# EDGAR Filing Document

**Accession Number:** 0001552947
**File Stem:** 0001752724-25-161796
**Filing Date:** 2025-6
**Character Count:** 142884
**Document Hash:** aab36064abf80ad766e7209bc3844030
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-161796.hdr.sgml**: 20250627

**ACCESSION NUMBER**: 0001752724-25-161796

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250627

**DATE AS OF CHANGE**: 20250627

**PERIOD START**: 20251031

**FILER**: 

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

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22718
- **FILM NUMBER:** 251085119

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

**MAIL ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246

## Series and Classes Contracts Data

### Anfield Universal Fixed Income Fund (Series ID: S000040050)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000124329 | Anfield Universal Fixed Income Fund Class A | AFLEX           |
| C000124331 | Anfield Universal Fixed Income Fund Class C | AFLKX           |
| C000124332 | Anfield Universal Fixed Income Fund Class I | AFLIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

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

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

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

- **b. EDGAR series identifier (if any):** S000040050

- **c. LEI of Series:** 549300B6SKTUZX6YVF49

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

- **a. Date of fiscal year-end:** 2025-10-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $151049510.57

**Total Liabilities:** $946876.71

**Net Assets:** $150102633.86

**Cash Not Reported:** $871998.50

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 471.60502900 | **1-Year:** 3435.31068300 | **5-Year:** 8615.79999600 | **10-Year:** 8838.92811400 | **30-Year:** 696.48726100

