series 2025-6, Class E, 8.48%, 04/15/2033 <sup>(d)</sup> | 6800000 | 6769235 |
| &nbsp;&nbsp; Series 2025-6, Class F2, 12.00%, 04/15/2033 <sup>(d)</sup> | 1000000 | 957816 |
| &nbsp;&nbsp; Series 2025-7, Class E, 8.89%, 05/15/2033 <sup>(d)</sup> | 1000000 | 998930 |
|  Powerpay Securitization Funding LLC Series 2024-1A, Class B, 8.46%, 02/18/2039 <sup>(d)</sup> | 500000 | 519226 |
|  Prosper Marketplace Issuance Trust Series 2024-1A, Class D, 10.98%, 08/15/2029 <sup>(d)</sup> | 2000000 | 2063533 |
| Purchasing Power Funding | Purchasing Power Funding | Purchasing Power Funding |
| &nbsp;&nbsp; Series 2024-A, Class D, 7.26%, 08/15/2028 <sup>(d)</sup> | 600000 | 603331 |
| &nbsp;&nbsp; Series 2024-A, Class E, 10.18%, 08/15/2028 <sup>(d)</sup> | 400000 | 405232 |
|  RCKT Mortgage Trust Series 2025-2A, Class E, 7.83%, 11/27/2034 <sup>(d)</sup> | 2261000 | 2255683 |
|  Reach Financial LLC Series 2024-2A, Class D, 8.83%, 07/15/2031 <sup>(d)</sup> | 1000000 | 1059241 |
| 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>(d)</sup> | 1840000 | 1802111 |
| &nbsp;&nbsp; Series 2024-A, Class C, 7.28%, 08/20/2032 <sup>(d)</sup> | 600000 | 614792 |
| &nbsp;&nbsp; Series 2024-A, Class D, 9.49%, 08/20/2032 <sup>(d)</sup> | 500000 | 519084 |
| Sunbit Asset Securitization Trust | Sunbit Asset Securitization Trust | Sunbit Asset Securitization Trust |
| &nbsp;&nbsp; Series 2025-1, Class C, 6.12%, 07/15/2030 <sup>(d)</sup> | 1000000 | 1004087 |
| &nbsp;&nbsp; Series 2025-1, Class D, 7.92%, 07/15/2030 <sup>(d)</sup> | 750000 | 762086 |
|  Theorem Funding Trust Series 2022-2A, Class B, 9.27%, 12/15/2028 <sup>(d)</sup> | 3502395 | 3507415 |
|  Upgrade Master Pass-Thru Trust Series 2021-PT2, Class A, 18.26%, 05/15/2027 <sup>(a)(d)</sup> | 204618 | 199181 |
|  Upgrade Receivables Trust Series 2024-1A, Class D, 8.90%, 02/18/2031 <sup>(d)</sup> | 1000000 | 1020126 |
| 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>(d)</sup> | 8452371 | 47041 |
| &nbsp;&nbsp; Series 2021-ST3, Class CERT, 0.00%, 05/20/2027 <sup>(d)</sup> | 11400000 | 592350 |
| &nbsp;&nbsp; Series 2021-ST4, Class CERT, 0.00%, 07/20/2027 <sup>(d)</sup> | 1475000 | 144470 |
| &nbsp;&nbsp; Series 2021-ST5, Class CERT, 0.00%, 07/20/2027 <sup>(d)</sup> | 4250000 | 451012 |
| &nbsp;&nbsp; Series 2021-ST6, Class CERT, 0.00%, 08/20/2027 <sup>(d)</sup> | 9416000 | 1068871 |
| &nbsp;&nbsp; Series 2021-ST7, Class CERT, 0.00%, 09/20/2029 <sup>(d)</sup> | 1500000 | 161443 |
| &nbsp;&nbsp; Series 2021-ST8, Class CERT, 0.00%, 10/20/2029 <sup>(d)</sup> | 2370000 | 348337 |
| &nbsp;&nbsp; Series 2021-ST9, Class CERT, 0.00%, 11/20/2029 <sup>(d)</sup> | 1629000 | 320989 |
| &nbsp;&nbsp; Series 2022-ST1, Class CERT, 0.00%, 03/20/2030 <sup>(d)</sup> | 2400000 | 650338 |
| &nbsp;&nbsp; Series 2022-ST2, Class CERT, 0.00%, 04/20/2030 <sup>(d)</sup> | 1500000 | 411269 |
| Upstart Securitization Trust | Upstart Securitization Trust | Upstart Securitization Trust |
| &nbsp;&nbsp; Series 2019-1, Class CERT, 0.00%, 04/20/2026 <sup>(d)</sup> | 20143 | 251951 |
| &nbsp;&nbsp; Series 2019-3, Class CERT, 0.00%, 01/21/2030 <sup>(b)(d)</sup> | 25442 | 2320 |
| &nbsp;&nbsp; Series 2021-4, Class C, 3.19%, 09/20/2031 <sup>(d)</sup> | 1408704 | 1397926 |
| &nbsp;&nbsp; Series 2021-5, Class C, 4.15%, 11/20/2031 <sup>(d)</sup> | 4006049 | 3977212 |
| &nbsp;&nbsp; Series 2022-1, Class C, 5.71%, 03/20/2032 <sup>(d)</sup> | 6800000 | 4193814 |
| &nbsp;&nbsp; Series 2022-2, Class C, 8.43%, 05/20/2032 <sup>(d)</sup> | 2653765 | 2364315 |
| &nbsp;&nbsp; Series 2023-1, Class C, 11.10%, 02/20/2033 <sup>(d)</sup> | 2831851 | 2891693 |
| &nbsp;&nbsp; Series 2023-2, Class C, 11.87%, 06/20/2033 <sup>(d)</sup> | 2000000 | 2134692 |
|  |  | 137167683 |
| **Credit Card - 0.0%<sup>(j)</sup>** | **Credit Card - 0.0%<sup>(j)</sup>** | **Credit Card - 0.0%<sup>(j)</sup>** |
|  Avant Credit Card Master Trust, Series 2024-1A, Class C, 6.23%, 04/15/2030 <sup>(d)</sup> | 500000 | 505378 |
| **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>(d)</sup> | 6038000 | 6302510 |
| &nbsp;&nbsp; Series 2024-1A, Class E, 7.82%, 08/20/2031 <sup>(d)</sup> | 512000 | 524512 |
| &nbsp;&nbsp; Series 2024-2A, Class E, 9.04%, 07/20/2032 <sup>(d)</sup> | 3740000 | 3954195 |
| &nbsp;&nbsp; Series 2024-RPT1, Class R2, 8.71%, 02/22/2030 | 3243000 | 3260684 |
|  |  | 14041901 |
| **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>(d)</sup> | 2711879 | 2447972 |
| **Solar - 0.1%** | **Solar - 0.1%** | **Solar - 0.1%** |
| 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>(d)</sup> | 941089 | 780393 |
| &nbsp;&nbsp; Series 2023-2GS, Class B, 7.80%, 05/20/2055 <sup>(d)</sup> | 900000 | 576317 |
| 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>(d)(e)</sup> | 27663 | 26202 |
| &nbsp;&nbsp; Series 2021-2A, Class B, 2.09%, 04/22/2047 <sup>(d)</sup> | 747291 | 581261 |
|  |  | 1964173 |
| **Structured Settlement - 0.0%<sup>(j)</sup>** | **Structured Settlement - 0.0%<sup>(j)</sup>** | **Structured Settlement - 0.0%<sup>(j)</sup>** |
|  Stone Street Receivables Funding Series 2015-1A, Class C, 5.60%, 12/15/2054 <sup>(d)</sup> | 464098 | 420153 |
| **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>(d)</sup> | 1929600 | 1929905 |
| **TOTAL ASSET-BACKED SECURITIES** (Cost $404,934,180) | **TOTAL ASSET-BACKED SECURITIES** (Cost $404,934,180) | 369604640 |
| **CORPORATE OBLIGATIONS - 8.3%** | **Par** | **Value**  |
| **Basic Materials - 0.7%** | **Basic Materials - 0.7%** | **Basic Materials - 0.7%** |
|  Axalta Coating Systems Dutch Holding B B.V., 7.25%, 02/15/2031 <sup>(d)</sup> | 600000 | 629827 |
|  Capstone Copper Corp., 6.75%, 03/31/2033 <sup>(d)</sup> | 1900000 | 1967526 |
|  Cleveland-Cliffs, Inc., 7.00%, 03/15/2032 <sup>(d)</sup> | 1900000 | 1945111 |
| Consolidated Energy Finance SA | Consolidated Energy Finance SA | Consolidated Energy Finance SA |
| &nbsp;&nbsp; 6.50%, 05/15/2026 <sup>(d)</sup> | 1010000 | 968418 |
| &nbsp;&nbsp; 12.00%, 02/15/2031 <sup>(d)</sup> | 1750000 | 1245912 |
|  CVR Partners LP / CVR Nitrogen Finance Corp., 6.13%, 06/15/2028 <sup>(d)</sup> | 1700000 | 1699489 |
|  First Quantum Minerals Ltd., 7.25%, 02/15/2034 <sup>(d)</sup> | 3090000 | 3211425 |
|  Magnera Corp., 4.75%, 11/15/2029 <sup>(d)</sup> | 1800000 | 1500723 |
|  Mercer International, Inc., 5.13%, 02/01/2029 | 1400000 | 906627 |
|  Methanex US Operations, Inc., 6.25%, 03/15/2032 <sup>(d)</sup> | 2090000 | 2127633 |
|  NOVA Chemicals Corp., 8.50%, 11/15/2028 <sup>(d)</sup> | 200000 | 209918 |
|  Olin Corp., 6.63%, 04/01/2033 <sup>(d)</sup> | 350000 | 347034 |
|  Taseko Mines Ltd., 8.25%, 05/01/2030 <sup>(d)</sup> | 1900000 | 2011173 |
|  |  | 18770816 |
| **Communications - 0.4%** | **Communications - 0.4%** | **Communications - 0.4%** |
|  Cars.com, Inc., 6.38%, 11/01/2028 <sup>(d)</sup> | 2100000 | 2093273 |
|  Cogent Communications Group LLC / Cogent Finance, Inc., 6.50%, 07/01/2032 <sup>(d)</sup> | 1540000 | 1472570 |
|  Directv Financing LLC / Directv Financing Co.-Obligor, Inc., 10.00%, 02/15/2031 <sup>(d)</sup> | 2120000 | 2113891 |
|  Gen Digital, Inc., 6.25%, 04/01/2033 <sup>(d)</sup> | 1030000 | 1062901 |
|  Gray Media, Inc., 5.38%, 11/15/2031 <sup>(d)</sup> | 3900000 | 2711989 |
|  Nexstar Media, Inc., 5.63%, 07/15/2027 <sup>(d)</sup> | 400000 | 400086 |
|  Outfront Media Capital LLC / Outfront Media Capital Corp., 4.63%, 03/15/2030 <sup>(d)</sup> | 1100000 | 1063533 |
|  Univision Communications, Inc., 8.00%, 08/15/2028 <sup>(d)</sup> | 800000 | 824131 |
|  |  | 11742374 |
| **Consumer, Cyclical - 0.9%** | **Consumer, Cyclical - 0.9%** | **Consumer, Cyclical - 0.9%** |
|  American Axle & Manufacturing, Inc., 7.75%, 10/15/2033 <sup>(d)</sup> | 1970000 | 1974804 |
|  Caesars Entertainment, Inc., 4.63%, 10/15/2029 <sup>(d)</sup> | 2230000 | 2099451 |
|  Carnival Corp., 6.13%, 02/15/2033 <sup>(d)</sup> | 600000 | 619119 |
|  Champ Acquisition Corp., 8.38%, 12/01/2031 <sup>(d)</sup> | 1870000 | 1996360 |
|  Cinemark USA, Inc., 7.00%, 08/01/2032 <sup>(d)</sup> | 1200000 | 1244977 |
|  Clarios Global LP / Clarios US Finance Co., 6.75%, 09/15/2032 <sup>(d)</sup> | 2070000 | 2119581 |
|  FirstCash, Inc., 4.63%, 09/01/2028 <sup>(d)</sup> | 1500000 | 1480622 |
|  Goodyear Tire & Rubber Co., 6.63%, 07/15/2030 | 1590000 | 1580725 |
|  Lithia Motors, Inc., 3.88%, 06/01/2029 <sup>(d)</sup> | 1300000 | 1242535 |
|  NCL Corp. Ltd., 6.25%, 03/01/2030 <sup>(d)</sup> | 1350000 | 1373784 |
|  Newell Brands, Inc., 8.50%, 06/01/2028 <sup>(d)</sup> | 1010000 | 1038701 |
| Phinia, Inc. | Phinia, Inc. | Phinia, Inc. |
| &nbsp;&nbsp; 6.75%, 04/15/2029 <sup>(d)</sup> | 400000 | 413145 |
| &nbsp;&nbsp; 6.63%, 10/15/2032 <sup>(d)</sup> | 600000 | 617790 |
|  Resideo Funding, Inc., 6.50%, 07/15/2032 <sup>(d)</sup> | 775000 | 794249 |
|  Saks Global Enterprises LLC |  |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;11.00%, 12/15/2029 <sup>(d)</sup> | 87500 | 20344 |
|  &nbsp;&nbsp;&nbsp;&nbsp;11.00%, 12/15/2029 <sup>(d)</sup> | 175000 | 77000 |
|  Sally Holdings LLC / Sally Capital, Inc., 6.75%, 03/01/2032 | 900000 | 937658 |
|  SGUS LLC, 11.00%, 12/15/2029 <sup>(d)</sup> | 112955 | 97989 |
|  STL Holding Co. LLC, 8.75%, 02/15/2029 <sup>(d)</sup> | 450000 | 472180 |
|  Viking Cruises Ltd., 5.88%, 10/15/2033 <sup>(d)</sup> | 2100000 | 2136102 |
|  White Cap Buyer LLC, 6.88%, 10/15/2028 <sup>(d)</sup> | 3100000 | 3101968 |
|  |  | 25439084 |
| **Consumer, Non-cyclical - 1.2%** | **Consumer, Non-cyclical - 1.2%** | **Consumer, Non-cyclical - 1.2%** |
|  Acadia Healthcare Co., Inc., 7.38%, 03/15/2033 <sup>(d)</sup> | 2700000 | 2794538 |
|  Amneal Pharmaceuticals LLC, 6.88%, 08/01/2032 <sup>(d)</sup> | 1020000 | 1070685 |
|  B&G Foods, Inc., 8.00%, 09/15/2028 <sup>(d)</sup> | 390000 | 367149 |
|  Belron UK Finance PLC, 5.75%, 10/15/2029 <sup>(d)</sup> | 600000 | 608330 |
|  Concentra Health Services, Inc., 6.88%, 07/15/2032 <sup>(d)</sup> | 950000 | 992072 |
|  DaVita, Inc., 6.88%, 09/01/2032 <sup>(d)</sup> | 1650000 | 1711067 |
|  Dcli Bidco LLC, 7.75%, 11/15/2029 <sup>(d)</sup> | 600000 | 610377 |
|  EquipmentShare.com, Inc., 8.63%, 05/15/2032 <sup>(d)</sup> | 1500000 | 1515646 |
|  Fiesta Purchaser, Inc., 9.63%, 09/15/2032 <sup>(d)</sup> | 800000 | 862855 |
|  Herc Holdings, Inc., 6.63%, 06/15/2029 <sup>(d)</sup> | 2500000 | 2583953 |
|  Hertz Corp., 12.63%, 07/15/2029 <sup>(d)</sup> | 350000 | 346840 |
|  Medline Borrower LP, 5.25%, 10/01/2029 <sup>(d)</sup> | 900000 | 897165 |
|  Molina Healthcare, Inc., 6.25%, 01/15/2033 <sup>(d)</sup> | 1040000 | 1047909 |
|  NESCO Holdings, Inc., 5.50%, 04/15/2029 <sup>(d)</sup> | 300000 | 293525 |
|  Performance Food Group, Inc., 4.25%, 08/01/2029 <sup>(d)</sup> | 900000 | 878770 |
|  Perrigo Finance Unlimited Co., 6.13%, 09/30/2032 | 2090000 | 2109742 |
|  Post Holdings, Inc., 6.38%, 03/01/2033 <sup>(d)</sup> | 2090000 | 2121964 |
|  Raven Acquisition Holdings LLC, 6.88%, 11/15/2031 <sup>(d)</sup> | 1900000 | 1946322 |
|  Simmons Foods, Inc., 4.63%, 03/01/2029 <sup>(d)</sup> | 2190000 | 2101035 |
|  TreeHouse Foods, Inc., 4.00%, 09/01/2028 | 600000 | 587231 |
|  Upbound Group, Inc., 6.38%, 02/15/2029 <sup>(d)</sup> | 2100000 | 2037701 |
|  US Foods, Inc., 7.25%, 01/15/2032 <sup>(d)</sup> | 200000 | 210084 |
|  VT Topco, Inc., 8.50%, 08/15/2030 <sup>(d)</sup> | 2040000 | 2123620 |
|  Williams Scotsman, Inc., 6.63%, 04/15/2030 <sup>(d)</sup> | 1000000 | 1034869 |
|  |  | 30853449 |
| **Diversified - 0.1%** | **Diversified - 0.1%** | **Diversified - 0.1%** |
|  Stena International SA, 7.25%, 01/15/2031 <sup>(d)</sup> | 1925000 | 1971038 |
| **Energy - 0.7%** | **Energy - 0.7%** | **Energy - 0.7%** |
|  Alliance Resource Operating Partners LP / Alliance Resource Finance Corp., 8.63%, 06/15/2029 <sup>(d)</sup> | 900000 | 953117 |
|  Antero Midstream Partners LP / Antero Midstream Finance Corp., 6.63%, 02/01/2032 <sup>(d)</sup> | 1200000 | 1243384 |
|  Archrock Partners LP / Archrock Partners Finance Corp., 6.63%, 09/01/2032 <sup>(d)</sup> | 600000 | 617209 |
|  Calumet Specialty Products Partners LP / Calumet Finance Corp., 9.75%, 07/15/2028 <sup>(d)</sup> | 500000 | 492508 |
|  Comstock Resources, Inc., 5.88%, 01/15/2030 <sup>(d)</sup> | 450000 | 428652 |
|  Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 05/15/2033 | 1900000 | 1964315 |
|  Greenfire Resources Ltd., 12.00%, 10/01/2028 <sup>(d)</sup> | 196000 | 207167 |
|  Gulfport Energy Operating Corp., 6.75%, 09/01/2029 <sup>(d)</sup> | 1030000 | 1052934 |
|  Helix Energy Solutions Group, Inc., 9.75%, 03/01/2029 <sup>(d)</sup> | 950000 | 1004869 |
|  Kinetik Holdings LP, 5.88%, 06/15/2030 <sup>(d)</sup> | 600000 | 604940 |
|  Kodiak Gas Services LLC, 6.50%, 10/01/2033 <sup>(d)</sup> | 380000 | 389649 |
|  Moss Creek Resources Holdings, Inc., 8.25%, 09/01/2031 <sup>(d)</sup> | 800000 | 772959 |
|  PBF Holding Co. LLC / PBF Finance Corp., 6.00%, 02/15/2028 | 1000000 | 993367 |
|  Shelf Drilling Holdings Ltd., 9.63%, 04/15/2029 <sup>(d)</sup> | 1310000 | 1378445 |
|  SunCoke Energy, Inc., 4.88%, 06/30/2029 <sup>(d)</sup> | 2550000 | 2382881 |
|  Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/2030 <sup>(d)</sup> | 700000 | 695197 |
|  USA Compression Partners LP / USA Compression Finance Corp., 7.13%, 03/15/2029 <sup>(d)</sup> | 630000 | 651083 |
| 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>(d)</sup> | 215000 | 201160 |
| &nbsp;&nbsp; 8.38%, 06/01/2031 <sup>(d)</sup> | 950000 | 976140 |
|  Western Midstream Operating LP, 7.25%, 04/01/2030 <sup>(d)</sup> | 450000 | 479643 |
|  Wildfire Intermediate Holdings LLC, 7.50%, 10/15/2029 <sup>(d)</sup> | 990000 | 990453 |
|  |  | 18480072 |
| **Financial - 3.1%** | **Financial - 3.1%** | **Financial - 3.1%** |
|  A10 Capital LLC, 5.88%, 08/17/2026 <sup>(d)</sup> | 1000000 | 986091 |
|  BankGuam Holding Co., 4.75% to 07/01/2026 then 3 mo. Term SOFR + 4.13%, 07/01/2031 <sup>(d)</sup> | 2000000 | 1927789 |
|  Blackstone Mortgage Trust, Inc., 7.75%, 12/01/2029 <sup>(d)</sup> | 940000 | 991354 |
|  Brookline Bancorp, Inc., 7.61% (3 mo. Term SOFR + 3.58%), 09/15/2029 | 1000000 | 1002462 |
|  Burford Capital Global Finance LLC, 7.50%, 07/15/2033 <sup>(d)</sup> | 1560000 | 1542112 |
|  Clear Street Holdings LLC, 5.88%, 05/15/2026 <sup>(d)</sup> | 2000000 | 1982749 |
|  Columbia Banking System, Inc., 9.73% (3 mo. Term SOFR + 5.52%), 12/10/2025 <sup>(d)</sup> | 2500000 | 2498063 |
|  Credit Acceptance Corp., 6.63%, 03/15/2030 <sup>(d)</sup> | 1600000 | 1602232 |
|  Customers Bank, 7.70% (3 mo. Term SOFR + 3.70%), 06/26/2029 <sup>(d)</sup> | 1000000 | 997406 |
| Encore Capital Group, Inc. | Encore Capital Group, Inc. | Encore Capital Group, Inc. |
| &nbsp;&nbsp; 8.50%, 05/15/2030 <sup>(d)</sup> | 500000 | 526945 |
| &nbsp;&nbsp; 6.63%, 04/15/2031 <sup>(d)</sup> | 500000 | 496508 |
|  EZCORP, Inc., 7.38%, 04/01/2032 <sup>(d)</sup> | 1490000 | 1577534 |
|  FedNat Holding Co., 7.75%, 03/15/2029 <sup>(i)(k)</sup> | 2500000 | 150000 |
|  Fidelity Financial Corp., 5.00% to 04/30/2027 then 3 mo. Term SOFR + 2.47%, 04/30/2032 <sup>(d)</sup> | 3000000 | 2816383 |
|  Financial Institutions, Inc., 8.80% (3 mo. LIBOR US + 3.94%), 04/15/2030 <sup>(f)</sup> | 1125000 | 1118643 |
|  First Bancshares, Inc., 6.40% to 05/01/2028 then 3 mo. Term SOFR + 3.65%, 05/01/2033 | 1000000 | 1011974 |
|  First Foundation, Inc., 3.50% to 02/01/2027 then SOFR + 2.04%, 02/01/2032 | 1000000 | 869062 |
|  First Northwest Bancorp, 3.75% to 03/30/2026 then 3 mo. Term SOFR + 3.00%, 03/30/2031 | 1500000 | 1179714 |
|  Flushing Financial Corp., 3.13% to 12/01/2026 then 3 mo. Term SOFR + 2.04%, 12/01/2031 | 3000000 | 2632225 |
|  Freedom Mortgage Holdings LLC, 7.88%, 04/01/2033 <sup>(d)</sup> | 3840000 | 3948242 |
|  FS Bancorp, Inc., 3.75% to 02/15/2026 then 3 mo. Term SOFR + 3.37%, 02/15/2031 | 1000000 | 981338 |
|  Georgia Banking Co., Inc., 4.13% to 06/15/2026 then 3 mo. Term SOFR + 3.40%, 06/15/2031 <sup>(d)</sup> | 4000000 | 3844305 |
|  GGAM Finance Ltd., 5.88%, 03/15/2030 <sup>(d)</sup> | 1560000 | 1581450 |
|  Global Aircraft Leasing Co. Ltd., 8.75%, 09/01/2027 <sup>(d)</sup> | 2880000 | 2968675 |
|  goeasy Ltd., 7.63%, 07/01/2029 <sup>(d)</sup> | 1950000 | 1965647 |
|  Jacksonville Bancorp, Inc. Statutory Trust, 8.05% (3 mo. Term SOFR + 4.01%), 09/15/2038 <sup>(d)</sup> | 1200000 | 1191991 |
|  Jane Street Group / JSG Finance, Inc., 6.75%, 05/01/2033 <sup>(d)</sup> | 2040000 | 2129637 |
|  Jefferies Finance LLC / JFIN Co.-Issuer Corp., 6.63%, 10/15/2031 <sup>(d)</sup> | 900000 | 887506 |
|  Jefferson Capital Holdings LLC, 8.25%, 05/15/2030 <sup>(d)</sup> | 1520000 | 1577184 |
|  LD Holdings Group LLC, 6.13%, 04/01/2028 <sup>(d)</sup> | 500000 | 466747 |
|  Mechanics Bancorp, 6.50%, 06/01/2026 | 750000 | 749701 |
|  Millrose Properties, Inc., 6.38%, 08/01/2030 <sup>(d)</sup> | 1040000 | 1054446 |
|  Narragansett Financial Corp., 3.88% to 05/15/2026 then 3 mo. Term SOFR + 3.19%, 05/15/2031 <sup>(d)</sup> | 2000000 | 1946362 |
|  NexBank Capital, Inc., 6.00%, 07/15/2032 <sup>(d)</sup> | 1000000 | 947869 |
|  OneMain Finance Corp., 7.13%, 11/15/2031 | 2060000 | 2136486 |
|  Panther Escrow Issuer LLC, 7.13%, 06/01/2031 <sup>(d)</sup> | 1910000 | 1975517 |
| PennyMac Financial Services, Inc. | PennyMac Financial Services, Inc. | PennyMac Financial Services, Inc. |
| &nbsp;&nbsp; 4.25%, 02/15/2029 <sup>(d)</sup> | 900000 | 874540 |
| &nbsp;&nbsp; 5.75%, 09/15/2031 <sup>(d)</sup> | 800000 | 798690 |
|  PHH Corp., 9.88%, 11/01/2029 <sup>(d)</sup> | 800000 | 803890 |
|  Phoenix Aviation Capital Ltd., 9.25%, 07/15/2030 <sup>(d)</sup> | 2810000 | 2962687 |
|  PRA Group, Inc., 5.00%, 10/01/2029 <sup>(d)</sup> | 1600000 | 1456880 |
|  Primis Financial Corp., 8.05% (3 mo. Term SOFR + 4.21%), 01/31/2027 <sup>(d)</sup> | 1000000 | 990842 |
|  ReadyCap Holdings LLC, 9.38%, 03/01/2028 <sup>(d)</sup> | 3000000 | 3043765 |
|  RHP Hotel Properties LP / RHP Finance Corp., 6.50%, 04/01/2032 <sup>(d)</sup> | 510000 | 525113 |
|  Rocket Cos., Inc., 7.13%, 02/01/2032 <sup>(d)</sup> | 1200000 | 1260857 |
|  South Street Securities Funding LLC, 6.25%, 12/30/2026 <sup>(d)</sup> | 1000000 | 1000834 |
|  Starwood Property Trust, Inc., 5.75%, 01/15/2031 <sup>(d)</sup> | 1050000 | 1066130 |
|  Stonex Escrow Issuer LLC, 6.88%, 07/15/2032 <sup>(d)</sup> | 1930000 | 1998542 |
|  Texas State Bankshares, Inc., 7.85% (3 mo. Term SOFR + 3.81%), 06/15/2029 <sup>(d)</sup> | 2000000 | 2000413 |
|  Trinitas Capital Management LLC, 6.00%, 07/30/2026 <sup>(d)</sup> | 4000000 | 3925000 |
|  Uniti Group LP / Uniti Group Finance 2019, Inc. / CSL Capital LLC, 6.50%, 02/15/2029 <sup>(d)</sup> | 1600000 | 1499009 |
|  UWM Holdings LLC, 6.25%, 03/15/2031 <sup>(d)</sup> | 1600000 | 1598122 |
|  Walker & Dunlop, Inc., 6.63%, 04/01/2033 <sup>(d)</sup> | 1040000 | 1065207 |
|  |  | 83132870 |
| **Industrial - 0.9%** | **Industrial - 0.9%** | **Industrial - 0.9%** |
|  Advanced Drainage Systems, Inc., 6.38%, 06/15/2030 <sup>(d)</sup> | 600000 | 611739 |
|  AmeriTex HoldCo Intermediate LLC, 7.63%, 08/15/2033 <sup>(d)</sup> | 1430000 | 1496977 |
|  Axon Enterprise, Inc., 6.25%, 03/15/2033 <sup>(d)</sup> | 1200000 | 1243326 |
|  Brundage-Bone Concrete Pumping Holdings, Inc., 7.50%, 02/01/2032 <sup>(d)</sup> | 1000000 | 1009992 |
|  Builders FirstSource, Inc., 6.75%, 05/15/2035 <sup>(d)</sup> | 2010000 | 2112916 |
|  Clearwater Paper Corp., 4.75%, 08/15/2028 <sup>(d)</sup> | 1400000 | 1314845 |
|  Clydesdale Acquisition Holdings, Inc., 6.75%, 04/15/2032 <sup>(d)</sup> | 1000000 | 1004213 |
|  Coherent Corp., 5.00%, 12/15/2029 <sup>(d)</sup> | 1900000 | 1881507 |
|  FTAI Aviation Investors LLC, 5.88%, 04/15/2033 <sup>(d)</sup> | 1200000 | 1211618 |
|  Genesee & Wyoming, Inc., 6.25%, 04/15/2032 <sup>(d)</sup> | 520000 | 531147 |
|  Great Lakes Dredge & Dock Corp., 5.25%, 06/01/2029 <sup>(d)</sup> | 2125000 | 2058771 |
|  Knife River Corp., 7.75%, 05/01/2031 <sup>(d)</sup> | 600000 | 629021 |
|  Owens-Brockway Glass Container, Inc., 7.25%, 05/15/2031 <sup>(d)</sup> | 1900000 | 1864389 |
|  Quikrete Holdings, Inc., 6.75%, 03/01/2033 <sup>(d)</sup> | 1020000 | 1062277 |
|  Reworld Holding Corp., 4.88%, 12/01/2029 <sup>(d)</sup> | 200000 | 188455 |
|  Sealed Air Corp., 6.50%, 07/15/2032 <sup>(d)</sup> | 710000 | 735436 |
|  Seaspan Corp., 5.50%, 08/01/2029 <sup>(d)</sup> | 950000 | 915716 |
|  Sensata Technologies, Inc., 3.75%, 02/15/2031 <sup>(d)</sup> | 1000000 | 930343 |
|  Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/2028 <sup>(d)</sup> | 1900000 | 1895183 |
|  Standard Building Solutions, Inc., 6.50%, 08/15/2032 <sup>(d)</sup> | 1200000 | 1234814 |
|  Vertiv Group Corp., 4.13%, 11/15/2028 <sup>(d)</sup> | 400000 | 394446 |
|  XPO, Inc., 7.13%, 06/01/2031 <sup>(d)</sup> | 250000 | 261246 |
|  |  | 24588377 |
| **Technology - 0.1%** | **Technology - 0.1%** | **Technology - 0.1%** |
|  Amkor Technology, Inc., 5.88%, 10/01/2033 <sup>(d)</sup> | 1040000 | 1059272 |
|  Zebra Technologies Corp., 6.50%, 06/01/2032 <sup>(d)</sup> | 500000 | 518629 |
|  |  | 1577901 |
| **Utilities - 0.2%** | **Utilities - 0.2%** | **Utilities - 0.2%** |
|  Hawaiian Electric Co., Inc., 6.00%, 10/01/2033 <sup>(d)</sup> | 1050000 | 1062459 |
|  NRG Energy, Inc., 6.25%, 11/01/2034 <sup>(d)</sup> | 2060000 | 2122461 |
|  Pike Corp., 8.63%, 01/31/2031 <sup>(d)</sup> | 990000 | 1057584 |
| Vistra Operations Co. LLC | Vistra Operations Co. LLC | Vistra Operations Co. LLC |
| &nbsp;&nbsp; 7.75%, 10/15/2031 <sup>(d)</sup> | 100000 | 106195 |
| &nbsp;&nbsp; 6.88%, 04/15/2032 <sup>(d)</sup> | 1200000 | 1261327 |