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

- **3-Month:** 1523.86600700 | **1-Year:** 3517.89282800 | **5-Year:** 5672.29300800 | **10-Year:** 1684.70474100 | **30-Year:** 12.20782300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000124329 | 0.77%                | -0.04%               | 0.14%                |
| Class ID C000124331 | 0.71%                | 0.02%                | 0.07%                |
| Class ID C000124332 | 0.79%                | 0.10%                | 0.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $8897.50                 | $302248.05                                 |
| Month 2  | $-1672219.58             | $1059390.87                                |
| Month 3  | $-33010.93               | $-476195.34                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank N.V.                                                                       | ABNANV 4 3/4 07/28/25   | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $499556.80    | 0.33%             | 2025-07-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| AFC Mortgage Loan                                                                        | AFC 2000-1 1A           | CUSIP: 00105HEG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7074 | PA      | $6880.71      | 0.00%             | 2030-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Aames Mortgage Trust                                                                     | AMT 2001-1 M2           | CUSIP: 00253CGQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23248 | PA      | $23258.28     | 0.02%             | 2031-06-25      | Fixed         | 8.09%                 | No            |                  2 | On Loan: No      |
| Aercap Global Aviation Trust                                                             | AER 6 1/2 06/15/45      | CUSIP: 00773HAA5<br>LEI: 635400FBSV8LXXNRV758 | Long             | DBT              | CORP              | US        |    650000 | PA      | $651131.31    | 0.43%             | 2045-06-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Air Canada                                                                               | ACACN 3 7/8 08/15/26    | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |   1425000 | PA      | $1398863.79   | 0.93%             | 2026-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corporation                                                                    | AL 4.65 PERP            | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2512000 | PA      | $2439222.84   | 1.63%             | 2170-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Allegro CLO XV Ltd.                                                                      | ALLEG 2022-1A D1AR      | CUSIP: 01749WAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1473141.00   | 0.98%             | 2038-04-20      | Floating      | 7.31%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | ALLY 5 3/4 11/20/25     | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    715000 | PA      | $716006.23    | 0.48%             | 2025-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | ALLY 4.7 PERP           | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2017000 | PA      | $1859432.16   | 1.24%             | 2169-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | ALLY 6.05 02/15/26      | CUSIP: 02006DL90<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200308.80    | 0.13%             | 2026-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                                      | ALLY 6 07/15/29         | CUSIP: 02006DV40<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $250643.34    | 0.17%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                                  | AAL 3.65 06/15/28       | CUSIP: 023764AA1<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |   1035528 | PA      | $983557.27    | 0.66%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                                         | AEP 3 7/8 02/15/62      | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $941869.00    | 0.63%             | 2062-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc Asset Backed Pass-Through Certificates Series 2005-R7 | AMSI 2003-11 AF6        | CUSIP: 03072SLU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       126 | PA      | $245.40       | 0.00%             | 2033-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Aramark Services, Inc.                                                                   | ARMK 5 02/01/28         | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    975000 | PA      | $958849.03    | 0.64%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Ares Capital Corp.                                                                       | ARCC 2.15 07/15/26      | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    700000 | PA      | $675044.85    | 0.45%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Loan Trust 2001 He3                             | ABSHE 2003-HE6 M2       | CUSIP: 04541GGC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21144 | PA      | $26451.62     | 0.02%             | 2033-11-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                                    | ATH 2.95 11/12/26       | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244271.14    | 0.16%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                               | ACGCAP 4 7/8 10/01/25   | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499535.22    | 0.33%             | 2025-10-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                               | ACGCAP 1.95 01/30/26    | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244339.08    | 0.16%             | 2026-01-30      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Tr 07-Aa2                                                                       | BCAP 2007-AA2 21IO      | CUSIP: 05530NBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5454849 | PA      | $58395.79     | 0.04%             | 2037-04-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                           | BNP 4 5/8 PERP          | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1300000 | PA      | $1231675.90   | 0.82%             | 2177-01-12      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                                                  | BPCEGP 4 7/8 04/01/26   | CUSIP: 05578QAE3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    394000 | PA      | $393711.19    | 0.26%             | 2026-04-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                                           | BNP 4 3/8 09/28/25      | CUSIP: 05581KAA9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    600000 | PA      | $598089.66    | 0.40%             | 2025-09-28      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Specialty Finance Inc                                                       | BCSF 2.95 03/10/26      | CUSIP: 05684BAB3<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |   2349000 | PA      | $2304972.55   | 1.54%             | 2026-03-10      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2024-1 LTD                                                       | BOBA 2024-1A D1         | CUSIP: 05766NAN2<br>LEI: 254900ZDWC7EDY07BS61 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $993489.00    | 0.66%             | 2037-07-20      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Mortgage Securities Inc.                                                 | BOAMS 2004-A 2A4        | CUSIP: 05948XT43<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |      3332 | PA      | $3264.71      | 0.00%             | 2034-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                                                        | BK 3.7 PERP             | CUSIP: 064058AJ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2571318.75   | 1.71%             | 2170-03-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                             | BACR 2.852 05/07/26     | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $499760.13    | 0.33%             | 2026-05-07      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                             | BACR 5.304 08/09/26     | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $250131.53    | 0.17%             | 2026-08-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO XVI LTD                                                                    | BATLN 2019-16A CR2      | CUSIP: 07133MAW6<br>LEI: 549300TL38G7SDO1N781 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $989273.00    | 0.66%             | 2038-01-20      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Battalion Clo Xvii Ltd/ Llc                                                              | BATLN 2021-17A CR       | CUSIP: 07133PAS8<br>LEI: 549300QQUW46V6EB1N30 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499990.50    | 0.33%             | 2034-03-09      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Arm Trust                                                                   | BSARM 2003-4 3A1        | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6491 | PA      | $6154.84      | 0.00%             | 2033-07-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2003-ABF1 A       | CUSIP: 07384YLE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15591 | PA      | $15156.12     | 0.01%             | 2034-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                                               | BSABS 2003-AC5 A2       | CUSIP: 07384YMB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3500 | PA      | $3519.69      | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I Trust 2004 Ac5                                    | BSABS 2004-BO1 M9B      | CUSIP: 073879JV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $133118.54    | 0.09%             | 2034-10-25      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                                          | BXSL 3 5/8 01/15/26     | CUSIP: 09261LAC2<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    600000 | PA      | $593651.72    | 0.40%             | 2026-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Bluemountain Fuji U.S. CLO I                                                             | BLUEM 2017-2A C         | CUSIP: 09629EAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1989005.80   | 1.33%             | 2030-10-20      | Floating      | 7.53%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                                           | BNP 2.219 06/09/26      | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $249274.33    | 0.17%             | 2026-06-09      | Fixed         | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Boyd Gaming Corporation                                                                  | BYD 4 3/4 12/01/27      | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    828000 | PA      | $812244.07    | 0.54%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                      | CDCMC 2004-HE1 M2       | CUSIP: 12506YCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111999 | PA      | $111740.93    | 0.07%             | 2034-06-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| CDC Mortgage Capital Trust 2002-He2                                                      | CDCMC 2004-HE3 M2       | CUSIP: 12506YDG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86272 | PA      | $83750.08     | 0.06%             | 2034-11-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-6 2A3          | CUSIP: 126673BA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21837 | PA      | $21461.42     | 0.01%             | 2034-11-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Cwabs Asset Backed Certificates Series 2002-4                                            | CWL 2004-6 2A4          | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31524 | PA      | $30375.13     | 0.02%             | 2034-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Cwalt Incorporation                                                                      | CWALT 2004-35T2 A4      | CUSIP: 12667FQ81<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    121498 | PA      | $21993.81     | 0.01%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWMBS Inc                                                                                | CWHL 2004-7 3A1         | CUSIP: 12669FXK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17693 | PA      | $16607.20     | 0.01%             | 2034-05-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc.                                                               | CZR 4 5/8 10/15/29      | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    838000 | PA      | $774431.75    | 0.52%             | 2029-10-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                              | COF 3.95 PERP           | CUSIP: 14040HCF0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1113000 | PA      | $1061106.93   | 0.71%             | 2169-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Centerpoint Energy Inc                                                                   | CNP 7 02/15/55          | CUSIP: 15189TBH9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1136434.64   | 0.76%             | 2055-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Charles River Laboratories International, Inc.                                           | CRL 4 1/4 05/01/28      | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    512000 | PA      | $487106.43    | 0.32%             | 2028-05-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                             | CHASE 2007-A1 7A1       | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       488 | PA      | $489.94       | 0.00%             | 2037-02-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                           | C 3 7/8 PERP            | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1950114.90   | 1.30%             | 2169-05-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc.                                                       | CBASS 2004-CB3 B1       | CUSIP: 17307GES3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87399 | PA      | $104272.49    | 0.07%             | 2034-03-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group Inc                                                             | CFG 4 PERP              | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    725000 | PA      | $682405.38    | 0.45%             | 2171-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A. London Branch                                                       | ACAFP 1.907 06/16/26    | CUSIP: 22535WAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |    550000 | PA      | $547960.14    | 0.37%             | 2026-06-16      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS 2.193 06/05/26      | CUSIP: 225401AQ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    182000 | PA      | $181537.75    | 0.12%             | 2026-06-05      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS 6.373 07/15/26      | CUSIP: 225401AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $250704.93    | 0.17%             | 2026-07-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | CSFB 2001-HE8 A1        | CUSIP: 22540AB49<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19879 | PA      | $19689.73     | 0.01%             | 2031-02-25      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                     | WIFC 1997-WFC1 M3       | CUSIP: 22540ACY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54474 | PA      | $53443.47     | 0.04%             | 2027-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 4 Ltd                                                                    | CRNPT 2018-4A B         | CUSIP: 22845XAE0<br>LEI: 549300735PG2ZC70V672 | Long             | ABS-CBDO         | CORP              | KY        |    500500 | PA      | $500502.50    | 0.33%             | 2031-04-20      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                         | DB 6 PERP               | CUSIP: 251525AX9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $981660.10    | 0.65%             | 2170-02-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                     | DMSI 2004-4 7AR2        | CUSIP: 251563FE7<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |      2790 | PA      | $2558.95      | 0.00%             | 2034-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Discover Financial Services Inc.                                                         | DFS 5 1/2 PERP          | CUSIP: 254709AN8<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    628000 | PA      | $602267.13    | 0.40%             | 2166-04-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fnd                                                                   | DRSLF 2018-55A D        | CUSIP: 26245MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $996893.00    | 0.66%             | 2031-04-15      | Floating      | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Ecp Clo 2015-7 Ltd/Llc                                                                   | GLGU 2018-1A BR         | CUSIP: 26829CBB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2400000 | PA      | $2406610.80   | 1.60%             | 2030-04-22      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France SA                                                                 | EDF 9 1/8 PERP          | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2241950.00   | 1.49%             | 2173-06-15      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                                       | ET 6 1/2 PERP           | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3577000 | PA      | $3562918.07   | 2.37%             | 2169-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Equity One, Inc.                                                                         | EQABS 2002-5 M1         | CUSIP: 294751BP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10827 | PA      | $10902.70     | 0.01%             | 2032-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                                                      | FSK 3.4 01/15/26        | CUSIP: 302635AG2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    850000 | PA      | $838659.39    | 0.56%             | 2026-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                                                      | FSK 2 5/8 01/15/27      | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    275000 | PA      | $260398.38    | 0.17%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 202 IO              | CUSIP: 31282YCR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34637 | PA      | $3130.74      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 256 50              | CUSIP: 3128HU3T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454672 | PA      | $57186.50     | 0.04%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 303 141             | CUSIP: 31325UAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236224 | PA      | $36514.02     | 0.02%             | 2043-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 303 175             | CUSIP: 31325UBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165401 | PA      | $22502.20     | 0.01%             | 2040-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 303 181             | CUSIP: 31325UBL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162269 | PA      | $19516.33     | 0.01%             | 2039-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 324 C24             | CUSIP: 31325VBU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477568 | PA      | $99328.33     | 0.07%             | 2043-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHS 365 C10             | CUSIP: 31325XUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543669 | PA      | $111357.05    | 0.07%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 2433 SA             | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     16084 | PA      | $18741.54     | 0.01%             | 2032-02-15      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2011-149 MS         | CUSIP: 3136A3FF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1339799 | PA      | $74597.58     | 0.05%             | 2041-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2012-84 KI          | CUSIP: 3136A7R95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    113438 | PA      | $17351.09     | 0.01%             | 2042-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2013-10 SJ          | CUSIP: 3136ACEL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    144000 | PA      | $16372.38     | 0.01%             | 2043-02-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2013-103 JS         | CUSIP: 3136AGNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1114862 | PA      | $114039.17    | 0.08%             | 2043-10-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2014-68 IB          | CUSIP: 3136ALRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    414457 | PA      | $45177.48     | 0.03%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-34 HI          | CUSIP: 3136AN3F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2000448 | PA      | $445109.62    | 0.30%             | 2045-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-40 LT          | CUSIP: 3136AN4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6651962 | PA      | $10366.42     | 0.01%             | 2045-06-25      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-16 IN          | CUSIP: 3136ANBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     71926 | PA      | $1851.14      | 0.00%             | 2043-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2015-22 BS          | CUSIP: 3136ANEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    141178 | PA      | $16261.39     | 0.01%             | 2045-04-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2017-78 KI          | CUSIP: 3136AX6Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     81419 | PA      | $14622.95     | 0.01%             | 2047-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2017-99 DI          | CUSIP: 3136AY2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    292300 | PA      | $38466.85     | 0.03%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2017-97 SW          | CUSIP: 3136B0DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    962089 | PA      | $122003.30    | 0.08%             | 2047-12-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-2 LI           | CUSIP: 3136B0ZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    155715 | PA      | $15028.65     | 0.01%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-37 CI          | CUSIP: 3136B16S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     52102 | PA      | $1076.52      | 0.00%             | 2047-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-16 MI          | CUSIP: 3136B1BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    981970 | PA      | $201447.20    | 0.13%             | 2048-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-35 KI          | CUSIP: 3136B1E59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    235909 | PA      | $40354.43     | 0.03%             | 2048-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-34 CI          | CUSIP: 3136B1G65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    193656 | PA      | $33190.28     | 0.02%             | 2048-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-31 IO          | CUSIP: 3136B1YP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    263929 | PA      | $51577.22     | 0.03%             | 2047-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-54 SA          | CUSIP: 3136B2XW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1032168 | PA      | $105552.88    | 0.07%             | 2048-08-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2018-74 MI          | CUSIP: 3136B3JA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    409955 | PA      | $80406.16     | 0.05%             | 2048-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2019-44 IC          | CUSIP: 3136B5VE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    579815 | PA      | $81067.90     | 0.05%             | 2049-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2020-10 S           | CUSIP: 3136B9AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    983622 | PA      | $115772.26    | 0.08%             | 2059-05-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2021-27 GI          | CUSIP: 3136BHAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    213210 | PA      | $55758.40     | 0.04%             | 2051-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 359 14              | CUSIP: 3136FCUF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106001 | PA      | $16163.97     | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 384 2               | CUSIP: 3136FER20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243747 | PA      | $28986.14     | 0.02%             | 2037-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 385 3               | CUSIP: 3136FEV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345084 | PA      | $54153.97     | 0.04%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 406 15              | CUSIP: 3136FG2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071479 | PA      | $238646.05    | 0.16%             | 2040-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 407 40              | CUSIP: 3136FG4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850380 | PA      | $168093.36    | 0.11%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 408 9               | CUSIP: 3136FG5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420845 | PA      | $78175.01     | 0.05%             | 2040-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 64              | CUSIP: 3136FLCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122337 | PA      | $19768.95     | 0.01%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 80              | CUSIP: 3136FLDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99853 | PA      | $19252.62     | 0.01%             | 2039-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 83              | CUSIP: 3136FLDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278416 | PA      | $45929.04     | 0.03%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 C13             | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181343 | PA      | $29082.22     | 0.02%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 3772 SA             | CUSIP: 3137A4JG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     82365 | PA      | $69662.26     | 0.05%             | 2040-12-15      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 3935 SH             | CUSIP: 3137AGTF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    335510 | PA      | $6002.81      | 0.00%             | 2040-12-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4076 SW             | CUSIP: 3137ASGB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    162680 | PA      | $17411.42     | 0.01%             | 2042-07-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4091 ES             | CUSIP: 3137ATDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    216724 | PA      | $32372.34     | 0.02%             | 2042-08-15      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4139 PO             | CUSIP: 3137AWYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    102250 | PA      | $68048.02     | 0.05%             | 2042-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4197 IG             | CUSIP: 3137B1TF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    420932 | PA      | $52200.48     | 0.03%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4291 MS             | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    304697 | PA      | $34812.56     | 0.02%             | 2054-01-15      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4394 BI             | CUSIP: 3137BEUD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    185642 | PA      | $24239.40     | 0.02%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4416 DS             | CUSIP: 3137BFM32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    278104 | PA      | $34612.09     | 0.02%             | 2044-12-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4419 EI             | CUSIP: 3137BFQ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     53386 | PA      | $6193.79      | 0.00%             | 2037-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4473 AS             | CUSIP: 3137BJAS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    271547 | PA      | $28500.62     | 0.02%             | 2045-05-15      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4480 IN             | CUSIP: 3137BKD31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    231646 | PA      | $35976.96     | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4583 ST             | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    724644 | PA      | $86340.94     | 0.06%             | 2046-05-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4591 QI             | CUSIP: 3137BQQ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    101744 | PA      | $18443.17     | 0.01%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4669 TI             | CUSIP: 3137BW5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3174196 | PA      | $5930.67      | 0.00%             | 2040-09-15      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                                   | FHR 4699 NI             | CUSIP: 3137F1PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    617234 | PA      | $76348.83     | 0.05%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4792 AI             | CUSIP: 3137F5AG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    166319 | PA      | $29729.43     | 0.02%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4765 SI             | CUSIP: 3137FEQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9430047 | PA      | $80989.01     | 0.05%             | 2044-08-15      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5086 HI             | CUSIP: 3137FFGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    810721 | PA      | $180034.65    | 0.12%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5086 IW             | CUSIP: 3137FFGQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    429481 | PA      | $60045.97     | 0.04%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5082 HI             | CUSIP: 3137FFWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    303053 | PA      | $40947.11     | 0.03%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 4827 BI             | CUSIP: 3137FHM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    