|  VoltaGrid LLC, 7.38%, 11/01/2030 <sup>(d)(l)</sup> | 300000 | 305303 |
|  |  | 5915329 |
| **TOTAL CORPORATE OBLIGATIONS** (Cost $222,197,105) | **TOTAL CORPORATE OBLIGATIONS** (Cost $222,197,105) | 222471310 |
| **COLLATERALIZED LOAN OBLIGATIONS - 7.0%** | **Par** | **Value**  |
|  Allegro CLO Ltd. Series 2021-1A, Class D1R, 7.03% (3 mo. Term SOFR + 3.15%), 07/20/2038 <sup>(d)</sup> | 8500000 | 8528382 |
|  AMMC CLO Ltd. Series 2020-23A, Class D1R3, 7.08% (3 mo. Term SOFR + 3.20%), 07/17/2038 <sup>(d)</sup> | 6000000 | 6020094 |
| Anchorage Capital CLO Ltd. | Anchorage Capital CLO Ltd. | Anchorage Capital CLO Ltd. |
| &nbsp;&nbsp; Series 2023-26A, Class D1R, 7.28% (3 mo. Term SOFR + 3.40%), 03/19/2038 <sup>(d)</sup> | 3250000 | 3260478 |
| &nbsp;&nbsp; Series 2023-26A, Class D2R, 8.63% (3 mo. Term SOFR + 4.75%), 03/19/2038 <sup>(d)</sup> | 2000000 | 2024872 |
|  Anthelion CLO Ltd. Series 2025-1A, Class D1, 7.97% (3 mo. Term SOFR + 3.65%), 07/20/2036 <sup>(d)</sup> | 4500000 | 4511767 |
|  Apidos CLO Ltd. Series 2023-46A, Class E, 11.82% (3 mo. Term SOFR + 7.95%), 10/24/2036 <sup>(d)</sup> | 2000000 | 2000000 |
|  Ares CLO Ltd. Series 2020-58A, Class D2R2, 8.30% (3 mo. Term SOFR + 4.40%), 04/15/2038 <sup>(d)</sup> | 3000000 | 3028917 |
|  Ballyrock CLO Ltd. Series 2022-21A, Class C1R, 7.03% (3 mo. Term SOFR + 3.15%), 10/20/2037 <sup>(d)</sup> | 1220000 | 1219950 |
|  Barings Middle Market CLO Ltd. Series 2018-II, Class COM, 0.00%, 01/15/2031 <sup>(a)</sup> | 428329 | 12850 |
|  Battalion CLO Ltd. Series 2025-29A, Class D1, 7.58% (3 mo. Term SOFR + 3.30%), 03/31/2038 <sup>(d)</sup> | 5000000 | 5027580 |
|  BCC Middle Market CLO LLC Series 2023-2A, Class A1, 6.37% (3 mo. Term SOFR + 2.50%), 10/21/2035 <sup>(c)(d)</sup> | 10000000 | 10003340 |
|  Black Diamond CLO Ltd. Series 2022-1A, Class E, 11.36% (3 mo. Term SOFR + 7.50%), 10/25/2035 <sup>(d)</sup> | 2500000 | 2504533 |
| Blackrock CLO Ltd. | Blackrock CLO Ltd. | Blackrock CLO Ltd. |
| &nbsp;&nbsp; Series 2025-1A, Class C, 7.07% (3 mo. Term SOFR + 2.75%), 07/15/2037 <sup>(d)</sup> | 4000000 | 4031144 |
| &nbsp;&nbsp; Series 5A, Class CR, 7.19% (3 mo. Term SOFR + 3.15%), 06/15/2034 <sup>(d)</sup> | 5000000 | 5006630 |
|  Canyon CLO Ltd., Series 2025-3A, Class D2, 0.00% (3 mo. Term SOFR + 3.25%), 01/15/2039 <sup>(a)(d)</sup> | 5000000 | 5000000 |
|  Capital Four US CLO Ltd. Series 2022-1A, Class BR, 6.53% (3 mo. Term SOFR + 2.65%), 01/20/2037 <sup>(c)(d)</sup> | 8500000 | 8519771 |
|  CQS US CLO Ltd. Series 2025-5A, Class D1, 0.00% (3 mo. Term SOFR + 3.15%), 01/17/2039 <sup>(d)(l)</sup> | 2000000 | 2000000 |
|  Elmwood CLO Ltd. Series 2021-3A, Class DR2, 6.93% (3 mo. Term SOFR + 3.05%), 07/20/2038 <sup>(d)</sup> | 6000000 | 6020232 |
|  Franklin Park Place CLO LLC Series 2025-1A, Class D1, 7.21% (3 mo. Term SOFR + 3.10%), 07/15/2038 <sup>(d)</sup> | 5000000 | 5017795 |
|  Gallatin CLO Ltd. Series 2024-1A, Class D1, 7.88% (3 mo. Term SOFR + 4.00%), 10/20/2037 <sup>(d)</sup> | 3000000 | 3029664 |
|  Greenacre Park CLO LLC Series 2021-2A, Class D2R, 8.38% (3 mo. Term SOFR + 4.50%), 07/20/2038 <sup>(d)</sup> | 3000000 | 3019581 |
|  Invesco CLO Ltd. Series 2023-4A, Class B, 6.48% (3 mo. Term SOFR + 2.60%), 01/18/2037 <sup>(d)</sup> | 6100000 | 6113194 |
|  Jamestown CLO Ltd. Series 2018-11A, Class A2, 5.87% (3 mo. Term SOFR + 1.96%), 07/14/2031 <sup>(d)</sup> | 1200000 | 1203138 |
|  Katayma CLO Ltd. Series 2023-1A, Class E, 12.02% (3 mo. Term SOFR + 8.14%), 10/20/2036 <sup>(d)</sup> | 4500000 | 4513734 |
|  Man GLG US CLO Ltd. Series 2024-1A, Class D2, 9.08% (3 mo. Term SOFR + 5.20%), 07/20/2037 <sup>(d)</sup> | 2000000 | 2017650 |
| Marble Point CLO Ltd. | Marble Point CLO Ltd. | Marble Point CLO Ltd. |
| &nbsp;&nbsp; Series 2020-3A, Class D1R2, 7.14% (3 mo. Term SOFR + 3.00%), 10/19/2038 <sup>(d)</sup> | 3000000 | 3008307 |
| &nbsp;&nbsp; Series 2022-1A, Class E, 12.06% (3 mo. Term SOFR + 8.18%), 04/20/2035 <sup>(d)</sup> | 3000000 | 2996202 |
|  MP CLO Ltd. Series 2015-2A, Class CRR, 6.42% (3 mo. Term SOFR + 2.56%), 04/28/2034 <sup>(d)</sup> | 3000000 | 3004065 |
|  NBBLUE, 9.74%, 04/15/2040 | 3000000 | 3128550 |
|  Neuberger Berman Loan Advisers Lasalle Street Lending CLO Ltd. Series 2024-2A, Class E, 11.38% (3 mo. Term SOFR + 7.50%), 04/20/2038 <sup>(d)</sup> | 2000000 | 2026132 |
|  North Haven Private Credit CLO 1 LLC Series 2025-1A, Class C, 6.54% (3 mo. Term SOFR + 2.40%), 10/20/2037 <sup>(d)</sup> | 1500000 | 1501728 |
|  Oaktree CLO Ltd. Series 2022-2A, Class D1R2, 7.15% (3 mo. Term SOFR + 3.25%), 10/15/2037 <sup>(c)(d)</sup> | 10000000 | 10018780 |
|  Obra Clo Management LLC Series 2025-2A, Class D2, 8.52% (3 mo. Term SOFR + 4.25%), 07/20/2038 <sup>(d)</sup> | 2000000 | 2010256 |
| Ocean Trails CLO | Ocean Trails CLO | Ocean Trails CLO |
| &nbsp;&nbsp; Series 2023-14A, Class D1R, 6.98% (3 mo. Term SOFR + 3.10%), 01/20/2038 <sup>(d)</sup> | 5940000 | 5975016 |
| &nbsp;&nbsp; Series 2024-15A, Class D1, 8.60% (3 mo. Term SOFR + 4.70%), 01/15/2037 <sup>(d)</sup> | 2000000 | 2014362 |
|  Octagon Investment Partners Ltd. Series 2018-1A, Class C, 5.87% (3 mo. Term SOFR + 1.96%), 04/15/2031 <sup>(d)</sup> | 2500000 | 2503772 |
|  Orion CLO Ltd. Series 2023-2X, Class E, 11.76% (3 mo. Term SOFR + 7.90%), 01/25/2037 <sup>(m)</sup> | 2000000 | 2009440 |
|  Palmer Square Loan Funding Ltd. Series 2022-3A, Class DR, 9.80% (3 mo. Term SOFR + 5.90%), 04/15/2031 <sup>(d)</sup> | 3260000 | 3288620 |
| Pikes Peak CLO Ltd. | Pikes Peak CLO Ltd. | Pikes Peak CLO Ltd. |
| &nbsp;&nbsp; Series 2020-5A, Class FR, 11.70% (3 mo. Term SOFR + 7.82%), 10/20/2037 <sup>(d)</sup> | 1000000 | 965142 |
| &nbsp;&nbsp; Series 2023-14A, Class D1R, 7.03% (3 mo. Term SOFR + 3.15%), 07/20/2038 <sup>(d)</sup> | 2500000 | 2499898 |
| Sculptor CLO Ltd. | Sculptor CLO Ltd. | Sculptor CLO Ltd. |
| &nbsp;&nbsp; Series 26A, Class D1AR, 7.28% (3 mo. Term SOFR + 3.40%), 01/20/2038 <sup>(d)</sup> | 2600000 | 2608380 |
| &nbsp;&nbsp; Series 29A, Class D1R, 7.26% (3 mo. Term SOFR + 3.40%), 07/22/2038 <sup>(d)</sup> | 5000000 | 5026990 |
|  Silver Point CLO Ltd. Series 2025-10A, Class D2, 8.52% (3 mo. Term SOFR + 4.25%), 07/15/2038 <sup>(d)</sup> | 3000000 | 3015198 |
|  Sound Point CLO Ltd. Series 2025-2A, Class D1, 8.20% (3 mo. Term SOFR + 4.30%), 04/15/2038 <sup>(d)</sup> | 6875000 | 6987166 |
| Trinitas CLO Ltd. | Trinitas CLO Ltd. | Trinitas CLO Ltd. |
| &nbsp;&nbsp; Series 2020-14A, Class DR2, 7.01% (3 mo. Term SOFR + 3.15%), 01/25/2034 <sup>(d)</sup> | 5000000 | 4988350 |
| &nbsp;&nbsp; Series 2025-32A, Class D1, 7.37% (3 mo. Term SOFR + 3.10%), 07/23/2038 <sup>(d)</sup> | 3500000 | 3507752 |
| Voya CLO Ltd. | Voya CLO Ltd. | Voya CLO Ltd. |
| &nbsp;&nbsp; Series 2016-1A, Class BR, 5.95% (3 mo. Term SOFR + 2.06%), 01/20/2031 <sup>(d)</sup> | 2740000 | 2743973 |
| &nbsp;&nbsp; Series 2018-1A, Class C, 6.75% (3 mo. Term SOFR + 2.86%), 04/19/2031 <sup>(d)</sup> | 1750000 | 1753589 |
|  Warwick Capital CLO Ltd. Series 2025-6A, Class D2, 8.41%, 07/20/2038 <sup>(d)</sup> | 2000000 | 2015712 |
|  Wellfleet CLO Ltd. Series 2015-1A, Class SUB, 0.00%, 07/20/2029 <sup>(a)(d)</sup> | 4900000 | 490 |
|  Wind River CLO Ltd. Series 2023-1A, Class D1R, 7.26% (3 mo. Term SOFR + 3.40%), 07/25/2038 <sup>(d)</sup> | 4000000 | 4027788 |
| **TOTAL COLLATERALIZED LOAN OBLIGATIONS** (Cost $189,439,253) | **TOTAL COLLATERALIZED LOAN OBLIGATIONS** (Cost $189,439,253) | 187260954 |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.7%** | **Par** | **Value**  |
| ALA Trust | ALA Trust | ALA Trust |
| &nbsp;&nbsp; Series 2025-OANA, Class C, 6.13% (1 mo. Term SOFR + 2.09%), 06/15/2040 <sup>(d)</sup> | 1700000 | 1714141 |
| &nbsp;&nbsp; Series 2025-OANA, Class D, 7.12% (1 mo. Term SOFR + 3.09%), 06/15/2040 <sup>(d)</sup> | 1300000 | 1310568 |
|  Arbor Realty Collateralized Loan Obligation Ltd. Series 2025-BTR1, Class AS, 6.64% (1 mo. Term SOFR + 2.64%), 01/20/2041 <sup>(d)</sup> | 4000000 | 4012096 |
|  AREIT CRE Ltd. Series 2024-CRE9, Class AS, 6.27% (1 mo. Term SOFR + 2.24%), 05/17/2041 <sup>(d)</sup> | 1700000 | 1701989 |
| ARES Commercial Mortgage Trust | ARES Commercial Mortgage Trust | ARES Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2024-IND, Class D, 6.92% (1 mo. Term SOFR + 2.89%), 07/15/2041 <sup>(d)</sup> | 4500000 | 4530582 |
| &nbsp;&nbsp; Series 2024-IND, Class E, 7.97% (1 mo. Term SOFR + 3.94%), 07/15/2041 <sup>(d)</sup> | 4500000 | 4529975 |
|  ARZ Trust Series 2024-BILT, Class D, 7.00%, 06/11/2039 <sup>(d)</sup> | 850000 | 880579 |
|  Banc of America Re-Remic Trust Series 2025-ASHF, Class C, 7.03% (1 mo. Term SOFR + 3.00%), 02/15/2042 <sup>(d)</sup> | 3250000 | 3265460 |
| BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp; Series 2024-AIRC, Class C, 6.62% (1 mo. Term SOFR + 2.59%), 08/15/2039 <sup>(d)</sup> | 1591532 | 1600360 |
| &nbsp;&nbsp; Series 2024-BIO, Class C, 6.67% (1 mo. Term SOFR + 2.64%), 02/15/2041 <sup>(d)</sup> | 4800000 | 4775875 |
| &nbsp;&nbsp; Series 2024-BIO, Class D, 7.67% (1 mo. Term SOFR + 3.64%), 02/15/2041 <sup>(d)</sup> | 3300000 | 3265396 |
| &nbsp;&nbsp; Series 2024-KING, Class D, 6.52% (1 mo. Term SOFR + 2.49%), 05/15/2034 <sup>(d)</sup> | 2467516 | 2489316 |
| &nbsp;&nbsp; Series 2024-PALM, Class D, 6.67% (1 mo. Term SOFR + 2.64%), 06/15/2037 <sup>(d)</sup> | 1038462 | 1039023 |
| &nbsp;&nbsp; Series 2024-VLT4, Class E, 6.92% (1 mo. Term SOFR + 2.89%), 06/15/2041 <sup>(d)</sup> | 300000 | 301131 |
| &nbsp;&nbsp; Series 2024-VLT4, Class F, 7.97% (1 mo. Term SOFR + 3.94%), 06/15/2041 <sup>(d)</sup> | 4500000 | 4523796 |
| &nbsp;&nbsp; Series 2025-BIO3, Class D, 6.96%, 02/10/2042 <sup>(a)(d)</sup> | 1750000 | 1767169 |
| &nbsp;&nbsp; Series 2025-VLT7, Class D, 7.28% (1 mo. Term SOFR + 3.25%), 07/15/2044 <sup>(d)</sup> | 3700000 | 3716676 |
|  Commercial Mortgage Pass Through Certificates Series 2024-WCL1, Class C, 6.92% (1 mo. Term SOFR + 2.89%), 06/15/2041 <sup>(d)</sup> | 5500000 | 5485095 |
| Computershare Corporate Trust | Computershare Corporate Trust | Computershare Corporate Trust |
| &nbsp;&nbsp; Series 2024-1CHI, Class D, 6.71%, 07/15/2035 <sup>(a)(d)</sup> | 1450000 | 1459705 |
| &nbsp;&nbsp; Series 2024-1CHI, Class E, 7.57%, 07/15/2035 <sup>(a)(d)</sup> | 1800000 | 1811376 |
|  DBSG Mortgage Trust Series 2024-ALTA, Class D, 7.06%, 06/10/2037 <sup>(a)(d)</sup> | 1600000 | 1620517 |
| DC Commercial Mortgage Trust | DC Commercial Mortgage Trust | DC Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2024-HLTN, Class C, 7.04%, 04/13/2040 <sup>(a)(d)</sup> | 1200000 | 1210560 |
| &nbsp;&nbsp; Series 2024-HLTN, Class D, 7.71%, 04/13/2040 <sup>(a)(d)</sup> | 1200000 | 1211654 |
| Extended Stay America Trust | Extended Stay America Trust | Extended Stay America Trust |
| &nbsp;&nbsp; Series 2025-ESH, Class D, 6.75% (1 mo. Term SOFR + 2.60%), 10/15/2042 <sup>(d)</sup> | 1000000 | 1009398 |
| &nbsp;&nbsp; Series 2025-ESH, Class E, 7.50% (1 mo. Term SOFR + 3.35%), 10/15/2042 <sup>(d)</sup> | 2700000 | 2728674 |
|  Gaea Mortgage Loan Trust Series 2025-A, Class A, 6.75%, 02/25/2030 <sup>(a)(d)</sup> | 10290101 | 10046740 |
|  GS Mortgage Securities Corp. Series 2018-TWR, Class G, 8.25% (1 mo. Term SOFR + 4.22%), 07/15/2031 <sup>(d)(k)</sup> | 500000 | 25644 |
| Hilton USA Trust | Hilton USA Trust | Hilton USA Trust |
| &nbsp;&nbsp; Series 2024-ORL, Class C, 6.47% (1 mo. Term SOFR + 2.44%), 05/15/2037 <sup>(d)</sup> | 800000 | 802505 |
| &nbsp;&nbsp; Series 2024-ORL, Class D, 7.22% (1 mo. Term SOFR + 3.19%), 05/15/2037 <sup>(d)</sup> | 800000 | 801711 |
| HTL Commercial Mortgage Trust | HTL Commercial Mortgage Trust | HTL Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2024-T53, Class D, 8.20%, 05/10/2039 <sup>(a)(d)</sup> | 700000 | 719356 |
| &nbsp;&nbsp; Series 2024-T53, Class F, 11.93%, 05/10/2039 <sup>(a)(d)</sup> | 400000 | 414515 |
|  ICNQ Mortgage Trust Series 2024-MF, Class E, 6.35%, 12/10/2034 <sup>(a)(d)</sup> | 3250000 | 3282584 |
|  Jackson Park Trust Series 2019-LIC, Class E, 3.24%, 10/14/2039 <sup>(a)(d)</sup> | 5000000 | 4389940 |
|  JP Morgan Chase Commercial Mortgage Securities Series 2018-PTC, Class A, 5.53% (1 mo. Term SOFR + 1.50%), 04/15/2031 <sup>(d)(k)</sup> | 3500000 | 1486993 |
| LBA Trust | LBA Trust | LBA Trust |
| &nbsp;&nbsp; Series 2024-BOLT, Class E, 7.72% (1 mo. Term SOFR + 3.69%), 06/15/2039 <sup>(d)</sup> | 6500000 | 6524096 |
| &nbsp;&nbsp; Series 2024-BOLT, Class F, 8.47% (1 mo. Term SOFR + 4.44%), 06/15/2039 <sup>(d)</sup> | 1400000 | 1406443 |
|  Morgan Stanley Series 2024-BPR2, Class A, 7.29%, 05/05/2029 <sup>(d)</sup> | 2661280 | 2806295 |
|  Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7, Class G, 4.15%, 02/15/2046 <sup>(a)(d)(k)</sup> | 1000000 | 44985 |
|  Morgan Stanley Capital I, Inc. Series 2014-150E, Class A, 3.91%, 09/09/2032 <sup>(d)</sup> | 3040000 | 2739700 |
| NYC Commercial Mortgage Trust | NYC Commercial Mortgage Trust | NYC Commercial Mortgage Trust |
| &nbsp;&nbsp; Series 2025-28L, Class C, 5.44%, 11/05/2038 <sup>(a)(d)(l)</sup> | 1600000 | 1594579 |
| &nbsp;&nbsp; Series 2025-28L, Class D, 6.21%, 11/05/2038 <sup>(a)(d)(l)</sup> | 1600000 | 1594579 |
|  Stellar Management Series 2025-IP, Class E, 6.85%, 06/10/2042 <sup>(a)(d)</sup> | 750000 | 765311 |
|  TX Trust Series 2024-HOU, Class D, 7.27% (1 mo. Term SOFR + 3.24%), 06/15/2039 <sup>(d)</sup> | 500000 | 501069 |
|  Wells Fargo Commercial Mortgage Trust Series 2025-VTT, Class E, 6.91%, 03/15/2038 <sup>(a)(d)</sup> | 5200000 | 5171520 |
|  WFLD Mortgage Trust Series 2014-MONT, Class A, 3.75%, 08/10/2031 <sup>(a)(d)</sup> | 1556840 | 1486386 |
| X-Caliber Funding LLC | X-Caliber Funding LLC | X-Caliber Funding LLC |
| &nbsp;&nbsp; Series 2019-1, Class B1, 19.89% (1 mo. Term SOFR + 15.75%), 11/06/2026 <sup>(d)(k)</sup> | 5129931 | 518 |
| &nbsp;&nbsp; Series 2020-5, Class A, 7.50% (1 mo. Term SOFR + 3.37%), 05/06/2026 <sup>(d)</sup> | 566148 | 564996 |
| &nbsp;&nbsp; Series 2020-5, Class B1, 12.50% (1 mo. Term SOFR + 8.37%), 05/06/2026 <sup>(d)</sup> | 1321012 | 1314695 |
| &nbsp;&nbsp; Series 2021-10, Class B1, 12.25% (1 mo. Term SOFR + 8.12%), 12/06/2025 <sup>(d)</sup> | 2000000 | 2015726 |
| &nbsp;&nbsp; Series 2021-7, Class A, 7.25% (1 mo. Term SOFR + 3.11%), 01/06/2026 <sup>(d)</sup> | 3950000 | 3946117 |
| &nbsp;&nbsp; Series 2021-7, Class B2, 0.00%, 01/06/2026 <sup>(d)</sup> | 1788000 | 1794989 |
| &nbsp;&nbsp; Series 2021-9, Class B1, 12.25% (1 mo. Term SOFR + 8.12%), 04/06/2026 <sup>(d)(k)</sup> | 1215000 | 109 |
| X-Caliber Funding LLC | X-Caliber Funding LLC | X-Caliber Funding LLC |
| &nbsp;&nbsp; 11.46% (1 mo. LIBOR US + 6.50%), 11/01/2025 <sup>(d)(f)(k)</sup> | 1628000 | 163 |
| &nbsp;&nbsp; 11.75% (1 mo. Term SOFR + 7.75%), 03/06/2026 <sup>(d)</sup> | 628203 | 626010 |
| &nbsp;&nbsp; 6.75% (1 mo. Term SOFR + 2.75%), 03/06/2026 <sup>(d)</sup> | 3350418 | 3342863 |
| &nbsp;&nbsp; 11.00%, 10/15/2026 <sup>(d)</sup> | 3500000 | 3482682 |
| &nbsp;&nbsp; 5.00%, 10/15/2026 <sup>(d)</sup> | 300000 | 299502 |
| &nbsp;&nbsp; 7.00%, 10/01/2027 <sup>(d)(k)</sup> | 3621300 | 912006 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $139,901,956) | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $139,901,956) | 126866438 |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY - 4.5%** | **Par** | **Value**  |
| Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust |
| &nbsp;&nbsp; Series 2019-01, Class B10, 9.80% (30 day avg SOFR US + 5.61%), 10/25/2049 <sup>(d)</sup> | 1500000 | 1511444 |
| &nbsp;&nbsp; Series 2019-01, Class CE, 13.05% (30 day avg SOFR US + 8.86%), 10/25/2049 <sup>(d)</sup> | 2000000 | 2031928 |
| &nbsp;&nbsp; Series 2020-01, Class CE, 11.80% (30 day avg SOFR US + 7.61%), 03/25/2050 <sup>(d)</sup> | 8000000 | 8285264 |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; Series 2017-KF41, Class B, 6.92% (30 day avg SOFR US + 2.61%), 11/25/2025 <sup>(d)</sup> | 600479 | 599409 |
| &nbsp;&nbsp; Series 2019-KF58, Class B, 6.57% (30 day avg SOFR US + 2.26%), 01/25/2026 <sup>(d)</sup> | 1182007 | 1180162 |
| &nbsp;&nbsp; Series 2019-KF64, Class B, 6.72% (30 day avg SOFR US + 2.41%), 06/25/2026 <sup>(d)</sup> | 2487563 | 2488043 |
| &nbsp;&nbsp; Series K143, Class A2, 2.35%, 03/25/2032 | 7185000 | 6456455 |
| &nbsp;&nbsp; Series K-159, Class A2, 4.50%, 07/25/2033 <sup>(a)</sup> | 20000000 | 20256200 |
| &nbsp;&nbsp; Series K-165, Class A2, 4.49%, 09/25/2034 | 14464000 | 14599513 |
| &nbsp;&nbsp; Series K-171, Class A2, 4.40%, 06/25/2035 <sup>(a)</sup> | 1750000 | 1749176 |
| &nbsp;&nbsp; Series K-172, Class A2, 4.58%, 08/25/2035 <sup>(a)</sup> | 9750000 | 9870159 |
| &nbsp;&nbsp; Series K-173, Class A2, 4.60%, 09/25/2035 <sup>(a)</sup> | 4700000 | 4767736 |
| &nbsp;&nbsp; Series K543, Class A2, 4.33%, 06/25/2030 <sup>(a)</sup> | 10000000 | 10111530 |
| &nbsp;&nbsp; Series K544, Class A2, 4.27%, 07/25/2030 <sup>(a)</sup> | 10000000 | 10085460 |
| &nbsp;&nbsp; Series K545, Class A2, 4.29%, 07/25/2030 <sup>(a)</sup> | 10000000 | 10095490 |
| &nbsp;&nbsp; Series K547, Class A2, 4.42%, 05/25/2030 <sup>(a)</sup> | 5000000 | 5034675 |
| &nbsp;&nbsp; Series K548, Class A2, 4.32%, 09/25/2030 <sup>(a)</sup> | 8000000 | 8093752 |
| &nbsp;&nbsp; Series K549, Class A2, 4.34%, 09/25/2030 <sup>(a)(l)</sup> | 3000000 | 3046557 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY** (Cost $119,048,858) | **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES – U.S. GOVERNMENT AGENCY** (Cost $119,048,858) | 120262953 |
| **EXCHANGE TRADED FUNDS - 1.1%** | **Shares** | **Value**  |
| iShares Broad USD High Yield Corporate Bond ETF | 783537 | 29445320 |
| **TOTAL EXCHANGE TRADED FUNDS** (Cost $29,449,369) | **TOTAL EXCHANGE TRADED FUNDS** (Cost $29,449,369) | 29445320 |
| **AFFILIATED EXCHANGE TRADED FUNDS - 0.9%** | **Shares** | **Value**  |
| Angel Oak High Yield Opportunities ETF <sup>(n)</sup> | 1165240 | 12963295 |
| Angel Oak Mortgage-Backed Securities ETF <sup>(n)</sup> | 1302882 | 11387189 |
| Angel Oak Total Return ETF <sup>(n)</sup> | 2000 | 100640 |
| **TOTAL AFFILIATED EXCHANGE TRADED FUNDS** (Cost $24,868,559) | **TOTAL AFFILIATED EXCHANGE TRADED FUNDS** (Cost $24,868,559) | 24451124 |
| **COMMERCIAL REAL ESTATE- 0.8%** | **Par** | **Value**  |
| Geary <sup>(n)(o)</sup> | $7068750 | 7487998 |
| Leavenworth <sup>(n)(o)</sup> | 2945000 | 3220499 |
| Octavia <sup>(n)(o)</sup> | 8003750 | 12055496 |
| **TOTAL COMMERCIAL REAL ESTATE** (Cost $18,707,750) |  | 22763993 |
| **PREFERRED STOCKS - 0.3%** | **Shares** | **Value**  |
| **Financial - 0.2%** | **Financial - 0.2%** |  |
|  Dynex Capital, Inc., Series C, 9.61% (3 mo. Term SOFR + 5.72%), Perpetual | 173425 | 4472631 |
|  MFA Financial, Inc., Series C, 9.50% (3 mo. Term SOFR + 5.61%), Perpetual | 52942 | 1257372 |
|  |  | 5730003 |
| **Real Estate Investment Trust - 0.1%** | **Real Estate Investment Trust - 0.1%** |  |
|  AGNC Investment Corp., Series E, 9.14% (3 mo. Term SOFR + 5.25%), Perpetual | 66529 | 1671874 |
| **TOTAL PREFERRED STOCKS** (Cost $7,322,400) | **TOTAL PREFERRED STOCKS** (Cost $7,322,400) | 7401877 |
| **RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER - 0.3%** | **Par** | **Value**  |
|  Federal Home Loan Mortgage Corp. Series 2018-SPI4, Class B, 4.51%, 11/25/2048 <sup>(a)(d)</sup> | $9022976 | 6689472 |
| **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER** (Cost $8,938,966) | **TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - U.S. GOVERNMENT AGENCY CREDIT RISK TRANSFER** (Cost $8,938,966) | 6689472 |
| **COMMON STOCKS - 0.2%** | **Shares** | **Value**  |
| **Energy - 0.0%<sup>(j)</sup>** | **Energy - 0.0%<sup>(j)</sup>** |  |
| Enviva Escrow <sup>(i)(o)</sup> | 100000 | 0 |
| Enviva LLC <sup>(o)</sup> | 3638 | 61846 |
|  |  | 61846 |
| **Financial - 0.1%** | **Financial - 0.1%** |  |
| Kingstone Companies, Inc. | 32996 | 481082 |
| PennyMac Mortgage Investment Trust | 81182 | 977431 |
| Redwood Trust, Inc. | 238507 | 1266472 |
|  |  | 2724985 |
| **Real Estate Investment Trust - 0.1%** | **Real Estate Investment Trust - 0.1%** |  |
| Annaly Capital Management, Inc. | 84833 | 1795915 |
| Ellington Financial, Inc. | 103500 | 1378620 |
|  |  | 3174535 |
| **TOTAL COMMON STOCKS** (Cost $9,886,019) | **TOTAL COMMON STOCKS** (Cost $9,886,019) | 5961366 |
| **WHOLE LOANS - 0.2%** | **Par** | **Value**  |
| Agency High Balance Residential Mortgages | Agency High Balance Residential Mortgages | Agency High Balance Residential Mortgages |
| &nbsp;&nbsp; 6.88%, 07/24/2026 | $597222 | 592877 |
| &nbsp;&nbsp; 7.00%, 04/26/2037 | 173505 | 172917 |
| &nbsp;&nbsp; 6.88%, 05/24/2037 | 262525 | 262796 |
| &nbsp;&nbsp; 7.75%, 08/24/2037 | 216617 | 220161 |
| &nbsp;&nbsp; 5.13%, 05/24/2048 | 461303 | 414693 |
|  Savannah Grand, 10.11%, 03/31/2026 | 3111177 | 3083576 |
| **TOTAL WHOLE LOANS** (Cost $4,799,218) | **TOTAL WHOLE LOANS** (Cost $4,799,218) | 4747020 |
| **SHORT-TERM INVESTMENTS - 0.5%** | **Shares** | **Value**  |
| **Money Market Funds – 0.5%**<br> First American Government Obligations Fund - Class U, 4.05% <sup>(p)</sup> | 13347126 | 13347126 |
| **TOTAL SHORT-TERM INVESTMENTS** (Cost $13,347,126) | **TOTAL SHORT-TERM INVESTMENTS** (Cost $13,347,126) | 13347126 |
| **TOTAL INVESTMENTS - 104.2% (**Cost $2,958,224,607**)** | **TOTAL INVESTMENTS - 104.2% (**Cost $2,958,224,607**)** | 2792668277 |
| Liabilities in Excess of Other Assets - (4.2)% | Liabilities in Excess of Other Assets - (4.2)% | (111984063) |
| **TOTAL NET ASSETS - 100.0%** |  | $2680684214 |
| Percentages are stated as a percent of net assets. | Percentages are stated as a percent of net assets. |  |