985517 | PA      | $155405.16    | 0.10%             | 2048-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5023 MI             | CUSIP: 3137FWV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    418716 | PA      | $71301.64     | 0.05%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5022 IO             | CUSIP: 3137FXDW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    748292 | PA      | $128775.06    | 0.09%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5093 NI             | CUSIP: 3137FYK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    337549 | PA      | $68610.70     | 0.05%             | 2049-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5112 IB             | CUSIP: 3137H0R91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    686509 | PA      | $77821.10     | 0.05%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                                         | FHR 5174 NI             | CUSIP: 3137H4MG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1192903 | PA      | $211282.41    | 0.14%             | 2051-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2004-70 XJ          | CUSIP: 31394A4U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    288941 | PA      | $40412.75     | 0.03%             | 2034-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 418 141             | CUSIP: 31395Q2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220501 | PA      | $34273.23     | 0.02%             | 2039-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 418 147             | CUSIP: 31395Q2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219974 | PA      | $35657.55     | 0.02%             | 2039-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 419 C3              | CUSIP: 31395Q5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352252 | PA      | $48344.64     | 0.03%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 417 C24             | CUSIP: 31395QE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792431 | PA      | $103128.19    | 0.07%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 413 126             | CUSIP: 31395QMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158564 | PA      | $25626.75     | 0.02%             | 2042-07-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 413 155             | CUSIP: 31395QNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322499 | PA      | $59021.69     | 0.04%             | 2042-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 413 177             | CUSIP: 31395QPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158413 | PA      | $28920.94     | 0.02%             | 2042-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2006-109 SG         | CUSIP: 31396LQX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    468440 | PA      | $44740.17     | 0.03%             | 2036-11-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2007-39 AI          | CUSIP: 31396VSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    198169 | PA      | $18586.61     | 0.01%             | 2037-05-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2007-112 SA         | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    141748 | PA      | $17942.30     | 0.01%             | 2037-12-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2007-92 SK          | CUSIP: 31396XNB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    134236 | PA      | $15401.29     | 0.01%             | 2037-09-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2009-31 PI          | CUSIP: 31397ND85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     43413 | PA      | $780.85       | 0.00%             | 2038-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2010-150 SP         | CUSIP: 31397QBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    465242 | PA      | $43631.19     | 0.03%             | 2040-10-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2009-101 MI         | CUSIP: 31398F6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    348452 | PA      | $32299.50     | 0.02%             | 2039-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNR 2009-113 XI         | CUSIP: 31398GVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    382316 | PA      | $57840.43     | 0.04%             | 2040-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 426 292             | CUSIP: 31422MYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466903 | PA      | $76323.87     | 0.05%             | 2051-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fidelity Advisor Series II                                                               | FID-FL RT HI            | CUSIP: 315916783<br>LEI: EIVUM2R16VT371T5KS40 | Long             | EC               | RF                | US        |    286672 | NS      | $2591511.25   | 1.73%             |  |  |  | No            |                  1 | On Loan: No      |
| First Citizens BancShares Inc (Delaware)                                                 | FCNCA FLOAT PERP        | CUSIP: 31959XAA1<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |   3704000 | PA      | $3769042.24   | 2.51%             | 2170-06-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                              | FFML 2002-FF1 1A2       | CUSIP: 32027NAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9516 | PA      | $9953.27      | 0.01%             | 2032-04-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                        | FE 3.9 07/15/27         | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148230.01    | 0.10%             | 2027-07-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 5 1/8 06/16/25        | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1648795.55   | 1.10%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 4 1/8 08/17/27        | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    313000 | PA      | $300254.07    | 0.20%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 3 3/8 11/13/25        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1912625.71   | 1.27%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 2.7 08/10/26          | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    375000 | PA      | $360461.88    | 0.24%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 5.8 03/05/27          | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $497123.55    | 0.33%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 3.815 11/02/27        | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $473394.20    | 0.32%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 4.687 06/09/25        | CUSIP: 345397ZJ5<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399472.24    | 0.27%             | 2025-06-09      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                                            | F 6.2 06/20/34          | CUSIP: 34540TH88<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $934635.04    | 0.62%             | 2034-06-20      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                              | GLPI 5 3/8 04/15/26     | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1247904.08   | 0.83%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp                                                              | GSR 2004-6F 2A6         | CUSIP: 36228F2M7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      5687 | PA      | $5717.63      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2004-2F 7A2         | CUSIP: 36229RLM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21554 | PA      | $695.02       | 0.00%             | 2034-01-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company  Inc                                                    | GM 5.7 PERP             | CUSIP: 