---

---

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

---

(a) 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 October 31, 2025.

(b) Interest only security.

(c) All or a portion of security has been pledged as collateral in connection with open credit agreements. At October 31, 2025, the value of the securities pledged amounted to $255,879,178.

(d) Security is exempt from registration under Rule 144A or Section 4(a)(2) of the Securities Act of 1933, as amended. The security may be resold in transactions exempt from registration, normally
 to qualified institutional buyers. These securities are determined to be liquid by the Adviser, under the procedures established by the Fund's Board of Trustees, unless otherwise denoted. As of October 31, 2025, the value of these securities
 total $1,887,235,010 or 70.4% of the Fund's net assets.

(e) Principal only security.

(f) Securities referencing LIBOR are expected to transition to an alternative reference rate.

(g) Step coupon bond. The rate disclosed is as of October 31, 2025.

(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) As of October 31, 2025, the Fund has fair valued these securities under the procedures established by Angel Oak Capital Advisors, LLC as Valuation Designee pursuant to Rule 2a-5 under the
 Investment Company Act of 1940. The value of these securities amounted to $160,001 or 0.0% of net assets. Value determined using significant unobservable inputs.

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

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

(l) Security or a portion of the security purchased on a when-issued or delayed delivery basis.

(m) Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. As of October 31, 2025, the value of these securities total $2,009,440 or 0.1% of the
 Fund's net assets.

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

(o) Non-income producing security. Income is not being accrued.

(p) The rate shown represents the 7-day annualized yield as of October 31, 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)** |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 10 Year Note | (187) | 12/19/2025 | $(21069641) | $(205186) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 5 Year Note | (556) | 12/31/2025 | (60721281) | 43820 |
| **Net Unrealized Appreciation (Depreciation)** |  |  |  | $(161366) |
| The average monthly notional value of long and short futures during the period ended October 31, 2025, was $31,300,644 and $(77618764), respectively. | The average monthly notional value of long and short futures during the period ended October 31, 2025, was $31,300,644 and $(77618764), respectively. | The average monthly notional value of long and short futures during the period ended October 31, 2025, was $31,300,644 and $(77618764), respectively. | The average monthly notional value of long and short futures during the period ended October 31, 2025, was $31,300,644 and $(77618764), respectively. | The average monthly notional value of long and short futures during the period ended October 31, 2025, was $31,300,644 and $(77618764), 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** <br> **Credit Spread at 10/31/25 <sup>(b)</sup>** | **Pay (Receive) Fixed Rate** | **Payment Frequency** | **Maturity Date** | **Counterparty** | **Notional** <br> **Amount <sup>(c)</sup>** | **Value** | **Premiums Paid** <br> (Received) | **Unrealized** <br> **Appreciation** <br> (Depreciation) |
| Markit CDX.NA.IG <sup>(d)</sup> | 0.52% | 1.000% | Quarterly | 12/20/2030 | Wells Fargo <br> Securities, LLC | $400000000 | $(9318276) | $(8861536) | $(456740) |

---

(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 October 31, 2025, was $365,000,000.