37045XDB9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    603000 | PA      | $569600.92    | 0.38%             | 2069-03-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                                | GS 3.65 PERP            | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $958354.80    | 0.64%             | 2170-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2009-69 IV          | CUSIP: 38373AD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    625807 | PA      | $85130.65     | 0.06%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2008-60 SH          | CUSIP: 38375DAJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1128879 | PA      | $24321.14     | 0.02%             | 2038-07-16      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-98 HS          | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    323717 | PA      | $34535.03     | 0.02%             | 2042-08-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2007-26 SD          | CUSIP: 38375KAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    640511 | PA      | $81807.88     | 0.05%             | 2037-05-16      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2009-61 AS          | CUSIP: 38376FHU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    146109 | PA      | $1123.02      | 0.00%             | 2039-03-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2009-87 IW          | CUSIP: 38376KXJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2173714 | PA      | $78333.25     | 0.05%             | 2034-07-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-60 SA          | CUSIP: 38376UED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3949935 | PA      | $199767.18    | 0.13%             | 2037-10-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-60 SU          | CUSIP: 38376UFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    651796 | PA      | $60171.66     | 0.04%             | 2040-01-16      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2010-29 SA          | CUSIP: 38376XSS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2053700 | PA      | $257429.85    | 0.17%             | 2039-10-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2010-133 SB         | CUSIP: 38377MHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    971377 | PA      | $121425.88    | 0.08%             | 2040-10-16      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2010-166 SA         | CUSIP: 38377RUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1641903 | PA      | $202564.81    | 0.13%             | 2040-12-16      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-68 EI          | CUSIP: 38377VX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    161823 | PA      | $17178.94     | 0.01%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2011-157 AI         | CUSIP: 38378ATU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      6782 | PA      | $90.94        | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-69 QI          | CUSIP: 38378EQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    248104 | PA      | $26400.21     | 0.02%             | 2041-03-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-20 IM          | CUSIP: 38378F4B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    769072 | PA      | $119844.93    | 0.08%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-20 KI          | CUSIP: 38378F6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    326228 | PA      | $55912.24     | 0.04%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-4 ID           | CUSIP: 38378FNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    913063 | PA      | $166945.10    | 0.11%             | 2042-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-5 BI           | CUSIP: 38378FPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     67919 | PA      | $11026.34     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-140 IC         | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    406420 | PA      | $66934.38     | 0.04%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-149 CS         | CUSIP: 38378GR91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    234474 | PA      | $18921.85     | 0.01%             | 2042-12-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-149 GI         | CUSIP: 38378GX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    155635 | PA      | $13656.14     | 0.01%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-126 IO         | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    777774 | PA      | $99065.48     | 0.07%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2012-108 PS         | CUSIP: 38378HPT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    228291 | PA      | $29795.37     | 0.02%             | 2042-03-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-75 GI          | CUSIP: 38378J3Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     66709 | PA      | $329.01       | 0.00%             | 2041-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-189 PS         | CUSIP: 38378PMH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    294972 | PA      | $28251.16     | 0.02%             | 2043-07-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-82 IG          | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    347054 | PA      | $52054.03     | 0.03%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-90 AI          | CUSIP: 38378TXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    217120 | PA      | $3522.44      | 0.00%             | 2039-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-144 AS         | CUSIP: 38378UB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    938779 | PA      | $13545.45     | 0.01%             | 2043-03-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-103 DS         | CUSIP: 38378VAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     67853 | PA      | $8422.85      | 0.01%             | 2043-07-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-122 SB         | CUSIP: 38378WAU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    604936 | PA      | $71995.09     | 0.05%             | 2043-08-16      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2013-181 SA         | CUSIP: 38378YFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    139893 | PA      | $13063.58     | 0.01%             | 2043-11-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-91 SB          | CUSIP: 38379CPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    290567 | PA      | $20724.69     | 0.01%             | 2044-06-16      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-94 JI          | CUSIP: 38379CZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5448098 | PA      | $24053.35     | 0.02%             | 2034-09-16      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-132 SL         | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    192587 | PA      | $10427.10     | 0.01%             | 2043-10-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2014-133 BS         | CUSIP: 38379GQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     94115 | PA      | $9257.39      | 0.01%             | 2044-09-20      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2015-44 AI          | CUSIP: 38379LFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    189729 | PA      | $1138.94      | 0.00%             | 2041-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2015-179 GS         | CUSIP: 38379TCB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    262601 | PA      | $41013.19     | 0.03%             | 2045-12-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-46 IO          | CUSIP: 38379WBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    