------

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

The Fund records 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 that the Fund has the ability to access

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 October 31, 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 | $– | $1235166376 | $10001 | $1235176377 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Residential Mortgage-Backed Securities - U.S. Government Agency | – | 416218307 | – | 416218307 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Asset-Backed Securities | – | 369604640 | – | 369604640 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Corporate Obligations | – | 222321310 | 150000 | 222471310 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Collateralized Loan Obligations | – | 187260954 | – | 187260954 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities | – | 126866438 | – | 126866438 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Commercial Mortgage-Backed Securities - U.S. Government Agency | – | 120262953 | – | 120262953 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Exchange Traded Funds | 29445320 | – | – | 29445320 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Affiliated Exchange Traded Funds | 24451124 | – | – | 24451124 |
| Commercial Real Estate | – | 22763993 | – | 22763993 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Preferred Stocks | 7401877 | – | – | 7401877 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Residential Mortgage-Backed Securities - U.S. Government Agency Credit Risk Transfer | – | 6689472 | – | 6689472 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Common Stocks | 5899520 | 61846 | 0 | 5961366 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Whole Loans | – | 4747020 | – | 4747020 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Short-Term Investments | 13347126 | – | – | 13347126 |
|  **Total** | $80544967 | $2711963309 | $160001 | $2792668277 |
| **Other Financial Instruments** |  |  |  |  |
| **Assets** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts\* | $43819 | $– | $– | $43819 |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures Contracts\* | (205185) | – | – | (205185) |
| &nbsp;&nbsp;&nbsp;&nbsp;Swaps\* | – | (456740) | – | (456740) |
| **Total** | $(161366) | $(456740) | $– | $(618106) |
| \*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 October 31, 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 October 31, 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 October 31, 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 October 31, 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 October 31, 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 October 31, 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** <br> **in Unrealized**<br> **Appreciation/**<br> **Depreciation on Investments in Affiliates** | <br>**Value as of** <br> **10/31/25** | <br>**Share/Par <br> Balance** | <br>**Dividend <br> Income** |
| Angel Oak High Yield Opportunities ETF | $25121512 | $– | $(12157323) | $(449360) | $448466 | $12963295 | 1165240 | $936902 |
| Angel Oak Mortgage-Backed Securities ETF | 19217083 | 9983807 | (18234917) | (2951910) | 3373126 | 11387189 | 1302882 | 611836 |
| Angel Oak Total Return ETF |  | 101023 |  |  | (383) | 100640 | 2000 |  |
| Geary | – | 7312500 | – | – | 175498 | 7487998 | 7068750 | – |
| Leavenworth | – | 2945000 | – | – | 275499 | 3220499 | 2945000 | – |
| Octavia | 8003750 | 446500 | – | – | 3605246 | 12055496 | 8003750 | – |
| **Total** | $52342345 | $20788830 | $(30392240) | $(3401270) | $7877452 | $47215117 | $20487622 | $1548738 |

---

## 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:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2852626483.15

**Total Liabilities:** $181791213.43

**Net Assets:** $2670835269.72

**Delayed Delivery Securities:** $53403150.14

**Cash Not Reported:** $4906474.68

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2144.654340114651 | **1-Year:** 23204.561043865260 | **5-Year:** -4679.822117845906 | **10-Year:** 340575.612094193200 | **30-Year:** 36432.650096361230

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

- **3-Month:** 5094.617560805017 | **1-Year:** 76797.260788152970 | **5-Year:** 221588.646578298700 | **10-Year:** 198129.740481776100 | **30-Year:** 63228.018130011110

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152733 | 1.03%                | 0.80%                | 0.71%                |
| Class ID C000152734 | 1.06%                | 0.82%                | 0.73%                |
| Class ID C000159180 | 1.09%                | 0.63%                | 0.67%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3294636.24             | $22022867.32                               |
| Month 2  | $1930818.76              | $4625578.41                                |
| Month 3  | $491672.56               | $8338950.42                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACC Trust                        | ACC Trust 2022-1                                                                 | CUSIP: 00091HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $15.00        | 0.00%             | 2028-10-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                   | ACHV ABS Trust 2024-3AL                                                          | CUSIP: 00092KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1701174 | PA      | $1693687.62   | 0.06%             | 2031-12-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP             | AGNC Investment Corp                                                             | CUSIP: 00123Q807<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     66529 | NS      | $1671873.77   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| American Money Management Corp   | AMMC CLO 23 Ltd                                                                  | CUSIP: 00177JCC7<br>LEI: 549300ICO4ZE2FVC2Y46 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6020094.00   | 0.23%             | 2038-07-17      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                  | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1701989.00   | 0.06%             | 2041-05-17      | Floating      | 6.27%                 | 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      | $880578.75    | 0.03%             | 2039-06-11      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC         | Acadia Healthcare Co Inc                                                         | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2794537.80   | 0.10%             | 2033-03-15      | Fixed         | 7.38%                 | 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        |   1467751 | PA      | $1222519.25   | 0.05%             | 2037-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM         | Advanced Drainage Systems Inc                                                    | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |    600000 | PA      | $611738.40    | 0.02%             | 2030-06-15      | Fixed         | 6.38%                 | 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      | $272834.56    | 0.01%             | 2029-12-17      | Fixed         | 0.00%                 | 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      | $904082.22    | 0.03%             | 2029-02-15      | Fixed         | 6.89%                 | 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      | $3370558.28   | 0.13%             | 2029-02-15      | Fixed         | 9.17%                 | 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      | $6479520.99   | 0.24%             | 2029-02-15      | Fixed         | 9.17%                 | 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      | $97840.08     | 0.00%             | 2029-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AgoraCapital Auto Securities T   | AgoraCapital Auto Securities Trust 2025-1                                        | CUSIP: 008483AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2015100.80   | 0.08%             | 2032-11-25      | Fixed         | 7.27%                 | 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        |  46890286 | PA      | $372215.09    | 0.01%             | 2046-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALA Trust                        | ALA Trust 2025-OANA                                                              | CUSIP: 009920AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1714140.60   | 0.06%             | 2040-06-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ALA Trust                        | ALA Trust 2025-OANA                                                              | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1310567.70   | 0.05%             | 2040-06-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                  | Allegro CLO XIII Ltd                                                             | CUSIP: 01750WAY5<br>LEI: 254900E6QZJ305P65V74 | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8528381.50   | 0.32%             | 2038-07-20      | Floating      | 7.03%                 | 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      | $953117.10    | 0.04%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0506B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $39804854.40  | 1.49%             | 2040-11-15      | Fixed         | 5.00%                 | 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        |  17601661 | PA      | $176.02       | 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        |  10473643 | PA      | $104.74       | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18265570 | PA      | $43691.24     | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970224 | PA      | $912582.31    | 0.03%             | 2036-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC          | American Axle & Manufacturing Inc                                                | CUSIP: 02406PBD1<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1974803.67   | 0.07%             | 2033-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12706151 | PA      | $106858.73    | 0.00%             | 2046-05-25      | Variable      | 0.01%                 | 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        |   2913753 | PA      | $2489507.37   | 0.09%             | 2036-12-25      | Floating      | 6.04%                 | 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        |  11303634 | PA      | $133857.64    | 0.01%             | 2047-06-25      | Variable      | 0.06%                 | 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      | $769719.75    | 0.03%             | 2033-01-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| AMERITEX HOLDCO INTERMED         | AmeriTex HoldCo Intermediate LLC                                                 | CUSIP: 030727AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1496976.40   | 0.06%             | 2033-08-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC             | Amkor Technology Inc                                                             | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1059272.24   | 0.04%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS L         | Amneal Pharmaceuticals LLC                                                       | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1070684.82   | 0.04%             | 2032-08-01      | Fixed         | 6.88%                 | 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      | $2802429.00   | 0.10%             | 2037-10-25      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 26 Ltd                                                     | CUSIP: 03331TAW0<br>LEI: 5493004K3H2URWHGJT03 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3260478.00   | 0.12%             | 2038-03-19      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 26 Ltd                                                     | CUSIP: 03331TAY6<br>LEI: 5493004K3H2URWHGJT03 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2024872.00   | 0.08%             | 2038-03-19      | Floating      | 8.63%                 | 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      | $8774881.50   | 0.33%             | 2037-07-25      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Angel Oak Total Return ETF       | Angel Oak Total Return ETF                                                       | CUSIP: 03463K729<br>LEI: 254900SIDCUM9VBX4984 | Long             | EC               | RF                | US        |      1500 | NS      | $75480.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Mortgage-Backed Secu   | Angel Oak Mortgage-Backed Securities ETF                                         | CUSIP: 03463K737<br>LEI: 254900TSW167NT37XY19 | Long             | EC               | RF                | US        |   1308882 | NS      | $11439628.68  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak High Yield Opportuni   | Angel Oak High Yield Opportunities ETF                                           | CUSIP: 03463K745<br>LEI: 254900ZCII2VFW4OK231 | Long             | EC               | RF                | US        |   1170240 | NS      | $13018920.00  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Annaly Capital Management Inc    | Annaly Capital Management Inc                                                    | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |     84833 | NS      | $1795914.61   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Anthelion CLO                    | Anthelion CLO 2025-1 Ltd                                                         | CUSIP: 03676GAJ0<br>LEI: 254900S9YB3JCLS0SX64 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4511767.50   | 0.17%             | 2036-07-20      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI         | Antero Midstream Partners LP / Antero Midstream Finance Corp                     | CUSIP: 03690AAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1243383.56   | 0.05%             | 2032-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                   | Apidos CLO XLVI Ltd                                                              | CUSIP: 03769YAA8<br>LEI: 254900XSALC4GJ58ZP29 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2000000.00   | 0.07%             | 2036-10-24      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| Aqua Finance Trust               | Aqua Finance Trust 2019-A                                                        | CUSIP: 038370AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1721745 | PA      | $1709333.73   | 0.06%             | 2040-07-16      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust               | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2220000 | PA      | $2053400.10   | 0.08%             | 2046-07-17      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo   | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4012096.00   | 0.15%             | 2041-01-20      | Floating      | 6.64%                 | 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      | $617209.20    | 0.02%             | 2032-09-01      | 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      | $4530582.00   | 0.17%             | 2041-07-15      | Floating      | 6.92%                 | 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      | $4529974.50   | 0.17%             | 2041-07-15      | Floating      | 7.97%                 | 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      | $3028917.00   | 0.11%             | 2038-04-15      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT         | Western Midstream Operating LP                                                   | CUSIP: 04041NAA0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    450000 | PA      | $479642.85    | 0.02%             | 2030-04-01      | Fixed         | 7.25%                 | 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      | $499096.65    | 0.02%             | 2029-09-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2022-1                                                     | CUSIP: 042855AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1622058.00   | 0.06%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2937852.00   | 0.11%             | 2064-04-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3374024.50   | 0.13%             | 2064-04-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL2 Trust                                                             | CUSIP: 049919AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9454590.00   | 0.35%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust   | Avant Credit Card Master Trust                                                   | CUSIP: 05351KAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505377.90    | 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: 05377REK6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $531058.68    | 0.02%             | 2027-08-20      | Fixed         | 2.13%                 | 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        |   5000000 | PA      | $4893479.00   | 0.18%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RJS4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5128967.00   | 0.19%             | 2029-06-20      | Fixed         | 7.31%                 | 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      | $629826.60    | 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      | $1243325.74   | 0.05%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2013-RR1 Trust                                                          | CUSIP: 05490BBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2621763 | PA      | $1658786.83   | 0.06%             | 2036-05-26      | Variable      | 4.64%                 | 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      | $3265460.25   | 0.12%             | 2042-02-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| B&G FOODS INC                    | B&G Foods Inc                                                                    | CUSIP: 05508WAC9<br>LEI: 549300TRW1LZMDJZAQ78 | Long             | DBT              | CORP              | US        |    390000 | PA      | $367148.93    | 0.01%             | 2028-09-15      | Fixed         | 8.00%                 | 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      | $10003340.00  | 0.37%             | 2035-10-21      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4775875.20   | 0.18%             | 2041-02-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3265396.20   | 0.12%             | 2041-02-15      | Floating      | 7.67%                 | 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      | $2489316.13   | 0.09%             | 2034-05-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $301130.70    | 0.01%             | 2041-06-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4523796.00   | 0.17%             | 2041-06-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2024-PALM                                                                     | CUSIP: 05612UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038462 | PA      | $1039023.35   | 0.04%             | 2037-06-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                    | Ballyrock CLO 21 Ltd                                                             | CUSIP: 05874JAU4<br>LEI: 254900FOV48Z8K26JH50 | Long             | ABS-CBDO         | CORP              | JE        |   1220000 | PA      | $1219949.98   | 0.05%             | 2037-10-20      | Floating      | 7.03%                 | 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        |    114786 | PA      | $65099.54     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | 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        |   1872316 | PA      | $1390131.23   | 0.05%             | 2037-03-25      | Floating      | 4.71%                 | 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        |   1510765 | PA      | $1416919.52   | 0.05%             | 2047-05-20      | Floating      | 4.59%                 | 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        |    595632 | PA      | $530451.79    | 0.02%             | 2047-02-20      | Floating      | 4.57%                 | 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        |   2722276 | PA      | $2152353.58   | 0.08%             | 2037-10-25      | Fixed         | 7.00%                 | 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        |   3332827 | PA      | $3231805.70   | 0.12%             | 2037-06-26      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COLUMBIA BANKING SYSTEM          | Columbia Banking System Inc                                                      | CUSIP: 061591AA1<br>LEI: 254900CTRJTQZ3BJ2V17 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2498062.68   | 0.09%             | 2025-12-10      | Variable      | 9.73%                 | No            |                  2 | On Loan: No      |
| BANKGUAM HOLDING CO              | BankGuam Holding Co                                                              | CUSIP: 06644AAB2<br>LEI: 549300UZSAYMXQIF8W75 | Long             | SN               | CORP              | GU        |   2000000 | PA      | $1927788.74   | 0.07%             | 2031-07-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust     | Barclays Mortgage Loan Trust 2021-NQM1                                           | CUSIP: 06744UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1820347 | PA      | $1665455.20   | 0.06%             | 2051-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO Ltd 2018-I                                             | CUSIP: 06761NAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    428329 | PA      | $12849.86     | 0.00%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                | Battalion CLO XXIX Ltd                                                           | CUSIP: 07135TAJ8<br>LEI: 254900BHK74DPDADPT35 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5027580.00   | 0.19%             | 2038-03-31      | Floating      | 7.58%                 | 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        |    119218 | PA      | $97127.60     | 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        |   1042804 | PA      | $691466.40    | 0.03%             | 2035-08-25      | Floating      | 5.11%                 | 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        |   1063696 | PA      | $923402.88    | 0.03%             | 2035-08-25      | Variable      | 4.89%                 | 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      | $6362607.40   | 0.24%             | 2033-10-25      | Floating      | 8.43%                 | 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      | $574411.30    | 0.02%             | 2033-10-25      | Floating      | 10.88%                | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   5430000 | PA      | $5553499.92   | 0.21%             | 2034-08-25      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $1036729.00   | 0.04%             | 2034-08-25      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC            | Belron UK Finance PLC                                                            | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $608329.80    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2517000 | PA      | $2713988.98   | 0.10%             | 2035-10-17      | Fixed         | 9.73%                 | 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      | $2504532.50   | 0.09%             | 2035-10-25      | Floating      | 11.36%                | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR           | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |    940000 | PA      | $991354.08    | 0.04%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BLACKROCK ELBERT CLO V, LLC      | BlackRock Elbert CLO V LLC/KY                                                    | CUSIP: 092913AJ1<br>LEI: 54930088K41XQK16ML36 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5006630.00   | 0.19%             | 2034-06-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Blackrock CLO                    | Blackrock MT Lassen Clo XV LLC                                                   | CUSIP: 092916AG0<br>LEI: 529900270ZC9EIH17Z28 | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4031144.00   | 0.15%             | 2037-07-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| SAVANNAH GRAND                   | SAVANNAH GRAND                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3111177 | PA      | $3083575.93   | 0.12%             | 2026-03-31      | Floating      | 10.11%                | 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        |   3405172 | PA      | $3266428.08   | 0.12%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 72108PAP9<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    597222 | PA      | $592877.22    | 0.02%             | 2026-07-24      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    173505 | PA      | $172917.25    | 0.01%             | 2037-04-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    216617 | PA      | $220160.93    | 0.01%             | 2037-08-24      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    262525 | PA      | $262796.49    | 0.01%             | 2037-05-24      | Variable      | 6.88%                 | 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        |   1316880 | PA      | $1301283.78   | 0.05%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAD4<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |   4987725 | PA      | $4941997.84   | 0.19%             | 2060-01-25      | Variable      | 4.35%                 | 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        |   1448792 | PA      | $1363488.87   | 0.05%             | 2060-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM8                                        | CUSIP: 10571DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1820385 | PA      | $1793332.69   | 0.07%             | 2053-08-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur   | Bridgecrest Lending Auto Securitization Trust 2023-1                             | CUSIP: 108056AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8568768.80   | 0.32%             | 2030-07-15      | Fixed         | 10.37%                | No            |                  2 | On Loan: No      |
| BROOKLINE BANCORP INC            | Brookline Bancorp Inc                                                            | CUSIP: 11373MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1002461.80   | 0.04%             | 2029-09-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| Builders Capital Loan Acquisit   | Builders Capital Loan Acquisition Trust 2024-NPL1                                | CUSIP: 12007KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10092000 | PA      | $10051632.00  | 0.38%             | 2029-09-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC         | Builders FirstSource Inc                                                         | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2112916.02   | 0.08%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN         | Burford Capital Global Finance LLC                                               | CUSIP: 12116LAG4<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1542111.64   | 0.06%             | 2033-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2025-BIO3 Mortgage Trust                                                      | CUSIP: 123911AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1767169.25   | 0.07%             | 2042-02-10      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2025-VLT7                                                               | CUSIP: 123913AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3716675.90   | 0.14%             | 2044-07-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1591532 | PA      | $1600360.09   | 0.06%             | 2039-08-15      | Floating      | 6.62%                 | 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      | $1419078.00   | 0.05%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust   | CFMT 2024-NR1 LLC                                                                | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5377880 | PA      | $5436939.78   | 0.20%             | 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        |  11904814 | PA      | $49428.79     | 0.00%             | 2036-07-25      | Variable      | 0.12%                 | 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        |   1882073 | PA      | $690049.06    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2019-J1                                                                | CUSIP: 12556MCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613000 | PA      | $405370.99    | 0.02%             | 2049-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J2                                                                | CUSIP: 12564ECJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1494749 | PA      | $845020.55    | 0.03%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J1                                                                | CUSIP: 12564KCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247161 | PA      | $674009.64    | 0.03%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J3                                                                | CUSIP: 12565VDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281000 | PA      | $629246.42    | 0.02%             | 2051-06-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A6                               | CUSIP: 12566RAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68381 | PA      | $37597.77     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1577619 | PA      | $1392524.54   | 0.05%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3436193 | PA      | $2824502.14   | 0.11%             | 2036-12-25      | Floating      | 4.76%                 | 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        |     66555 | PA      | $36242.09     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2933408 | PA      | $2498688.45   | 0.09%             | 2037-05-25      | Floating      | 4.61%                 | 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        |   1773944 | PA      | $1432553.93   | 0.05%             | 2037-03-25      | Floating      | 4.71%                 | 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        |     81761 | PA      | $43837.46     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM TRUST 2022-R1                                                                | CUSIP: 12571YAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7425000 | PA      | $6250335.30   | 0.23%             | 2061-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-RPL1 Trust                                                             | CUSIP: 12598PAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $1971621.00   | 0.07%             | 2061-09-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4085000 | PA      | $3596050.01   | 0.13%             | 2066-11-26      | Variable      | 4.23%                 | 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      | $6664768.13   | 0.25%             | 2031-05-15      | Fixed         | 10.13%                | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-B                                                | CUSIP: 12627SAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7770000 | PA      | $8061501.65   | 0.30%             | 2031-11-17      | Fixed         | 8.36%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-B                                    | CUSIP: 12630SAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2226000 | PA      | $2283636.93   | 0.09%             | 2033-03-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-A                                    | CUSIP: 12633SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1838365.74   | 0.07%             | 2032-08-16      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2025-C                                                | CUSIP: 12634SAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3908366.00   | 0.15%             | 2033-02-15      | Fixed         | 6.59%                 | 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        |   1682446 | PA      | $788927.59    | 0.03%             | 2036-05-25      | Floating      | 4.81%                 | 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      | $6967510.90   | 0.26%             | 2060-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10125738 | PA      | $6013199.89   | 0.23%             | 2060-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 157983160 | PA      | $3511175.74   | 0.13%             | 2060-01-25      | Variable      | 1.49%                 | 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      | $307629.48    | 0.01%             | 2036-03-27      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2014-7R                                                              | CUSIP: 12648WCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176765 | PA      | $2234703.88   | 0.08%             | 2037-07-27      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6590980 | PA      | $5752139.81   | 0.22%             | 2057-08-01      | Variable      | 4.41%                 | 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      | $3292962.02   | 0.12%             | 2065-10-26      | Variable      | 4.12%                 | 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      | $2040887.34   | 0.08%             | 2056-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539950 | PA      | $1073428.31   | 0.04%             | 2056-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1367863 | PA      | $1225103.03   | 0.05%             | 2066-10-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4346000 | PA      | $3606202.15   | 0.14%             | 2066-10-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17512965 | PA      | $676893.60    | 0.03%             | 2056-11-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16070641 | PA      | $108653.60    | 0.00%             | 2056-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 281973025 | PA      | $518548.39    | 0.02%             | 2056-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10492482 | PA      | $237182.56    | 0.01%             | 2056-11-25      | Variable      | 0.50%                 | 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      | $2095923.06   | 0.08%             | 2067-02-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH1                                                                   | CUSIP: 12660BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7220300 | PA      | $6642914.27   | 0.25%             | 2067-01-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6539546 | PA      | $117496.03    | 0.00%             | 2056-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3940580 | PA      | $3357657.64   | 0.13%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  97669054 | PA      | $178539.03    | 0.01%             | 2056-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM2                                                                   | CUSIP: 12662EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $793681.00    | 0.03%             | 2066-02-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM7                                                                   | CUSIP: 12662QAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5417100 | PA      | $4582985.78   | 0.17%             | 2066-10-25      | Variable      | 3.72%                 | 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      | $475590.50    | 0.02%             | 2067-05-25      | Variable      | 5.17%                 | 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      | $1699489.15   | 0.06%             | 2028-06-15      | Fixed         | 6.12%                 | 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      | $4488729.20   | 0.17%             | 2030-06-17      | Fixed         | 12.12%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH2                                                                   | CUSIP: 12665WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450000 | PA      | $4197738.40   | 0.16%             | 2067-05-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH2                                                                   | CUSIP: 12665WAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6169107.00   | 0.23%             | 2067-05-25      | Variable      | 4.98%                 | 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        |  17162062 | PA      | $38769.10     | 0.00%             | 2035-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G4C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550368 | PA      | $291801.02    | 0.01%             | 2035-10-25      | Variable      | 5.39%                 | 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        |   8708234 | PA      | $57317.60     | 0.00%             | 2035-05-25      | Variable      | 0.07%                 | 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        |  13668249 | PA      | $136.68       | 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        |  15877977 | PA      | $158.78       | 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        |   5772816 | PA      | $4531.66      | 0.00%             | 2035-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-41                                                   | CUSIP: 12667GS46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3328738 | PA      | $7006.99      | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-38                                                   | CUSIP: 12667GZ71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32682991 | PA      | $555.61       | 0.00%             | 2035-09-25      | Variable      | 4.70%                 | 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        |  11557726 | PA      | $851584.83    | 0.03%             | 2035-11-20      | Variable      | 1.83%                 | 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        |   9480664 | PA      | $64146.17     | 0.00%             | 2035-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17615381 | PA      | $164721.43    | 0.01%             | 2035-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542151 | PA      | $1345946.97   | 0.05%             | 2035-11-25      | Floating      | 4.51%                 | 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        |  32220738 | PA      | $320113.04    | 0.01%             | 2035-12-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J14                                                  | CUSIP: 12668AQ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1356965 | PA      | $849473.60    | 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        |  13481005 | PA      | $57887.43     | 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      | $796.64       | 0.00%             | 2035-12-20      | Variable      | 2.21%                 | 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        |   2295330 | PA      | $42819.37     | 0.00%             | 2036-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA3                                                  | CUSIP: 12668BC27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9671378 | PA      | $24420.23     | 0.00%             | 2036-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA1                                                  | CUSIP: 126694A24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7921019 | PA      | $80818.16     | 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        |   4124589 | PA      | $176445.80    | 0.01%             | 2034-10-25      | Variable      | 0.37%                 | 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        |   1289924 | PA      | $12.90        | 0.00%             | 2035-02-25      | Variable      | 0.06%                 | 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        |   9672480 | PA      | $96.72        | 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        |    824548 | PA      | $33461.81     | 0.00%             | 2035-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3040386 | PA      | $2428757.57   | 0.09%             | 2035-03-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6379550 | PA      | $63.80        | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-1                                           | CUSIP: 12669GRP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2579682 | PA      | $136.72       | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | 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        |   3549937 | PA      | $177010.50    | 0.01%             | 2035-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                   | CQS US CLO 5 Ltd                                                                 | CUSIP: 12676EAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.07%             | 2039-01-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC            | Caesars Entertainment Inc                                                        | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   2230000 | PA      | $2099450.67   | 0.08%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAL Receivables LLC              | CAL Receivables 2022-1 LLC                                                       | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |   2815939 | PA      | $2822987.41   | 0.11%             | 2026-10-15      | Floating      | 8.58%                 | 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      | $492507.50    | 0.02%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd           | Canyon CLO 2025-3 Ltd                                                            | CUSIP: 13875GAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5000000.00   | 0.19%             | 2039-01-15      | Floating      | 0.00%                 | 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      | $8519771.00   | 0.32%             | 2037-01-20      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP             | Capstone Copper Corp                                                             | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1967526.00   | 0.07%             | 2033-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                    | Carnival Corp                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    600000 | PA      | $619118.90    | 0.02%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust    | CarNow Auto Receivables Trust 2022-1                                             | CUSIP: 14367LAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2049468 | PA      | $1977670.34   | 0.07%             | 2027-09-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| CARS.COM INC                     | Cars.com Inc                                                                     | CUSIP: 14575EAA3<br>LEI: 5493002G6J07LNGX4M98 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2093272.65   | 0.08%             | 2028-11-01      | Fixed         | 6.38%                 | 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      | $4199728.00   | 0.16%             | 2030-04-10      | Fixed         | 9.94%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N3                                           | CUSIP: 14686RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4199967.20   | 0.16%             | 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        |    715394 | PA      | $711199.62    | 0.03%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N4                                           | CUSIP: 14687HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11531896 | PA      | $11184389.15  | 0.42%             | 2028-09-11      | Fixed         | 4.53%                 | 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      | $2767104.00   | 0.10%             | 2046-02-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| CHAMP ACQUISITION CORP           | Champ Acquisition Corp                                                           | CUSIP: 15807XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1996359.64   | 0.07%             | 2031-12-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                  | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1306327 | PA      | $752302.12    | 0.03%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1               | CUSIP: 16678RFB8<br>LEI: 549300Z98E6LMOBBGK17 | Long             | ABS-MBS          | CORP              | US        |   2419990 | PA      | $2295346.02   | 0.09%             | 2046-12-25      | Floating      | 4.26%                 | 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        |  13904147 | PA      | $177959.18    | 0.01%             | 2037-04-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAA4<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   7324246 | PA      | $6779249.23   | 0.25%             | 2047-04-25      | Floating      | 4.24%                 | 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        |   2825707 | PA      | $2400884.69   | 0.09%             | 2047-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2025-NR1                                                               | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3044431 | PA      | $3005169.59   | 0.11%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                 | Cinemark USA Inc                                                                 | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1244977.20   | 0.05%             | 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        |     27099 | PA      | $18890.79     | 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        |   2409316 | PA      | $2154863.22   | 0.08%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN         | Clarios Global LP / Clarios US Finance Co                                        | CUSIP: 18060TAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2119580.70   | 0.08%             | 2032-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLEAR STREET HOLDINGS            | Clear Street Holdings LLC                                                        | CUSIP: 18469LAA7<br>LEI: 254900NQWA30C6L3G919 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1982749.40   | 0.07%             | 2026-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP            | Clearwater Paper Corp                                                            | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1314845.00   | 0.05%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC             | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1945111.45   | 0.07%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION           | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1004213.00   | 0.04%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN           | Cogent Communications Group LLC / Cogent Finance Inc                             | CUSIP: 19240WAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1472570.02   | 0.06%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-2 Mortgage Loan Trust                                                  | CUSIP: 19685EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1481107.25   | 0.06%             | 2067-02-25      | Variable      | 3.95%                 | 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        |   5571000 | PA      | $5285179.85   | 0.20%             | 2067-03-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-2 Mortgage Loan Trust                                                  | CUSIP: 19685WAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $4359138.00   | 0.16%             | 2066-08-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT Funding LLC                                                                 | CUSIP: 19688DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2862000 | PA      | $2426930.21   | 0.09%             | 2064-12-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5510000 | PA      | $4254987.30   | 0.16%             | 2066-10-25      | Variable      | 4.16%                 | 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      | $4502454.54   | 0.17%             | 2067-03-25      | Variable      | 4.74%                 | 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      | $5485095.00   | 0.21%             | 2041-06-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC           | Comstock Resources Inc                                                           | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    450000 | PA      | $428651.55    | 0.02%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONCENTRA HEALTH SERVICE         | Concentra Health Services Inc                                                    | CUSIP: 20600DAA1<br>LEI: 984500GB84105F75DE32 | Long             | DBT              | CORP              | US        |    950000 | PA      | $992071.70    | 0.04%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAE6<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |   1010000 | PA      | $968417.80    | 0.04%             | 2026-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAH9<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |   1750000 | PA      | $1245912.50   | 0.05%             | 2031-02-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP             | Reworld Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188454.74    | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | 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      | $1545561.30   | 0.06%             | 2032-03-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-D                                    | CUSIP: 223936AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2027762.40   | 0.08%             | 2033-05-16      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-A                                                | CUSIP: 22411CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1036544.20   | 0.04%             | 2031-08-15      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                 | Credit Acceptance Corp                                                           | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1602232.00   | 0.06%             | 2030-03-15      | Fixed         | 6.62%                 | 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        |   1631017 | PA      | $1536010.29   | 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      | $739911.45    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CUSTOMERS BANK                   | Customers Bank                                                                   | CUSIP: 23204HBM9<br>LEI: 6UHRKD73G36IZYN3FC43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $997406.00    | 0.04%             | 2029-06-26      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| DCLI BIDCO LLC                   | Dcli Bidco LLC                                                                   | CUSIP: 233104AA6<br>LEI: 2549007UUVJTHHNK9T70 | Long             | DBT              | CORP              | US        |    600000 | PA      | $610376.51    | 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        |  10397290 | PA      | $4138.12      | 0.00%             | 2044-09-19      | Variable      | 0.03%                 | 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        |   9687857 | PA      | $9416.60      | 0.00%             | 2044-11-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR4                                                | CUSIP: 23332UCG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8771052 | PA      | $613.97       | 0.00%             | 2045-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15632050 | PA      | $11943746.08  | 0.45%             | 2045-02-19      | Floating      | 4.69%                 | 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        |  16031531 | PA      | $19350.06     | 0.00%             | 2045-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $10000.00     | 0.00%             | 2045-02-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: 23332UDE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978488 | PA      | $960456.32    | 0.04%             | 2045-03-19      | Floating      | 4.59%                 | 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        |  29502228 | PA      | $24159492.92  | 0.90%             | 2047-04-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                       | DaVita Inc                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1711066.50   | 0.06%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust    | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1620516.80   | 0.06%             | 2037-06-10      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1210560.00   | 0.05%             | 2040-04-13      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1211654.40   | 0.05%             | 2040-04-13      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-3                                      | CUSIP: 24381VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $3742086.20   | 0.14%             | 2066-08-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-2                                      | CUSIP: 24381WAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1996817.50   | 0.07%             | 2066-04-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-2                                      | CUSIP: 24381WAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6528000 | PA      | $5427672.96   | 0.20%             | 2066-04-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4846535.00   | 0.18%             | 2067-07-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4268490.00   | 0.16%             | 2067-01-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4628000 | PA      | $3568701.71   | 0.13%             | 2067-01-25      | Variable      | 4.27%                 | 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        |   3393996 | PA      | $1786633.48   | 0.07%             | 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        |   2179877 | PA      | $2004416.29   | 0.08%             | 2036-06-25      | Variable      | 4.69%                 | 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        |   4654984 | PA      | $4440346.97   | 0.17%             | 2047-01-25      | Floating      | 4.35%                 | 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        |    808457 | PA      | $738176.25    | 0.03%             | 2047-01-25      | Floating      | 4.47%                 | 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      | $6007545.95   | 0.22%             | 2037-03-25      | Floating      | 4.59%                 | 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        |   6058103 | PA      | $5617636.19   | 0.21%             | 2037-08-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2113890.80   | 0.08%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| DYNEX CAPITAL INC                | Dynex Capital Inc                                                                | CUSIP: 26817Q878<br>LEI: 5CIJ4S9HAEBWILA19B65 | Long             | EP               | CORP              | US        |    173425 | NS      | $4472630.75   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4010100 | PA      | $4050561.91   | 0.15%             | 2067-09-25      | Variable      | 5.89%                 | 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        |  20802921 | PA      | $11801434.60  | 0.44%             | 2067-09-25      | Variable      | 5.89%                 | 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        | 255059515 | PA      | $724113.96    | 0.03%             | 2067-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 255059515 | PA      | $443293.44    | 0.02%             | 2067-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-INV2                                                                   | CUSIP: 26844LAG3<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   6155807 | PA      | $5739372.81   | 0.21%             | 2069-10-25      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAH8<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |   2897500 | PA      | $2910217.13   | 0.11%             | 2069-11-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAJ4<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |   2739000 | PA      | $2615868.26   | 0.10%             | 2069-11-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-NQM1                                                                   | CUSIP: 26846CAG1<br>LEI: 254900TJEVLCYF1H3X71 | Long             | ABS-MBS          | CORP              | US        |   5008000 | PA      | $4721392.16   | 0.18%             | 2070-01-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2021-2 Ltd                                                              | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3000000 | PA      | $3071817.00   | 0.12%             | 2034-04-25      | Floating      | 8.43%                 | 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      | $1422509.31   | 0.05%             | 2060-01-26      | Variable      | 8.03%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3588553 | PA      | $3666740.39   | 0.14%             | 2060-01-26      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-CES2                                                                   | CUSIP: 28225GAE4<br>LEI: 254900G4WO4UX6N3D818 | Long             | ABS-MBS          | CORP              | US        |   2854000 | PA      | $2899107.47   | 0.11%             | 2060-02-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Inc          | Ellington Financial Inc                                                          | CUSIP: 28852N109<br>LEI: 60GS1D1R1YY5G1W7IT74 | Long             | EC               | CORP              | US        |    103500 | NS      | $1378620.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO X Ltd                | Elmwood CLO X Ltd                                                                | CUSIP: 29002VBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6020232.00   | 0.23%             | 2038-07-20      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC         | Encore Capital Group Inc                                                         | CUSIP: 292554AR3<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |    500000 | PA      | $526945.00    | 0.02%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC         | Encore Capital Group Inc                                                         | CUSIP: 292554AS1<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |    500000 | PA      | $496507.87    | 0.02%             | 2031-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Enviva LLC                       | Enviva LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      3638 | NS      | $61846.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC           | EquipmentShare.com Inc                                                           | CUSIP: 29450YAB5<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1515646.50   | 0.06%             | 2032-05-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| ENVIVA ESCROW                    | ENVIVA ESCROW                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |    100000 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-3                                       | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11784000 | PA      | $12257226.59  | 0.46%             | 2031-10-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-5                                       | CUSIP: 30165BAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3074924.10   | 0.12%             | 2032-05-17      | Fixed         | 7.22%                 | 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      | $4279352.93   | 0.16%             | 2031-10-15      | Fixed         | 7.98%                 | 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      | $9024875.31   | 0.34%             | 2029-10-15      | Fixed         | 6.34%                 | 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      | $7541446.78   | 0.28%             | 2030-04-15      | Fixed         | 10.45%                | 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      | $5869423.80   | 0.22%             | 2029-10-15      | Fixed         | 5.02%                 | 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      | $2466182.43   | 0.09%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-6                                       | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5930059.85   | 0.22%             | 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      | $2821502.64   | 0.11%             | 2030-11-15      | Fixed         | 9.75%                 | 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      | $3251643.84   | 0.12%             | 2031-01-15      | Fixed         | 9.98%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust      | Extended Stay America Trust 2025-ESH                                             | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1009398.00   | 0.04%             | 2042-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust      | Extended Stay America Trust 2025-ESH                                             | CUSIP: 30227TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2728674.00   | 0.10%             | 2042-10-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| EZCORP INC                       | EZCORP Inc                                                                       | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1577534.52   | 0.06%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| FS BANCORP INC                   | FS Bancorp Inc                                                                   | CUSIP: 30263YAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $981338.47    | 0.04%             | 2031-02-15      | Variable      | 3.75%                 | 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      | $1180161.97   | 0.04%             | 2026-01-25      | Floating      | 6.57%                 | 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      | $599408.45    | 0.02%             | 2025-11-25      | Floating      | 6.92%                 | 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      | $705804.61    | 0.03%             | 2030-10-15      | Fixed         | 9.31%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-2                                                          | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128000 | PA      | $1102511.49   | 0.04%             | 2031-09-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-3                                                          | CUSIP: 30339EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1717000 | PA      | $1613668.54   | 0.06%             | 2031-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2025-1                                                          | CUSIP: 30340RAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $566365.38    | 0.02%             | 2032-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I,    | FAT Brands Fazoli's Native I LLC                                                 | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1929600 | PA      | $1929905.35   | 0.07%             | 2051-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5723405 | PA      | $4879391.72   | 0.18%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPED6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10532416 | PA      | $9741189.25   | 0.36%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPX52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10734140 | PA      | $10680823.41  | 0.40%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DT3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7927231 | PA      | $7927493.02   | 0.30%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7493296 | PA      | $7707214.81   | 0.29%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DUT23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7731964 | PA      | $7934579.98   | 0.30%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12295511 | PA      | $9997234.34   | 0.37%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5933608 | PA      | $4831914.87   | 0.18%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWG72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339436 | PA      | $330801.87    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1324357 | PA      | $1361751.37   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133C7AE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16710095 | PA      | $16345037.69  | 0.61%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CQHA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10803191 | PA      | $11104848.43  | 0.42%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13056406 | PA      | $13016035.28  | 0.49%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWYT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2845999 | PA      | $2831863.12   | 0.11%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CYR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5014631 | PA      | $4995992.05   | 0.19%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133KJ3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12657841 | PA      | $10862427.16  | 0.41%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133KKUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2474860 | PA      | $2105301.24   | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI4            | CUSIP: 3137G1DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9022976 | PA      | $6689471.73   | 0.25%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H74A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7185000 | PA      | $6456455.37   | 0.24%             | 2032-03-25      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HAMB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $20256200.00  | 0.76%             | 2033-07-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HHHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14464000 | PA      | $14599513.22  | 0.55%             | 2034-09-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10111530.00  | 0.38%             | 2030-06-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1750000 | PA      | $1749175.75   | 0.07%             | 2035-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10085460.00  | 0.38%             | 2030-07-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10095490.00  | 0.38%             | 2030-07-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5034675.00   | 0.19%             | 2030-05-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9750000 | PA      | $9870159.00   | 0.37%             | 2035-08-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8093752.00   | 0.30%             | 2030-09-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HNN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $4767736.40   | 0.18%             | 2035-09-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | FREMF 2025-K549 Mortgage Trust                                                   | CUSIP: 3137HNNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3046557.00   | 0.11%             | 2030-09-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ADFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4112675 | PA      | $4157790.59   | 0.16%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AGLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1145248 | PA      | $1170430.45   | 0.04%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ANNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462229 | PA      | $1466619.10   | 0.05%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AQYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2793408 | PA      | $2784770.89   | 0.10%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ARQC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20049586 | PA      | $19956254.75  | 0.75%             | 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        |   2955212 | PA      | $2964083.98   | 0.11%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ATLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2815518 | PA      | $2850805.13   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140NGD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2443094 | PA      | $2478293.91   | 0.09%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6572300 | PA      | $5588324.22   | 0.21%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3762783 | PA      | $3342826.73   | 0.13%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QNWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3210680 | PA      | $2738430.48   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7414343 | PA      | $6851194.86   | 0.26%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPVD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13439749 | PA      | $13152500.90  | 0.49%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2910420 | PA      | $2846396.17   | 0.11%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QT3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4003862 | PA      | $4104402.52   | 0.15%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUVC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3318786 | PA      | $3408347.09   | 0.13%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9147408 | PA      | $9253472.40   | 0.35%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVWR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11658128 | PA      | $11614794.29  | 0.43%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140W14N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11685374 | PA      | $11971502.39  | 0.45%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140W1CG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9983784 | PA      | $10223175.65  | 0.38%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140W1RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18884342 | PA      | $17985749.09  | 0.67%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2236784 | PA      | $1904963.11   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XPCS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10280208 | PA      | $10254846.37  | 0.38%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XQMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4176934 | PA      | $4227975.68   | 0.16%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XTCF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12319395 | PA      | $10506534.60  | 0.39%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418E4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23764075 | PA      | $22570144.32  | 0.85%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8148268 | PA      | $6649058.11   | 0.25%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20371204 | PA      | $18081704.89  | 0.68%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16537869 | PA      | $14696133.70  | 0.55%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 31427M4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3843433 | PA      | $3989909.58   | 0.15%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 31427NY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8695990 | PA      | $7413618.28   | 0.28%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3142GRSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5520951 | PA      | $5652686.48   | 0.21%             | 2054-05-01      | Fixed         | 6.00%                 | 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      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-2                                        | CUSIP: 31572LAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2710000 | PA      | $1925555.27   | 0.07%             | 2066-06-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-2                                        | CUSIP: 31572LAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3320000 | PA      | $2526244.44   | 0.09%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-3                                        | CUSIP: 31573JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2910000 | PA      | $2256280.14   | 0.08%             | 2066-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FIDELITY FINANCIAL CORP          | Fidelity Financial Corp                                                          | CUSIP: 316144AC8<br>LEI: 549300MH8LY2P6Y7NV11 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2816383.14   | 0.11%             | 2032-04-30      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC             | Fiesta Purchaser Inc                                                             | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $862854.84    | 0.03%             | 2032-09-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2024-HE1                                                             | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010382 | PA      | $1041469.03   | 0.04%             | 2054-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2025-HE5                                                             | CUSIP: 31684MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3597947.50   | 0.13%             | 2055-08-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FINANCIAL INSTITUTIONS I         | Financial Institutions Inc                                                       | CUSIP: 317585AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1118643.21   | 0.04%             | 2030-04-15      | Variable      | 8.80%                 | No            |                  2 | On Loan: No      |
| First American Government Obli   | First American Government Obligations Fund                                       | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  16019130 | NS      | $16019130.44  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BANCSHARES INC             | First Bancshares Inc/The                                                         | CUSIP: 318916AB9<br>LEI: 5493006DL5RXJODMAF36 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1011974.29   | 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      | $869061.80    | 0.03%             | 2032-02-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST NORTHWEST BANCORP          | First Northwest Bancorp                                                          | CUSIP: 335834AC1<br>LEI: 549300YDR3VSTKB9DQ65 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1179713.72   | 0.04%             | 2031-03-30      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L         | First Quantum Minerals Ltd                                                       | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   3090000 | PA      | $3211424.64   | 0.12%             | 2034-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                    | FirstCash Inc                                                                    | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1480622.22   | 0.06%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2024-1                                                | CUSIP: 33843VAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1067639.88   | 0.04%             | 2031-05-15      | Fixed         | 8.60%                 | 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      | $3971890.17   | 0.15%             | 2028-09-15      | Fixed         | 3.16%                 | 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      | $3421990.80   | 0.13%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2022-1                                                | CUSIP: 33845VAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $653268.80    | 0.02%             | 2029-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBT3<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2478000 | PA      | $2077612.19   | 0.08%             | 2048-10-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2885844 | PA      | $2258401.21   | 0.08%             | 2051-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2540029 | PA      | $2251161.95   | 0.08%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 176645705 | PA      | $2051209.92   | 0.08%             | 2041-09-25      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431945 | PA      | $394748.08    | 0.01%             | 2041-09-25      | Variable      | 2.96%                 | 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      | $789245.44    | 0.03%             | 2041-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-10INV                                               | CUSIP: 33851RBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1163553 | PA      | $908747.65    | 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        |   2557546 | PA      | $2081379.67   | 0.08%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1222000 | PA      | $637524.73    | 0.02%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340188 | PA      | $743908.95    | 0.03%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343000 | PA      | $679105.41    | 0.03%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FLUSHING FINANCIAL CORP          | Flushing Financial Corp                                                          | CUSIP: 343873AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2632224.99   | 0.10%             | 2031-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FTAI AVIATION INVESTORS          | FTAI Aviation Investors LLC                                                      | CUSIP: 34960PAH4<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1211618.40   | 0.05%             | 2033-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust         | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1006106.30   | 0.04%             | 2052-04-15      | Fixed         | 8.35%                 | 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      | $4986068.50   | 0.19%             | 2029-08-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Franklin Park Place CLO          | Franklin Park Place CLO VI LLC                                                   | CUSIP: 35455HAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5017795.00   | 0.19%             | 2038-07-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAD0<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |   3840000 | PA      | $3948241.92   | 0.15%             | 2033-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF64 Mortgage Trust                                                   | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487563 | PA      | $2488043.39   | 0.09%             | 2026-06-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM6 Trust                                                             | CUSIP: 36167KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $972645.00    | 0.04%             | 2066-08-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM4 Trust                                                             | CUSIP: 36168HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613208 | PA      | $510077.28    | 0.02%             | 2066-08-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2022-NQM1 Trust                                                             | CUSIP: 36168VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2603616 | PA      | $2558565.70   | 0.10%             | 2067-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                 | GGAM Finance Ltd                                                                 | CUSIP: 36170JAE6<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |   1560000 | PA      | $1581450.00   | 0.06%             | 2030-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3214076 | PA      | $2901812.23   | 0.11%             | 2053-09-20      | Fixed         | 3.00%                 | 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        |   1221274 | PA      | $1139827.28   | 0.04%             | 2047-04-25      | Floating      | 4.35%                 | 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        |   3258146 | PA      | $621188.36    | 0.02%             | 2037-03-25      | Floating      | 4.19%                 | 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        |   1212774 | PA      | $1041927.13   | 0.04%             | 2035-07-25      | Floating      | 4.44%                 | 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        |   1781009 | PA      | $1585405.76   | 0.06%             | 2035-12-25      | Floating      | 4.81%                 | 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        |   4729807 | PA      | $4626588.53   | 0.17%             | 2037-02-26      | Floating      | 4.77%                 | 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      | $5299868.33   | 0.20%             | 2037-02-26      | Floating      | 4.77%                 | 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      | $4838589.41   | 0.18%             | 2037-02-26      | Floating      | 4.77%                 | 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      | $25643.96     | 0.00%             | 2031-07-15      | Floating      | 8.25%                 | 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        |  24552880 | PA      | $241428.47    | 0.01%             | 2050-03-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1229262.00   | 0.05%             | 2049-08-25      | Variable      | 4.01%                 | 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      | $420063.50    | 0.02%             | 2049-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2020-RPL1                                    | CUSIP: 36260AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6323000 | PA      | $5292863.16   | 0.20%             | 2059-07-25      | Variable      | 3.77%                 | 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        |   1671763 | PA      | $1054477.76   | 0.04%             | 2051-03-27      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 294300532 | PA      | $273699.49    | 0.01%             | 2051-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1688331 | PA      | $1394569.90   | 0.05%             | 2051-05-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1462766 | PA      | $909806.91    | 0.03%             | 2051-05-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | CUSIP: 36261HBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3473855 | PA      | $2398450.56   | 0.09%             | 2051-10-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200647 | PA      | $1638106.56   | 0.06%             | 2051-06-25      | Variable      | 2.75%                 | 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      | $532941.54    | 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        |   1172775 | PA      | $951967.15    | 0.04%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185671 | PA      | $727505.26    | 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        |   7101699 | PA      | $5569912.32   | 0.21%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-NQM1                               | CUSIP: 36262EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1859931 | PA      | $1676811.24   | 0.06%             | 2061-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 724674880 | PA      | $642786.62    | 0.02%             | 2051-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5155115 | PA      | $4033599.03   | 0.15%             | 2051-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3432305 | PA      | $2925298.66   | 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        |   3441623 | PA      | $2904089.92   | 0.11%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382228 | PA      | $1130919.46   | 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: 36262WBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3614786 | PA      | $2715206.82   | 0.10%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237000 | PA      | $606374.93    | 0.02%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $969060.00    | 0.04%             | 2052-02-26      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3150480 | PA      | $2543250.14   | 0.10%             | 2052-02-26      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1186318 | PA      | $832507.02    | 0.03%             | 2052-02-26      | Variable      | 2.92%                 | 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        |   3881965 | PA      | $3284425.38   | 0.12%             | 2051-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1157234 | PA      | $955870.41    | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | 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      | $661973.00    | 0.02%             | 2052-04-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    797899 | PA      | $658644.15    | 0.02%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2401520 | PA      | $2041844.13   | 0.08%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1523773 | PA      | $746741.95    | 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: 36264PAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 417020752 | PA      | $148876.41    | 0.01%             | 2051-09-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490018 | PA      | $1483059.77   | 0.06%             | 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        |   3590078 | PA      | $2863030.11   | 0.11%             | 2052-06-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127168 | PA      | $854529.54    | 0.03%             | 2052-06-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12272848 | PA      | $508353.66    | 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: 36266VBM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4512475 | PA      | $3761220.15   | 0.14%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4657270 | PA      | $3696181.91   | 0.14%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727641 | PA      | $547178.01    | 0.02%             | 2052-06-25      | Variable      | 3.24%                 | 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      | $8576527.68   | 0.32%             | 2030-03-15      | Fixed         | 11.42%                | 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      | $2677624.75   | 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        |   2231497 | PA      | $2270596.94   | 0.09%             | 2054-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-RPL2                                    | CUSIP: 36269MAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4696585.00   | 0.18%             | 2061-07-25      | Variable      | 4.06%                 | 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      | $1910144.34   | 0.07%             | 2054-08-25      | Variable      | 6.07%                 | 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      | $1409774.90   | 0.05%             | 2054-09-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-HE1                                     | CUSIP: 36270AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2947000 | PA      | $2934386.84   | 0.11%             | 2054-08-25      | Floating      | 8.18%                 | 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      | $1363698.86   | 0.05%             | 2054-10-25      | Variable      | 6.73%                 | 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        |   2451711 | PA      | $2475818.76   | 0.09%             | 2054-01-25      | Variable      | 6.00%                 | 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      | $1545329.10   | 0.06%             | 2031-08-15      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2025-1                                         | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1014484.30   | 0.04%             | 2032-03-15      | Fixed         | 7.19%                 | 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      | $1405445.15   | 0.05%             | 2055-02-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage Backed Securities Trust 2025 CES2                                    | CUSIP: 36273BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2518737.50   | 0.09%             | 2055-09-25      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2025-PJ3                                     | CUSIP: 36273WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5313940 | PA      | $5374566.45   | 0.20%             | 2055-07-25      | Variable      | 5.50%                 | 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        |   3931215 | PA      | $3320905.48   | 0.12%             | 2052-08-25      | Variable      | 2.50%                 | 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        |  10290101 | PA      | $10046739.63  | 0.38%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-4                                         | CUSIP: 362929AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5270000 | PA      | $5727044.44   | 0.21%             | 2030-08-15      | Fixed         | 9.72%                 | 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      | $3349195.50   | 0.13%             | 2061-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2025-RPL3                                    | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4615271 | PA      | $4507541.55   | 0.17%             | 2065-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Gallatin Funding Ltd             | Gallatin CLO XI 2024-1 Ltd                                                       | CUSIP: 36362HAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3000000 | PA      | $3029664.00   | 0.11%             | 2037-10-20      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| GENESEE & WYOMING INC            | Genesee & Wyoming Inc                                                            | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    520000 | PA      | $531147.24    | 0.02%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN            | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1964315.00   | 0.07%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA BANKING CO INC           | Georgia Banking Co Inc                                                           | CUSIP: 37312RAA3<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   4000000 | PA      | $3844305.32   | 0.14%             | 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      | $1500723.18   | 0.06%             | 2029-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD          | Global Aircraft Leasing Co Ltd                                                   | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   2880000 | PA      | $2968675.20   | 0.11%             | 2027-09-01      | Fixed         | 8.75%                 | 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      | $1021078.00   | 0.04%             | 2031-06-16      | Fixed         | 7.25%                 | 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      | $3207091.80   | 0.12%             | 2030-01-15      | Fixed         | 9.37%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                       | goeasy Ltd                                                                       | CUSIP: 380355AJ6<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |   1950000 | PA      | $1965646.80   | 0.07%             | 2029-07-01      | Fixed         | 7.62%                 | 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        |   6510752 | PA      | $6264825.94   | 0.23%             | 2051-06-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1769461 | PA      | $1721773.05   | 0.06%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Mortgage Pass-Th   | Goldman Sachs Mortgage Pass-Through Trust 2022-1                                 | CUSIP: 38151AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42535114 | PA      | $38734601.31  | 1.45%             | 2053-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                  | Goodgreen 2017-2 Trust                                                           | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2711879 | PA      | $2447972.47   | 0.09%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | GoodLeap Sustainable Home Solutions Trust 2021-3                                 | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    941089 | PA      | $780393.01    | 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      | $576317.34    | 0.02%             | 2055-05-20      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER           | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BS9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1580724.89   | 0.06%             | 2030-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                   | Gray Media Inc                                                                   | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $2711989.02   | 0.10%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE&DOCK          | Great Lakes Dredge & Dock Corp                                                   | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2058770.98   | 0.08%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Greenacre Park CLO LLC           | Greenacre Park CLO LLC                                                           | CUSIP: 39355WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3019581.00   | 0.11%             | 2038-07-20      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| GREENFIRE RESOURCES LTD          | Greenfire Resources Ltd                                                          | CUSIP: 39525UAA5<br>LEI: 254900MTS0G2VGMJW059 | Long             | DBT              | CORP              | CA        |    196000 | PA      | $207167.10    | 0.01%             | 2028-10-01      | Fixed         | 12.00%                | 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        |  10791324 | PA      | $86708.29     | 0.00%             | 2045-06-25      | Variable      | 0.00%                 | 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        |  20296412 | PA      | $239030.84    | 0.01%             | 2045-08-25      | Variable      | 0.00%                 | 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        |    751882 | PA      | $707724.64    | 0.03%             | 2045-10-25      | Floating      | 4.73%                 | 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        |   6460779 | 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        |  13623151 | PA      | $466919.88    | 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        |   1030000 | PA      | $1052934.19   | 0.04%             | 2029-09-01      | Fixed         | 6.75%                 | 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      | $802504.80    | 0.03%             | 2037-05-15      | Floating      | 6.47%                 | 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      | $801711.20    | 0.03%             | 2037-05-15      | Floating      | 7.22%                 | 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      | $719355.70    | 0.03%             | 2039-05-10      | Variable      | 8.20%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $414514.80    | 0.02%             | 2039-05-10      | Variable      | 11.93%                | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-7                                            | CUSIP: 41161PGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865270 | PA      | $12418.36     | 0.00%             | 2034-11-19      | Variable      | 0.50%                 | 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        |   1390535 | PA      | $1246904.91   | 0.05%             | 2034-12-19      | Floating      | 4.93%                 | 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        |   6569152 | PA      | $65.69        | 0.00%             | 2035-01-19      | Variable      | 0.00%                 | 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        |   4269753 | PA      | $6404.63      | 0.00%             | 2035-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-3                                            | CUSIP: 41161PNK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30147876 | PA      | $301.48       | 0.00%             | 2035-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20999773 | PA      | $210.00       | 0.00%             | 2035-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-10                                           | CUSIP: 41161PTS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21088333 | PA      | $210.88       | 0.00%             | 2035-11-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-11                                           | CUSIP: 41161PUN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6257470 | PA      | $62.57        | 0.00%             | 2045-08-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-12                                           | CUSIP: 41161PVT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6859323 | PA      | $68.59        | 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        |  10395511 | PA      | $103.96       | 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        |  14502010 | PA      | $13761711.12  | 0.52%             | 2047-01-25      | Floating      | 4.45%                 | 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        |   1448384 | PA      | $1306247.96   | 0.05%             | 2037-08-19      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN ELEC CO                 | Hawaiian Electric Co Inc                                                         | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1062459.30   | 0.04%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HELIX ENERGY SOLUTIONS           | Helix Energy Solutions Group Inc                                                 | CUSIP: 42330PAL1<br>LEI: 416AP2JOUTCWEGSOZW41 | Long             | DBT              | CORP              | US        |    950000 | PA      | $1004869.15   | 0.04%             | 2029-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                | Herc Holdings Inc                                                                | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2583952.50   | 0.10%             | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                   | Hertz Corp/The                                                                   | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    350000 | PA      | $346840.31    | 0.01%             | 2029-07-15      | Fixed         | 12.62%                | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAR0<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3909923.60   | 0.15%             | 2028-06-26      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing III LLC                                                  | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $843577.60    | 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      | $8304664.50   | 0.31%             | 2034-01-25      | Floating      | 7.43%                 | 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      | $3207117.00   | 0.12%             | 2033-10-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2004-2                                                   | CUSIP: 43739EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742616 | PA      | $720527.08    | 0.03%             | 2034-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MECHANICS BANCORP                | Mechanics Bancorp                                                                | CUSIP: 43785VAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $749700.75    | 0.03%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | 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        |    872018 | PA      | $890733.25    | 0.03%             | 2032-05-20      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust        | IP 2025-IP Mortgage Trust                                                        | CUSIP: 449843AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $765311.25    | 0.03%             | 2042-06-10      | Variable      | 6.85%                 | 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      | $3282584.50   | 0.12%             | 2034-12-10      | Variable      | 6.35%                 | 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        |   2877467 | PA      | $2602231.39   | 0.10%             | 2036-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                | Imperial Fund Mortgage Trust 2021-NQM1                                           | CUSIP: 452764AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570000 | PA      | $2024278.49   | 0.08%             | 2056-06-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                | Imperial Fund Mortgage Trust 2022-NQM1                                           | CUSIP: 452766AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7250000 | PA      | $5342227.75   | 0.20%             | 2067-02-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1792692.50   | 0.07%             | 2057-01-25      | Variable      | 4.10%                 | 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        |    519208 | PA      | $221850.17    | 0.01%             | 2035-10-25      | Fixed         | 0.00%                 | 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        |   8721177 | PA      | $0.00         | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR4                                        | CUSIP: 45660LEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10591713 | PA      | $136834.35    | 0.01%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR8                                        | CUSIP: 45660LJN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13945448 | PA      | $139.45       | 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        |  22891225 | PA      | $228.91       | 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        |  36689661 | PA      | $366.90       | 0.00%             | 2035-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR14                                       | CUSIP: 45660LSB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17119586 | PA      | $14140.78     | 0.00%             | 2035-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR16IP                                     | CUSIP: 45660LUG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9459710 | PA      | $4682.56      | 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        |   1472670 | PA      | $915651.56    | 0.03%             | 2035-10-25      | Floating      | 4.56%                 | 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        |   1332956 | PA      | $896983.15    | 0.03%             | 2035-10-25      | Fixed         | 5.50%                 | 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        |   1330805 | PA      | $13.31        | 0.00%             | 2034-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1846479 | PA      | $578566.45    | 0.02%             | 2046-01-25      | Floating      | 4.81%                 | 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        |   3672404 | PA      | $2882484.57   | 0.11%             | 2036-09-25      | Variable      | 3.61%                 | 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        |   2793281 | PA      | $1745085.76   | 0.07%             | 2037-04-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Invesco CLO Ltd                  | Invesco US CLO 2023-4 Ltd                                                        | CUSIP: 46091XAE0<br>LEI: 254900CLWY1AN9F4PD86 | Long             | ABS-CBDO         | CORP              | JE        |   6100000 | PA      | $6113194.30   | 0.23%             | 2037-01-18      | Floating      | 6.48%                 | 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      | $2956256.92   | 0.11%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| iShares Broad USD High Yield C   | iShares Broad USD High Yield Corporate Bond ETF                                  | CUSIP: 46435U853<br>LEI: 549300X7H67ZLUE3IZ46 | Long             | EC               | RF                | US        |    783537 | NS      | $29445320.46  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3274043 | PA      | $3325923.09   | 0.12%             | 2047-04-25      | Floating      | 5.81%                 | 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        |   1212152 | PA      | $1250967.72   | 0.05%             | 2047-04-25      | Floating      | 6.71%                 | 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        |   2584159 | PA      | $2706066.70   | 0.10%             | 2057-10-25      | Floating      | 6.61%                 | 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        |    826255 | PA      | $881984.45    | 0.03%             | 2057-10-25      | Floating      | 8.46%                 | 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        |   1586953 | PA      | $1650210.11   | 0.06%             | 2057-10-25      | Floating      | 9.71%                 | 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      | $7023441.17   | 0.26%             | 2057-10-25      | Floating      | 14.11%                | 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        |    359119 | PA      | $327743.16    | 0.01%             | 2051-03-25      | Floating      | 8.03%                 | 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      | $1109617.90   | 0.04%             | 2051-03-25      | Floating      | 11.08%                | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1919159 | PA      | $1826110.62   | 0.07%             | 2050-02-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1985371 | PA      | $1814799.71   | 0.07%             | 2050-02-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    794050 | PA      | $710778.99    | 0.03%             | 2050-02-25      | Floating      | 7.43%                 | 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      | $2016637.70   | 0.08%             | 2050-02-25      | Floating      | 10.68%                | 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        |  39587092 | PA      | $254426.24    | 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        |   2655539 | PA      | $2394364.53   | 0.09%             | 2050-06-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ABZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192457 | PA      | $173286.35    | 0.01%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ACA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1527677 | PA      | $1340660.33   | 0.05%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1953568 | PA      | $1569784.09   | 0.06%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1708347 | PA      | $1347195.85   | 0.05%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1708347 | PA      | $970300.27    | 0.04%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2913599 | PA      | $2309632.91   | 0.09%             | 2051-12-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-13                                                 | CUSIP: 46592XAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1035090.00   | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3297099 | PA      | $3102471.59   | 0.12%             | 2055-02-25      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2597975 | PA      | $1794281.29   | 0.07%             | 2055-02-25      | Variable      | 6.88%                 | 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        |   2955425 | PA      | $2688739.43   | 0.10%             | 2054-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14058819 | PA      | $14024487.81  | 0.53%             | 2053-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 118569167 | PA      | $283143.17    | 0.01%             | 2053-12-26      | Variable      | 0.27%                 | 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        |   1544354 | PA      | $1314452.08   | 0.05%             | 2053-12-26      | Variable      | 6.15%                 | 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        |   4315208 | PA      | $3421709.77   | 0.13%             | 2035-10-25      | Variable      | 5.30%                 | 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        |   1313417 | PA      | $1003161.32   | 0.04%             | 2036-10-25      | Variable      | 4.16%                 | 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        |   1095407 | PA      | $877490.22    | 0.03%             | 2037-06-25      | Variable      | 5.25%                 | 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      | $1486992.50   | 0.06%             | 2031-04-15      | Floating      | 5.53%                 | 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        |   3473665 | PA      | $3336955.87   | 0.12%             | 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      | $1447598.42   | 0.05%             | 2049-06-25      | Variable      | 4.61%                 | 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        |  17786329 | PA      | $53.36        | 0.00%             | 2050-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2692345 | PA      | $2212612.39   | 0.08%             | 2050-02-25      | Variable      | 3.95%                 | 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      | $844352.59    | 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        |   1658213 | PA      | $1511870.66   | 0.06%             | 2050-03-25      | Variable      | 4.32%                 | 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        |   2001540 | PA      | $1761427.46   | 0.07%             | 2050-06-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2343132 | PA      | $2102588.55   | 0.08%             | 2050-05-25      | Variable      | 3.78%                 | 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        |   2857357 | PA      | $2516571.56   | 0.09%             | 2050-02-25      | Variable      | 3.00%                 | 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        |   1635174 | PA      | $1272816.37   | 0.05%             | 2050-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV2                                               | CUSIP: 46653LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2905147 | PA      | $2500517.72   | 0.09%             | 2050-11-25      | Variable      | 4.01%                 | 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        |   3484406 | PA      | $2739461.12   | 0.10%             | 2051-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2274822 | PA      | $1579745.45   | 0.06%             | 2051-12-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-INV6                                               | CUSIP: 46654FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038704 | PA      | $859917.38    | 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        |   8377765 | PA      | $7049001.46   | 0.26%             | 2052-06-25      | Variable      | 3.11%                 | 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        |   4874021 | PA      | $3969665.74   | 0.15%             | 2052-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13752479 | PA      | $10899114.51  | 0.41%             | 2052-07-25      | Variable      | 3.08%                 | 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        |   3012669 | PA      | $2624492.51   | 0.10%             | 2054-02-25      | Variable      | 6.23%                 | 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      | $840373.49    | 0.03%             | 2054-02-25      | Variable      | 6.20%                 | 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        |   2986197 | PA      | $2834282.86   | 0.11%             | 2054-10-25      | Variable      | 7.11%                 | 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      | $2211240.61   | 0.08%             | 2054-12-25      | Variable      | 6.91%                 | 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      | $1520960.94   | 0.06%             | 2054-12-25      | Variable      | 6.91%                 | 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      | $2316492.26   | 0.09%             | 2055-01-25      | Variable      | 7.00%                 | 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      | $1961655.44   | 0.07%             | 2055-03-25      | Variable      | 6.76%                 | 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        |   2159751 | PA      | $2177940.53   | 0.08%             | 2055-04-25      | Variable      | 5.50%                 | 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        |   2596404 | PA      | $2474734.19   | 0.09%             | 2054-11-25      | Variable      | 6.92%                 | 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      | $2031535.14   | 0.08%             | 2054-11-25      | Variable      | 6.92%                 | 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        |   5351756 | PA      | $5428880.52   | 0.20%             | 2055-04-25      | Variable      | 6.00%                 | 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      | $4389940.00   | 0.16%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JAX BANCP STAT TRUST III         | Jacksonville Bancorp Inc Statutory Trust III                                     | CUSIP: 469249AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1191990.73   | 0.04%             | 2038-09-15      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                | Jamestown CLO XI Ltd                                                             | CUSIP: 47049QAC0<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1203138.00   | 0.05%             | 2031-07-14      | Floating      | 5.87%                 | 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        |   2040000 | PA      | $2129637.15   | 0.08%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC / JFIN         | Jefferies Finance LLC / JFIN Co-Issuer Corp                                      | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $887506.38    | 0.03%             | 2031-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDIN         | Jefferson Capital Holdings LLC                                                   | CUSIP: 472481AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1577183.92   | 0.06%             | 2030-05-15      | Fixed         | 8.25%                 | 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        |    507479 | PA      | $507856.24    | 0.02%             | 2028-12-26      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                  | Katayma CLO I Ltd                                                                | CUSIP: 48585KAA5<br>LEI: 254900I6JJYMZNFX8987 | Long             | ABS-CBDO         | CORP              | JE        |   4500000 | PA      | $4513734.00   | 0.17%             | 2036-10-20      | Floating      | 12.02%                | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP              | Kinetik Holdings LP                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    600000 | PA      | $604940.40    | 0.02%             | 2030-06-15      | Fixed         | 5.88%                 | 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      | $750372.08    | 0.03%             | 2027-11-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Kingstone Cos Inc                | Kingstone Cos Inc                                                                | CUSIP: 496719105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     32996 | NS      | $481081.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| KNIFE RIVER CORP                 | Knife River Corp                                                                 | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $629020.80    | 0.02%             | 2031-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC          | Kodiak Gas Services LLC                                                          | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |    380000 | PA      | $389649.34    | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LBA Trust                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6524095.50   | 0.24%             | 2039-06-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| LBA Trust                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1406442.80   | 0.05%             | 2039-06-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| LMST 2019-1 CERT                 | LMST 2019-1 CERT                                                                 | CUSIP: 510861AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2255674 | PA      | $2238653.02   | 0.08%             | 2049-08-15      | Variable      | 8.67%                 | 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      | $9009278.11   | 0.34%             | 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      | $466747.15    | 0.02%             | 2028-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust      | Legacy Mortgage Asset Trust 2021-GS3                                             | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4161103 | PA      | $4230713.63   | 0.16%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15349 | PA      | $11323.79     | 0.00%             | 2037-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2005-3                                                    | CUSIP: 525221AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1521710 | PA      | $1366459.26   | 0.05%             | 2035-09-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-9                                                     | CUSIP: 52522XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9437 | PA      | $7572.11      | 0.00%             | 2037-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-7N                                                   | CUSIP: 52524GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2302372 | PA      | $2188744.99   | 0.08%             | 2047-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust 2007-9                                                           | CUSIP: 52524MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13051885 | PA      | $130.52       | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-12N                                                  | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148150 | PA      | $1114465.16   | 0.04%             | 2047-07-25      | Floating      | 4.51%                 | 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      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-7                                      | CUSIP: 52605F106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19049500 | PA      | $8285.62      | 0.00%             | 2027-01-15      | Fixed         | 0.00%                 | 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      | $1917.26      | 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        |    148676 | PA      | $147114.15    | 0.01%             | 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      | $161994.33    | 0.01%             | 2028-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                | Lithia Motors Inc                                                                | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1242535.14   | 0.05%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2877287 | PA      | $2609183.87   | 0.10%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20387307 | PA      | $84056.87     | 0.00%             | 2036-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-2                                                   | CUSIP: 550279BD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28637801 | PA      | $286.38       | 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        |  24275748 | PA      | $242.76       | 0.00%             | 2036-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                | MFA Financial Inc                                                                | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52942 | NS      | $1257372.50   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                       | MFA 2021-INV2 Trust                                                              | CUSIP: 552732AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3585788.00   | 0.13%             | 2056-11-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2913 | PA      | $0.03         | 0.00%             | 2033-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4106000 | PA      | $3556855.35   | 0.13%             | 2060-07-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3881767.50   | 0.15%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-HF1                                            | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9522417 | PA      | $3756860.27   | 0.14%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403 | PA      | $0.00         | 0.00%             | 2037-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Man US CLO Ltd                   | Man US CLO 2024-1 Ltd                                                            | CUSIP: 56167CAN4<br>LEI: 2549007JRE3Q11AV7970 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2017650.00   | 0.08%             | 2037-07-20      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XIX Ltd         | Marble Point CLO XIX Ltd                                                         | CUSIP: 56607KBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3008307.00   | 0.11%             | 2038-10-19      | Floating      | 7.14%                 | 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      | $2996202.00   | 0.11%             | 2035-04-20      | Floating      | 12.06%                | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2025-1                                                    | CUSIP: 570920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1512483.45   | 0.06%             | 2035-07-16      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2024-1                                                    | CUSIP: 57108VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $513838.55    | 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        |  19000000 | PA      | $19365674.00  | 0.73%             | 2033-06-15      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2022-3                                                    | CUSIP: 57109NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3820000 | PA      | $3871932.14   | 0.14%             | 2032-11-15      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2023-1                                                    | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12223448.40  | 0.46%             | 2033-04-15      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849916 | PA      | $788308.98    | 0.03%             | 2035-09-25      | Variable      | 4.45%                 | 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        |     72753 | PA      | $60399.35     | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2005-2                                          | CUSIP: 57643MLN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9750 | PA      | $5691.90      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | 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        |   1552564 | PA      | $1140507.02   | 0.04%             | 2051-06-25      | Variable      | 2.67%                 | 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        |   1016135 | PA      | $800528.68    | 0.03%             | 2051-04-25      | Variable      | 2.65%                 | 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        |    507625 | PA      | $279665.08    | 0.01%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799000 | PA      | $1330380.29   | 0.05%             | 2048-03-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499000 | PA      | $1085938.56   | 0.04%             | 2048-03-25      | Variable      | 3.66%                 | 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      | $222108.04    | 0.01%             | 2051-07-01      | Variable      | 2.90%                 | 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        |   1127842 | PA      | $883936.23    | 0.03%             | 2051-12-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| MERCER INTL INC                  | Mercer International Inc                                                         | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $906626.70    | 0.03%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2003-OPT1                          | CUSIP: 5899295M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558243 | PA      | $1322289.20   | 0.05%             | 2034-07-25      | Floating      | 6.58%                 | 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        |   1612463 | PA      | $653448.85    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| METHANEX US OPERATIONS           | Methanex US Operations Inc                                                       | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2127632.54   | 0.08%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC          | Millrose Properties Inc                                                          | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1054446.23   | 0.04%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC            | Molina Healthcare Inc                                                            | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1047909.20   | 0.04%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $412303.60    | 0.02%             | 2045-03-20      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $818682.48    | 0.03%             | 2045-03-20      | Fixed         | 11.24%                | 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      | $44985.00     | 0.00%             | 2046-02-15      | Variable      | 4.15%                 | 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      | $914368.04    | 0.03%             | 2047-08-26      | 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        |  12830551 | PA      | $364759.73    | 0.01%             | 2036-03-25      | Variable      | 0.64%                 | 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        |  13858594 | PA      | $71551.92     | 0.00%             | 2036-04-25      | Variable      | 0.32%                 | 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        |  11292819 | PA      | $10072201.15  | 0.38%             | 2037-05-25      | Floating      | 4.29%                 | 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        |   1626166 | PA      | $1426999.69   | 0.05%             | 2037-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2014-150E                                         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3040000 | PA      | $2739699.68   | 0.10%             | 2032-09-09      | Fixed         | 3.91%                 | 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        |    748306 | PA      | $444948.24    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | 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      | $516815.63    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-3                            | CUSIP: 61772CBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093000 | PA      | $555974.12    | 0.02%             | 2051-06-25      | Variable      | 2.78%                 | 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      | $653964.84    | 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        |   1935967 | PA      | $1133022.95   | 0.04%             | 2051-08-25      | Variable      | 2.98%                 | 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        |   2661280 | PA      | $2806295.37   | 0.11%             | 2029-05-05      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2025-SPL1                         | CUSIP: 617946AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660000 | PA      | $1465492.82   | 0.05%             | 2065-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                 | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6779522 | PA      | $0.00         | 0.00%             | 2036-04-25      | Variable      | 0.01%                 | 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        |     27663 | PA      | $26202.46     | 0.00%             | 2043-12-21      | Fixed         | 0.00%                 | 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        |    747291 | PA      | $581260.60    | 0.02%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD         | Moss Creek Resources Holdings Inc                                                | CUSIP: 61965RAC9<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |    800000 | PA      | $772958.56    | 0.03%             | 2031-09-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MP Clo VIII, LTD                 | MP CLO VIII Ltd                                                                  | CUSIP: 62481WAQ0<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3004065.00   | 0.11%             | 2034-04-28      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP              | Medline Borrower LP                                                              | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    900000 | PA      | $897164.64    | 0.03%             | 2029-10-01      | Fixed         | 5.25%                 | 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      | $1511443.50   | 0.06%             | 2049-10-25      | Floating      | 9.80%                 | 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      | $2031928.00   | 0.08%             | 2049-10-25      | Floating      | 13.05%                | 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      | $8285264.00   | 0.31%             | 2050-03-25      | Floating      | 11.80%                | 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      | $3128550.00   | 0.12%             | 2040-04-15      | Fixed         | 9.74%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD              | NCL Corp Ltd                                                                     | CUSIP: 62886HBP5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   1350000 | PA      | $1373784.30   | 0.05%             | 2030-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                   | NRG Energy Inc                                                                   | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2122461.26   | 0.08%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NARRAGANSETT FINANCIAL           | Narragansett Financial Corp                                                      | CUSIP: 631004AE8<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   2000000 | PA      | $1946361.96   | 0.07%             | 2031-05-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC            | NESCO Holdings II Inc                                                            | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293525.37    | 0.01%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                 | NetCredit Combined Receivables A LLC                                             | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2045320 | PA      | $2084291.21   | 0.08%             | 2031-10-20      | Fixed         | 7.29%                 | 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      | $2026132.00   | 0.08%             | 2038-04-20      | Floating      | 11.38%                | 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        |   1174108 | PA      | $956423.48    | 0.04%             | 2058-02-25      | Variable      | 5.23%                 | 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        |  12149671 | PA      | $779292.05    | 0.03%             | 2059-09-25      | Variable      | 1.75%                 | 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        |   4984136 | PA      | $4230784.14   | 0.16%             | 2057-12-25      | Variable      | 4.72%                 | 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      | $2460919.47   | 0.09%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2021-NQM3                                    | CUSIP: 64831TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2729000 | PA      | $2345007.87   | 0.09%             | 2056-11-27      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAG3<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |   5116000 | PA      | $5241265.26   | 0.20%             | 2065-04-25      | Variable      | 7.25%                 | 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      | $10663530.09  | 0.40%             | 2065-04-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2025-NQM3                                    | CUSIP: 64832CAG8<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   2784000 | PA      | $2828396.45   | 0.11%             | 2065-05-25      | Variable      | 7.06%                 | 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        |   1776574 | PA      | $1810451.30   | 0.07%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                | Newell Brands Inc                                                                | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1038701.15   | 0.04%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NEXBANK CAPITAL INC              | NexBank Capital Inc                                                              | CUSIP: 65341TAG2<br>LEI: 549300H29S945S4X7A03 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $947868.98    | 0.04%             | 2032-07-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                | Nexstar Media Inc                                                                | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400085.76    | 0.01%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2014-3R                                            | CUSIP: 65540LCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3364160 | PA      | $3022021.39   | 0.11%             | 2037-03-26      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| North Haven Private Credit CLO   | North Haven Private Credit CLO 1 LLC                                             | CUSIP: 659911AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1501728.00   | 0.06%             | 2037-10-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                  | Gen Digital Inc                                                                  | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1062901.29   | 0.04%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP              | NOVA Chemicals Corp                                                              | CUSIP: 66977WAT6<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $209918.40    | 0.01%             | 2028-11-15      | Fixed         | 8.50%                 | 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      | $1009992.00   | 0.04%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                       | AMSR 2023-SFR1 Trust                                                             | CUSIP: 66981XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $969187.00    | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| A10 CAPITAL LLC                  | A10 Capital LLC                                                                  | CUSIP: 66982EAA0<br>LEI: 549300RXTK0PSG57BV49 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $986090.75    | 0.04%             | 2026-08-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM2 Trust                                                              | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1742871 | PA      | $1489220.48   | 0.06%             | 2061-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-J2 Trust                                                                | CUSIP: 670861AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498410 | PA      | $1258745.34   | 0.05%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM1 Trust                                                              | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920972 | PA      | $806280.38    | 0.03%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM4 Trust                                                              | CUSIP: 67115DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1751852 | PA      | $1529058.58   | 0.06%             | 2061-10-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2025-J2 Trust                                                                | CUSIP: 67122EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9813882 | PA      | $9864305.75   | 0.37%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust    | NYC Commercial Mortgage Trust 2025-28L                                           | CUSIP: 67123JAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1594579.20   | 0.06%             | 2038-11-05      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust    | NYC Commercial Mortgage Trust 2025-28L                                           | CUSIP: 67123JAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1594579.20   | 0.06%             | 2038-11-05      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                  | Oaktree CLO 2022-2 Ltd                                                           | CUSIP: 67402RBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10018780.00  | 0.38%             | 2037-10-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Obra CLO Ltd                     | Obra CLO 2 Ltd                                                                   | CUSIP: 674436AL4<br>LEI: 254900MMN4MOZ34WUC71 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010256.00   | 0.08%             | 2038-07-20      | Floating      | 8.52%                 | 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      | $1721970.00   | 0.06%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                 | Ocean Trails CLO XV Ltd                                                          | CUSIP: 67515BAG7<br>LEI: 5493000CJCL8E235WY49 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2014362.00   | 0.08%             | 2037-01-15      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                 | Ocean Trails CLO XIV Ltd                                                         | CUSIP: 67515JAU9<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |   5940000 | PA      | $5975016.30   | 0.22%             | 2038-01-20      | Floating      | 6.98%                 | 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      | $6302510.29   | 0.24%             | 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      | $524511.44    | 0.02%             | 2031-08-20      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Recievables Trust 2024-RPT1                                               | CUSIP: 67578QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3243000 | PA      | $3260684.08   | 0.12%             | 2030-02-22      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-2                                                  | CUSIP: 67578YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3740000 | PA      | $3954194.66   | 0.15%             | 2032-07-20      | Fixed         | 9.04%                 | 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      | $2503772.50   | 0.09%             | 2031-04-15      | Floating      | 5.87%                 | 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      | $927605.77    | 0.03%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                        | Olin Corp                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $347034.29    | 0.01%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP             | OneMain Finance Corp                                                             | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2136485.74   | 0.08%             | 2031-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    861287 | PA      | $851166.87    | 0.03%             | 2031-10-08      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2025-B                                                    | CUSIP: 68378QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2011339.80   | 0.08%             | 2033-05-09      | Fixed         | 9.40%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2025-C                                                    | CUSIP: 68378RAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $992242.80    | 0.04%             | 2033-07-08      | Fixed         | 9.20%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2025-D                                                    | CUSIP: 68379HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $497035.15    | 0.02%             | 2033-02-08      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C         | Outfront Media Capital LLC / Outfront Media Capital Corp                         | CUSIP: 69007TAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1063533.13   | 0.04%             | 2030-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                   | Owens-Brockway Glass Container Inc                                               | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1864389.06   | 0.07%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PBF HOLDING CO LLC               | PBF Holding Co LLC / PBF Finance Corp                                            | CUSIP: 69318FAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $993367.10    | 0.04%             | 2028-02-15      | Fixed         | 6.00%                 | 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        |     10298 | PA      | $8521.08      | 0.00%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                    | PRA Group Inc                                                                    | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1456880.48   | 0.05%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3797895.00   | 0.14%             | 2067-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | Pret 2024-NPL6 LLC                                                               | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |   3347524 | PA      | $3352421.02   | 0.13%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2025-RCF4 LLC                                                               | CUSIP: 69382WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1836242.00   | 0.07%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2025-RPL1 Trust                                                             | CUSIP: 69392FAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3731872.00   | 0.14%             | 2069-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2025-RPL2 Trust                                                             | CUSIP: 69392LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7659168.00   | 0.29%             | 2064-08-25      | Variable      | 4.00%                 | 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        |    557835 | PA      | $549444.40    | 0.02%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1999831 | PA      | $1851577.53   | 0.07%             | 2032-06-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | PAGAYA AI Debt Trust 2022-2                                                      | CUSIP: 69546VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3207278 | PA      | $3210595.05   | 0.12%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-5                                            | CUSIP: 69547EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    647209 | PA      | $638991.83    | 0.02%             | 2029-08-15      | Fixed         | 3.93%                 | 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        |   3249343 | PA      | $3326578.87   | 0.12%             | 2032-12-15      | Fixed         | 12.63%                | 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        |    751575 | PA      | $745508.33    | 0.03%             | 2027-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-11                                             | CUSIP: 69548EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1749799 | PA      | $1620450.70   | 0.06%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-6 And Pagaya AI Debt Trust 2024-6              | CUSIP: 69548LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300987 | PA      | $308696.81    | 0.01%             | 2031-11-15      | Fixed         | 11.35%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust                                                   | CUSIP: 69548MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1482416 | PA      | $1533308.51   | 0.06%             | 2031-12-15      | Fixed         | 10.89%                | 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        |   1249893 | PA      | $1224288.83   | 0.05%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-5                                              | CUSIP: 69548XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $954672.20    | 0.04%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-2                                              | CUSIP: 69548YAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999895 | PA      | $970682.04    | 0.04%             | 2032-10-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya Ai Debt Grantor Trust 2025-6                                              | CUSIP: 69549CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6769235.44   | 0.25%             | 2033-04-15      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya Ai Debt Grantor Trust 2025-6                                              | CUSIP: 69549CAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $957816.00    | 0.04%             | 2033-04-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-7                                              | CUSIP: 69549DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $998929.70    | 0.04%             | 2033-05-15      | Fixed         | 8.89%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd   | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3260000 | PA      | $3288619.54   | 0.12%             | 2031-04-15      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER            | Panther Escrow Issuer LLC                                                        | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1910000 | PA      | $1975516.82   | 0.07%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PennyMac Mortgage Investment T   | PennyMac Mortgage Investment Trust                                               | CUSIP: 70931T103<br>LEI: 549300BSSOQO1ZWDUJ97 | Long             | EC               | CORP              | US        |     81182 | NS      | $977431.28    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    900000 | PA      | $874539.63    | 0.03%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    800000 | PA      | $798690.00    | 0.03%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I         | Performance Food Group Inc                                                       | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    900000 | PA      | $878770.26    | 0.03%             | 2029-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE         | Perrigo Finance Unlimited Co                                                     | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   2090000 | PA      | $2109742.14   | 0.08%             | 2032-09-30      | Fixed         | 6.12%                 | 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      | $803889.99    | 0.03%             | 2029-11-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $413145.20    | 0.02%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    600000 | PA      | $617790.60    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PHOENIX AVIATION CAPITAL         | Phoenix Aviation Capital Ltd                                                     | CUSIP: 71910DAA9<br>LEI: 8945008YQAKXZQ3VYJ15 | Long             | DBT              | CORP              | IE        |   2810000 | PA      | $2962686.97   | 0.11%             | 2030-07-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 721283AB5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |    990000 | PA      | $1057583.70   | 0.04%             | 2031-01-31      | Fixed         | 8.62%                 | 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      | $965142.00    | 0.04%             | 2037-10-20      | Floating      | 11.70%                | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                   | Pikes Peak CLO 14 2023 Ltd                                                       | CUSIP: 72134CAU5<br>LEI: 213800AO7LGLGDRRY278 | Long             | ABS-CBDO         | CORP              | JE        |   2500000 | PA      | $2499897.50   | 0.09%             | 2038-07-20      | Floating      | 7.03%                 | 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      | $4977380.00   | 0.19%             | 2056-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust       | Point Securitization Trust 2025-2                                                | CUSIP: 73071PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1746088.75   | 0.07%             | 2055-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust       | Point Securitization Trust 2025-2                                                | CUSIP: 73071PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1300714.50   | 0.05%             | 2055-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust       | Point Securitization Trust 2025-1                                                | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    966675 | PA      | $974800.95    | 0.04%             | 2055-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                | Post Holdings Inc                                                                | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2121964.46   | 0.08%             | 2033-03-01      | Fixed         | 6.38%                 | 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      | $519226.20    | 0.02%             | 2039-02-18      | Fixed         | 8.46%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus   | Prestige Auto Receivables Trust 2024-1                                           | CUSIP: 74113QAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6682000 | PA      | $6743685.55   | 0.25%             | 2031-04-15      | Fixed         | 7.94%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2024-NPL7 LLC                                                               | CUSIP: 74136TAA6<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |   1767928 | PA      | $1767680.22   | 0.07%             | 2054-10-25      | Variable      | 5.93%                 | 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      | $789363.20    | 0.03%             | 2040-10-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance T   | Prosper Marketplace Issuance Trust Series 2024-1                                 | CUSIP: 74363CAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2063532.80   | 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        |   2481147 | PA      | $2482030.57   | 0.09%             | 2029-11-25      | Variable      | 5.87%                 | 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      | $2791986.26   | 0.10%             | 2054-12-25      | Variable      | 4.00%                 | 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      | $603331.38    | 0.02%             | 2028-08-15      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding         | Purchasing Power Funding 2024-A LLC                                              | CUSIP: 745935AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $405232.48    | 0.02%             | 2028-08-15      | Fixed         | 10.18%                | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC            | Quikrete Holdings Inc                                                            | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1062276.96   | 0.04%             | 2033-03-01      | Fixed         | 6.75%                 | 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        |   1222114 | PA      | $886300.07    | 0.03%             | 2036-11-25      | Floating      | 4.41%                 | 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        |     16831 | PA      | $13556.09     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | 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        |     91428 | PA      | $44870.44     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QA2 Trust                                                       | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4264942 | PA      | $3697120.15   | 0.14%             | 2037-02-25      | Floating      | 4.41%                 | 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        |    833928 | PA      | $715195.97    | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91987 | PA      | $44060.50     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | 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        |    490346 | PA      | $0.00         | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153094 | PA      | $79435.70     | 0.00%             | 2037-03-25      | 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        |   1172220 | PA      | $1044336.82   | 0.04%             | 2035-09-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2363730 | PA      | $1688234.88   | 0.06%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RCA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566000 | PA      | $758069.28    | 0.03%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9256925 | PA      | $7181226.20   | 0.27%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5197193 | PA      | $3692449.72   | 0.14%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245000 | PA      | $1013859.96   | 0.04%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| RCKT Trust                       | RCKTL 2025-2                                                                     | CUSIP: 74939HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2261000 | PA      | $2255682.58   | 0.08%             | 2034-11-27      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN         | RHP Hotel Properties LP / RHP Finance Corp                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $525112.83    | 0.02%             | 2032-04-01      | Fixed         | 6.50%                 | 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        |     26443 | PA      | $15117.66     | 0.00%             | 2036-06-25      | 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        |    161110 | PA      | $82753.04     | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10955 | PA      | $5680.15      | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | 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      | $1541869.50   | 0.06%             | 2034-09-25      | Floating      | 8.18%                 | 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      | $506791.50    | 0.02%             | 2034-09-25      | Floating      | 7.68%                 | 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        |     24685 | PA      | $15040.27     | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | 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        |     67790 | PA      | $41314.20     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA7 Trust                                                       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4202156 | PA      | $3802884.27   | 0.14%             | 2036-08-25      | Floating      | 4.48%                 | 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        |     14957 | PA      | $9003.38      | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14951 | PA      | $0.15         | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576153 | PA      | $1266380.31   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1570320 | PA      | $1261797.71   | 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        |   1305613 | PA      | $701517.81    | 0.03%             | 2036-11-25      | Floating      | 4.47%                 | 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        |    336760 | PA      | $154634.04    | 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        |    257866 | PA      | $126720.75    | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736366 | PA      | $346946.23    | 0.01%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J2                                                      | CUSIP: 753917AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1329200 | PA      | $1332892.98   | 0.05%             | 2054-07-25      | Variable      | 5.50%                 | 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      | $710377.71    | 0.03%             | 2054-07-25      | Variable      | 6.44%                 | 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      | $648112.98    | 0.02%             | 2051-07-25      | Variable      | 2.71%                 | 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      | $599256.10    | 0.02%             | 2054-10-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J3                                                      | CUSIP: 75409UCL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $721827.48    | 0.03%             | 2054-10-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2418827 | PA      | $1688241.75   | 0.06%             | 2051-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2022-J1                                                      | CUSIP: 75410RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3423941 | PA      | $1959011.34   | 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      | $1946322.00   | 0.07%             | 2031-11-15      | Fixed         | 6.88%                 | 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      | $1059240.90   | 0.04%             | 2031-07-15      | Fixed         | 8.83%                 | No            |                  2 | On Loan: No      |
| READYCAP HOLDINGS LLC            | ReadyCap Holdings LLC                                                            | CUSIP: 755763AE9<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3043765.08   | 0.11%             | 2028-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Redwood Trust Inc                | Redwood Trust Inc                                                                | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               | CORP              | US        |    238507 | NS      | $1266472.17   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UPBOUND GROUP INC                | Upbound Group Inc                                                                | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2037701.19   | 0.08%             | 2029-02-15      | Fixed         | 6.38%                 | 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      | $614792.40    | 0.02%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $519084.30    | 0.02%             | 2032-08-20      | Fixed         | 9.49%                 | 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      | $1802111.27   | 0.07%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A   | Research-Driven Pagaya Motor Asset Trust 2025-3                                  | CUSIP: 76091FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1000226.50   | 0.04%             | 2034-02-27      | Fixed         | 11.09%                | 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        |    166873 | PA      | $110117.45    | 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        |   2985371 | PA      | $2675851.12   | 0.10%             | 2035-12-25      | Variable      | 5.27%                 | 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        |   1388353 | PA      | $1235633.77   | 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        |    216346 | PA      | $144137.65    | 0.01%             | 2035-12-25      | Fixed         | 0.00%                 | 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        |  18855167 | PA      | $1570691.96   | 0.06%             | 2046-01-25      | Variable      | 1.66%                 | 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        |   2061429 | PA      | $1719528.72   | 0.06%             | 2036-03-25      | Floating      | 4.81%                 | 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        |   1112169 | PA      | $944105.58    | 0.04%             | 2036-03-25      | Floating      | 4.51%                 | 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        |     10955 | PA      | $7185.51      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3943420 | PA      | $1166499.14   | 0.04%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3864867 | PA      | $1857651.97   | 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      | $794249.45    | 0.03%             | 2032-07-15      | Fixed         | 6.50%                 | 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        |    103529 | PA      | $67737.15     | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                   | Rocket Cos Inc                                                                   | CUSIP: 77311WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1260856.58   | 0.05%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560882 | PA      | $1353814.08   | 0.05%             | 2061-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust             | STAR 2022-SFR3 Trust                                                             | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1967852 | PA      | $1975442.59   | 0.07%             | 2039-05-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| SAKS GLOBAL ENTERPRS LLC         | Saks Global Enterprises LLC                                                      | CUSIP: 79380MAC9<br>LEI: 5493007HQSJGRH78Q684 | Long             | DBT              | CORP              | US        |     87500 | PA      | $20343.75     | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| SAKS GLOBAL ENTERPRS LLC         | Saks Global Enterprises LLC                                                      | CUSIP: 79380MAD7<br>LEI: 5493007HQSJGRH78Q684 | Long             | DBT              | CORP              | US        |    175000 | PA      | $77000.00     | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | 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      | $937657.80    | 0.04%             | 2032-03-01      | Fixed         | 6.75%                 | 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        |   2031141 | PA      | $1994239.67   | 0.07%             | 2050-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26202262 | PA      | $2983442.00   | 0.11%             | 2050-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5213750 | PA      | $4925601.68   | 0.18%             | 2052-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3153250 | PA      | $2947364.85   | 0.11%             | 2052-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011000 | PA      | $1864307.61   | 0.07%             | 2052-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2141093 | PA      | $2032263.74   | 0.08%             | 2052-02-25      | Variable      | 7.51%                 | 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        |  92453435 | PA      | $858430.15    | 0.03%             | 2052-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-FIG4                                | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4376971 | PA      | $4476953.89   | 0.17%             | 2053-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-LOC5                                | CUSIP: 79581XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3029000 | PA      | $3050312.04   | 0.11%             | 2055-10-25      | Floating      | 7.74%                 | 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        |   2770554 | PA      | $2828148.23   | 0.11%             | 2053-08-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8909118 | PA      | $8928824.48   | 0.33%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1256395.00   | 0.05%             | 2030-01-25      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449524 | PA      | $1465806.31   | 0.05%             | 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      | $1172118.38   | 0.04%             | 2051-10-25      | Variable      | 6.00%                 | 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      | $4312717.25   | 0.16%             | 2053-06-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-MF1                                 | CUSIP: 79582KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6884819 | PA      | $6669324.27   | 0.25%             | 2029-11-25      | Variable      | 3.81%                 | 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      | $15128160.00  | 0.57%             | 2052-05-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79584QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38061600 | PA      | $36016321.86  | 1.35%             | 2052-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL2                                | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6932418 | PA      | $6975988.16   | 0.26%             | 2030-05-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2024-A                            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1067584 | PA      | $1086427.09   | 0.04%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                 | Sculptor CLO XXIX Ltd                                                            | CUSIP: 81124EAW0<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5026990.00   | 0.19%             | 2038-07-22      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                 | Sculptor CLO XXVI Ltd                                                            | CUSIP: 81124TAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2608379.80   | 0.10%             | 2038-01-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                  | Sealed Air Corp                                                                  | CUSIP: 812127AC2<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    710000 | PA      | $735435.75    | 0.03%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORP                     | Seaspan Corp                                                                     | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |    950000 | PA      | $915716.02    | 0.03%             | 2029-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC         | Sensata Technologies Inc                                                         | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $930343.38    | 0.03%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-4                                                    | CUSIP: 81743JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1363528 | PA      | $1370528.47   | 0.05%             | 2053-11-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2005-2                                                    | CUSIP: 81744FHD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750983 | PA      | $0.00         | 0.00%             | 2035-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2007-1                                                    | CUSIP: 81744HAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1602433 | PA      | $1171867.14   | 0.04%             | 2046-10-20      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2021-1                                                    | CUSIP: 81747KCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2326292 | PA      | $1453746.22   | 0.05%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-5                                                    | CUSIP: 81749FCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1191000 | PA      | $934403.81    | 0.03%             | 2053-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2024-8                                                    | CUSIP: 81749NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2812457 | PA      | $2608089.96   | 0.10%             | 2054-09-25      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| SGUS LLC                         | SGUS LLC                                                                         | CUSIP: 81880AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    112955 | PA      | $97989.20     | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | 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        |    495985 | PA      | $460020.40    | 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        |   1310000 | PA      | $1378444.88   | 0.05%             | 2029-04-15      | Fixed         | 9.62%                 | 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      | $702020.72    | 0.03%             | 2043-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd            | Silver Point CLO 10 Ltd                                                          | CUSIP: 827920AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3015198.00   | 0.11%             | 2038-07-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOOD INC/SIMMONS         | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed   | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2190000 | PA      | $2101034.91   | 0.08%             | 2029-03-01      | Fixed         | 4.62%                 | 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        |    461303 | PA      | $414692.67    | 0.02%             | 2048-05-24      | Fixed         | 5.12%                 | 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        |    493056 | PA      | $493200.32    | 0.02%             | 2026-06-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD              | Sound Point Clo 2025-2 Ltd                                                       | CUSIP: 83617PAJ4<br>LEI: 254900EAOCKFK910QE14 | Long             | ABS-CBDO         | CORP              | KY        |   6875000 | PA      | $6987165.63   | 0.26%             | 2038-04-15      | Floating      | 8.20%                 | 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      | $1000833.78   | 0.04%             | 2026-12-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PRIMIS FINANCIAL CORP            | Primis Financial Corp                                                            | CUSIP: 843395AA2<br>LEI: 549300JNX3M2EENG1F11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $990842.57    | 0.04%             | 2027-01-31      | Variable      | 8.05%                 | 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      | $1895183.12   | 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      | $1234814.11   | 0.05%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBG9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1066129.91   | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2022-3                                       | CUSIP: 85571RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2199761 | PA      | $2077091.58   | 0.08%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage    | STAR 2021-1 Trust                                                                | CUSIP: 85573GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2743000 | PA      | $2409632.24   | 0.09%             | 2065-05-25      | Variable      | 3.52%                 | 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        |    110417 | PA      | $105770.00    | 0.00%             | 2065-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-3                                       | CUSIP: 85573JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5170000 | PA      | $4105233.33   | 0.15%             | 2056-06-25      | Variable      | 2.49%                 | 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        |   6585422 | PA      | $5870107.11   | 0.22%             | 2066-09-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-6                                       | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3921000 | PA      | $3008881.30   | 0.11%             | 2066-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| STENA INTERNATIONAL SA           | Stena International SA                                                           | CUSIP: 85858EAD5<br>LEI: 213800A4LTGG4W55QP46 | Long             | DBT              | CORP              | LU        |   1925000 | PA      | $1971038.30   | 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      | $472180.05    | 0.02%             | 2029-02-15      | Fixed         | 8.75%                 | 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        |    464098 | PA      | $420152.83    | 0.02%             | 2054-12-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| STONEX ESCROW ISSUER LLC         | Stonex Escrow Issuer LLC                                                         | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1998542.02   | 0.07%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STRIKE ACCEPTANCE AUTO FUNDING   | Strike Acceptance Auto Funding Trust 2023-1                                      | CUSIP: 862942AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1182173 | PA      | $1186874.63   | 0.04%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR1                          | CUSIP: 86359LAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3036769 | PA      | $30.37        | 0.00%             | 2034-03-19      | Variable      | 0.00%                 | 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        |   4943071 | PA      | $29193.78     | 0.00%             | 2035-04-19      | Variable      | 0.55%                 | 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        |   6358639 | PA      | $9131.01      | 0.00%             | 2045-05-25      | Variable      | 0.08%                 | 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        |   8250547 | PA      | $14347.70     | 0.00%             | 2035-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9978858 | PA      | $111054.71    | 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        |  34688932 | PA      | $26883.92     | 0.00%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR7                          | CUSIP: 86361HAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21654607 | PA      | $729370.46    | 0.03%             | 2036-08-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Tr   | Sunbit Asset Securitization Trust 2025-1                                         | CUSIP: 86709SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004086.60   | 0.04%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Tr   | Sunbit Asset Securitization Trust 2025-1                                         | CUSIP: 86709SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $762086.40    | 0.03%             | 2030-07-15      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC               | SunCoke Energy Inc                                                               | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2382881.42   | 0.09%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN          | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $695196.95    | 0.03%             | 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      | $2011172.80   | 0.08%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust            | Terwin Mortgage Trust Series TMTS 2005-18ALT                                     | CUSIP: 881561L51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21239332 | PA      | $140731.82    | 0.01%             | 2037-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TEXAS STATE BNKSHRS INC          | Texas State Bankshares Inc                                                       | CUSIP: 882727AA8<br>LEI: 549300KSLUE7MP08XL09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2000412.84   | 0.07%             | 2029-06-15      | Variable      | 7.85%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust            | Theorem Funding Trust 2022-2                                                     | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3502395 | PA      | $3507415.07   | 0.13%             | 2028-12-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2017-6                                                 | CUSIP: 89175JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3191440.50   | 0.12%             | 2057-10-25      | Variable      | 3.31%                 | 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      | $2090046.00   | 0.08%             | 2058-03-25      | Variable      | 3.70%                 | 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      | $2089827.00   | 0.08%             | 2058-07-25      | Variable      | 3.44%                 | 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      | $2373390.00   | 0.09%             | 2058-03-25      | Variable      | 3.79%                 | 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      | $2094229.30   | 0.08%             | 2058-05-25      | Floating      | 6.36%                 | 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      | $2389354.75   | 0.09%             | 2061-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-3                                                 | CUSIP: 89183FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1537293.81   | 0.06%             | 2065-07-25      | Variable      | 5.03%                 | 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      | $2773011.30   | 0.10%             | 2064-10-27      | Variable      | 4.55%                 | 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      | $4576779.82   | 0.17%             | 2064-10-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC              | TreeHouse Foods Inc                                                              | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |    600000 | PA      | $587231.34    | 0.02%             | 2028-09-01      | Fixed         | 4.00%                 | 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        |   2464614 | PA      | $2481637.04   | 0.09%             | 2033-11-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XIV Ltd                                                             | CUSIP: 89641QBG4<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4988350.00   | 0.19%             | 2034-01-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| TRINITAS CAPITAL MGMT            | Trinitas Capital Management LLC                                                  | CUSIP: 89642CAC4<br>LEI: 254900JU042545A6UD08 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3925000.00   | 0.15%             | 2026-07-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XXXII Ltd                                                           | CUSIP: 89642NAL0<br>LEI: 254900KN2E57M5580B74 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3507752.50   | 0.13%             | 2038-07-23      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                    | Coherent Corp                                                                    | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1881507.30   | 0.07%             | 2029-12-15      | Fixed         | 5.00%                 | 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      | $501068.50    | 0.02%             | 2039-06-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                     | US Foods Inc                                                                     | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210083.80    | 0.01%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                 | UWM Holdings LLC                                                                 | CUSIP: 903522AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1598121.60   | 0.06%             | 2031-03-15      | Fixed         | 6.25%                 | 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        |   2005008 | PA      | $1601559.97   | 0.06%             | 2051-09-25      | Variable      | 3.24%                 | 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        |   1528449 | PA      | $1195241.29   | 0.04%             | 2051-08-25      | Variable      | 3.15%                 | 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        |   1283672 | PA      | $469297.75    | 0.02%             | 2025-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2053000 | PA      | $20.53        | 0.00%             | 2027-07-15      | Fixed         | 9.14%                 | No            |                  2 | On Loan: No      |
| 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        |   1600000 | PA      | $1499009.41   | 0.06%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS         | Univision Communications Inc                                                     | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    800000 | PA      | $824131.20    | 0.03%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2023-1                                                          | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610834 | PA      | $1609514.89   | 0.06%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Upgrade Auto Receivables Trust   | Upgrade Auto Receivables Trust 2025-1                                            | CUSIP: 91531AAF1<br>LEI: 254900GMCGPEMKJRNA46 | Long             | ABS-O            | CORP              | US        |   2744000 | PA      | $2717271.24   | 0.10%             | 2032-04-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust Series 2021-PT2                                   | CUSIP: 91531XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204618 | PA      | $199181.44    | 0.01%             | 2027-05-15      | Variable      | 18.26%                | 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      | $1020126.10   | 0.04%             | 2031-02-18      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST4                                       | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $144470.27    | 0.01%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-3                                              | CUSIP: 91678W109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25442 | PA      | $2319.76      | 0.00%             | 2030-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2023-1                                              | CUSIP: 91679AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2831851 | PA      | $2891692.87   | 0.11%             | 2033-02-20      | Fixed         | 11.10%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-5                                              | CUSIP: 91679JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4006049 | PA      | $3977211.55   | 0.15%             | 2031-11-20      | Fixed         | 4.15%                 | 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      | $251950.71    | 0.01%             | 2026-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-2                                              | CUSIP: 91679TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2653765 | PA      | $2364315.36   | 0.09%             | 2032-05-20      | Fixed         | 8.43%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST4                                       | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8452371 | PA      | $47041.04     | 0.00%             | 2026-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-1                                              | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $4193814.32   | 0.16%             | 2032-03-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST5                                       | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $451012.23    | 0.02%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series                                                | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $411269.25    | 0.02%             | 2030-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST6                                       | CUSIP: 91680VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9416000 | PA      | $1068870.72   | 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      | $592349.95    | 0.02%             | 2027-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-4                                              | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1408704 | PA      | $1397925.49   | 0.05%             | 2031-09-20      | Fixed         | 3.19%                 | 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      | $161442.51    | 0.01%             | 2029-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST8                                       | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $348336.93    | 0.01%             | 2029-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST9                                       | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1629000 | PA      | $320988.49    | 0.01%             | 2029-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2022-ST1                                       | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $650338.22    | 0.02%             | 2030-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2023-2                                              | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2134692.40   | 0.08%             | 2033-06-20      | Fixed         | 11.87%                | 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      | $651082.95    | 0.02%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                     | VT Topco Inc                                                                     | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2123620.38   | 0.08%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC   | VCAT 2025-NPL1 LLC                                                               | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    784466 | PA      | $787589.42    | 0.03%             | 2055-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    950000 | PA      | $976140.20    | 0.04%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | EP               | CORP              | US        |    215000 | PA      | $201159.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-7                                                | CUSIP: 924931AK4<br>LEI: 213800OVCAXDOBS94P47 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1259851.25   | 0.05%             | 2070-08-25      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2025-1                                              | CUSIP: 92511BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1418913.72   | 0.05%             | 2029-12-17      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2025-1                                              | CUSIP: 92511BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1539913.20   | 0.06%             | 2032-05-17      | Fixed         | 8.79%                 | 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      | $3631589.50   | 0.14%             | 2031-05-15      | Fixed         | 9.87%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION         | Vertiv Group Corp                                                                | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394445.80    | 0.01%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461360 | PA      | $1214641.40   | 0.05%             | 2066-07-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2136160.00   | 0.08%             | 2067-02-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5296000 | PA      | $4223755.95   | 0.16%             | 2067-02-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-2                                                | CUSIP: 92538XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6743650 | PA      | $5673911.54   | 0.21%             | 2067-02-25      | Variable      | 4.26%                 | 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      | $2310485.70   | 0.09%             | 2068-02-25      | Variable      | 7.47%                 | 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      | $1937617.50   | 0.07%             | 2066-06-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1361412.50   | 0.05%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2270000 | PA      | $1698979.23   | 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      | $3526107.00   | 0.13%             | 2068-09-25      | Variable      | 7.78%                 | 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      | $1254488.75   | 0.05%             | 2070-01-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-4                                                | CUSIP: 92540UAG2<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2674118.20   | 0.10%             | 2070-05-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-5                                                | CUSIP: 92540XAF8<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1355285.25   | 0.05%             | 2070-06-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD               | Viking Cruises Ltd                                                               | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   2100000 | PA      | $2136102.36   | 0.08%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES1                                       | CUSIP: 92839HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1045287.00   | 0.04%             | 2054-05-25      | Variable      | 10.35%                | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106194.40    | 0.00%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1261327.20   | 0.05%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES3                                       | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1787976.75   | 0.07%             | 2055-01-25      | Variable      | 7.83%                 | 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      | $1003982.00   | 0.04%             | 2054-10-25      | Variable      | 5.91%                 | 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      | $1028754.00   | 0.04%             | 2054-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2025-CES2                                       | CUSIP: 92842UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3358423.25   | 0.13%             | 2055-08-25      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| VOLTAGRID LLC                    | VoltaGrid LLC                                                                    | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305303.07    | 0.01%             | 2030-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAU8<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $2743973.00   | 0.10%             | 2031-01-20      | Floating      | 5.95%                 | 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      | $1753589.25   | 0.07%             | 2031-04-19      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                    | CUSIP: 92922FJ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12785305 | PA      | $80560.21     | 0.00%             | 2045-04-25      | Variable      | 0.06%                 | 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        |   6590547 | PA      | $533.83       | 0.00%             | 2044-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WFLD MORTGAGE TRUST              | WFLD 2014-MONT Mortgage Trust                                                    | CUSIP: 92939GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1556840 | PA      | $1486386.40   | 0.06%             | 2031-08-10      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| WALKER & DUNLOP INC              | Walker & Dunlop Inc                                                              | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1065207.52   | 0.04%             | 2033-04-01      | Fixed         | 6.62%                 | 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        |  50247102 | PA      | $3869.03      | 0.00%             | 2047-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  54761906 | PA      | $17140.48     | 0.00%             | 2047-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd          | Warwick Capital CLO 6 Ltd                                                        | CUSIP: 93656EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2015712.00   | 0.08%             | 2038-07-20      | Fixed         | 8.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage   | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust   | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188 | PA      | $147.79       | 0.00%             | 2033-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2525976 | PA      | $2275527.81   | 0.09%             | 2035-07-25      | Floating      | 5.51%                 | 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        |  10205936 | PA      | $139351.85    | 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        |  17344046 | PA      | $61397.92     | 0.00%             | 2047-04-25      | Variable      | 0.01%                 | 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 Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-3 Trust                              | CUSIP: 949831BL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627000 | PA      | $1159606.83   | 0.04%             | 2049-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2007-17 Trust                             | CUSIP: 94986QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14604 | PA      | $9406.02      | 0.00%             | 2038-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2025-VTT                                   | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $5171519.60   | 0.19%             | 2038-03-15      | Variable      | 6.91%                 | 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      | $1414959.95   | 0.05%             | 2049-09-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818000 | PA      | $992947.97    | 0.04%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011000 | PA      | $509808.88    | 0.02%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465950 | PA      | $1150930.49   | 0.04%             | 2051-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158000 | PA      | $553237.97    | 0.02%             | 2051-08-25      | Variable      | 2.97%                 | 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      | $1459704.85   | 0.05%             | 2035-07-15      | Variable      | 6.71%                 | 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      | $1811376.00   | 0.07%             | 2035-07-15      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNF4<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |  11242553 | PA      | $11090429.59  | 0.42%             | 2059-07-25      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNG2<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6566982 | PA      | $6401284.38   | 0.24%             | 2059-07-25      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNH0<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6600000 | PA      | $6550295.40   | 0.25%             | 2059-07-25      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| HELIOS 2024-1                    | HELIOS 2024-1                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGSE             | US        |  53306412 | PA      | $56384111.13  | 2.11%             | 2034-06-06      | Fixed         | 12.63%                | 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      | $2991894.30   | 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      | $3101967.63   | 0.12%             | 2028-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO         | Wildfire Intermediate Holdings LLC                                               | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |    990000 | PA      | $990453.32    | 0.04%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC            | Williams Scotsman Inc                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1034869.00   | 0.04%             | 2030-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd               | Wind River 2023-1 CLO Ltd                                                        | CUSIP: 97316RAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4027788.00   | 0.15%             | 2038-07-25      | Floating      | 7.26%                 | 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      | $1894089.78   | 0.07%             | 2044-06-20      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-2                                              | CUSIP: 97652QBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938000 | PA      | $1671509.50   | 0.06%             | 2044-09-20      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| XCAL 2019-IL-1 Mortgage Trust    | XCAL 2019-IL-1 MORTGAGE TRUST                                                    | CUSIP: 98370LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5129931 | PA      | $518.12       | 0.00%             | 2026-11-06      | Floating      | 19.89%                | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98370NAA3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   3950000 | PA      | $3946117.15   | 0.15%             | 2026-01-06      | Floating      | 7.25%                 | 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      | $2015726.00   | 0.08%             | 2025-12-06      | Floating      | 12.25%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAC4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299502.30    | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAD2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3482682.00   | 0.13%             | 2026-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAK6<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $162.80       | 0.00%             | 2025-11-01      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAN0<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3621300 | PA      | $912006.24    | 0.03%             | 2027-10-01      | 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      | $1794989.29   | 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        |   3350418 | PA      | $3342862.87   | 0.13%             | 2026-03-06      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAV2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    628203 | PA      | $626010.42    | 0.02%             | 2026-03-06      | Floating      | 13.08%                | No            |                  2 | On Loan: No      |
| XPO INC                          | XPO Inc                                                                          | CUSIP: 98379KAB8<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |    250000 | PA      | $261246.34    | 0.01%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566148 | PA      | $564996.33    | 0.02%             | 2026-05-06      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1321012 | PA      | $1314695.40   | 0.05%             | 2026-05-06      | Floating      | 12.50%                | 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      | $109.35       | 0.00%             | 2026-04-06      | Floating      | 12.25%                | No            |                  2 | On Loan: No      |
| ZEBRA TECHNOLOGIES CORP          | Zebra Technologies Corp                                                          | CUSIP: 989207AD7<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518628.50    | 0.02%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: BCC0H7063<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000 | PA      | $1.00         | 0.00%             | 2044-11-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: BCC0JHUY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | NS      | $0.00         | 0.00%             | 2045-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                   | Orion CLO 2023-2 Ltd                                                             | CUSIP: BCC3CWD22<br>LEI: 2138006PMRY9TD8ETL33 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2009440.00   | 0.08%             | 2037-01-25      | Floating      | 11.76%                | No            |                  2 | On Loan: No      |
| N/A                              | US 5YR NOTE (CBT) Dec25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -556 | NC      | $43819.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GEARY US                         | GEARY US                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     70688 | NS      | $7487997.56   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| LEAVENWORTH US                   | LEAVENWORTH US                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     29450 | NS      | $3220498.86   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| OCTAVIA US                       | OCTAVIA US                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     80038 | NS      | $12055496.37  | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | CDX45IG CDS (BUY PROTECTION)                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-9318276.44  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | US 10YR NOTE (CBT)Dec25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -187 | NC      | $-205185.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-29

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

**Signature:** /s/ Michael Colombo

**Name of Signer:** Michael Colombo

**Title:** Secretary