275551 | PA      | $44753.28     | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-54 PI          | CUSIP: 38379WMH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     93216 | PA      | $9386.90      | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-81 IO          | CUSIP: 38379YNN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    167774 | PA      | $31907.52     | 0.02%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-116 IJ         | CUSIP: 38380AJQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    292010 | PA      | $31388.48     | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-121 JS         | CUSIP: 38380AZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    849524 | PA      | $113893.48    | 0.08%             | 2046-09-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-99 DI          | CUSIP: 38380F5B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    120428 | PA      | $5489.44      | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-101 ID         | CUSIP: 38380FR57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     70733 | PA      | $4986.19      | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-88 IB          | CUSIP: 38380FRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    792644 | PA      | $107315.51    | 0.07%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-130 LI         | CUSIP: 38380GDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    302392 | PA      | $23795.89     | 0.02%             | 2045-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-141 ID         | CUSIP: 38380HKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     11123 | PA      | $1581.37      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-160 TI         | CUSIP: 38380HYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1098275 | PA      | $17047.76     | 0.01%             | 2040-06-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-18 BI          | CUSIP: 38380KW43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    302797 | PA      | $25725.72     | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-H16 CI         | CUSIP: 38380LG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1927231 | PA      | $79317.11     | 0.05%             | 2069-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2016-163 KI         | CUSIP: 38380TBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    526486 | PA      | $43546.25     | 0.03%             | 2045-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-114 CI         | CUSIP: 38380TYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    151780 | PA      | $11411.13     | 0.01%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-112 KI         | CUSIP: 38380TZU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    417790 | PA      | $40738.72     | 0.03%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-1 IP           | CUSIP: 38380UA45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    294801 | PA      | $31816.72     | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-179 KS         | CUSIP: 38380ULB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    736235 | PA      | $101903.81    | 0.07%             | 2047-12-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2017-179 WI         | CUSIP: 38380UMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    121430 | PA      | $27483.26     | 0.02%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-120 JI         | CUSIP: 38380YVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    160030 | PA      | $23157.41     | 0.02%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-154 IT         | CUSIP: 38381AWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    228026 | PA      | $41888.09     | 0.03%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-18 CS          | CUSIP: 38381B4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    223726 | PA      | $19548.31     | 0.01%             | 2049-02-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-21 SI          | CUSIP: 38381B7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8360469 | PA      | $61530.54     | 0.04%             | 2043-10-20      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-6 SA           | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    433916 | PA      | $51019.95     | 0.03%             | 2049-01-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-11 MI          | CUSIP: 38381BSL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    124582 | PA      | $6012.55      | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 SA          | CUSIP: 38381RDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    476329 | PA      | $48382.36     | 0.03%             | 2045-02-20      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 CI          | CUSIP: 38381RDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1933941 | PA      | $92081.72     | 0.06%             | 2045-10-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 EI          | CUSIP: 38381REC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    499210 | PA      | $10414.56     | 0.01%             | 2043-07-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2019-22 HI          | CUSIP: 38381REQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    167225 | PA      | $20230.86     | 0.01%             | 2040-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2020-47 MI          | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    902013 | PA      | $173597.09    | 0.12%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2020-86 TK          | CUSIP: 38382GCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  17144576 | PA      | $87252.18     | 0.06%             | 2048-08-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2020-127 IN         | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    383922 | PA      | $53698.55     | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2020-167 NS         | CUSIP: 38382LBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    600092 | PA      | $87102.59     | 0.06%             | 2050-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2021-78 QI          | CUSIP: 38382TBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    464049 | PA      | $42807.49     | 0.03%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                    | GT 1997-1 M1            | CUSIP: 393505SK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1993 | PA      | $2008.73      | 0.00%             | 2028-03-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Greenwood Pk Clo Ltd                                                                     | GRNPK 2018-1A D         | CUSIP: 39729RAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1487323.35   | 0.99%             | 2031-04-15      | Floating      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Harley-Davidson Financial Services Inc.                                                  | HOG 3.35 06/08/25       | CUSIP: 41283LAY1<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |    515000 | PA      | $513683.01    | 0.34%             | 2025-06-08      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Icg Us Clo 2021-3 Ltd / Icg Us Clo 2021-3 Llc                                            | ICG 2021-3A CR          | CUSIP: 449249AW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $994026.00    | 0.66%             | 2034-10-20      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| ILFC E-Capital Trust I                                                                   | AER Float 12/21/65      | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $809038.30    | 0.54%             | 2065-12-21      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation                          | IEP 6 1/4 05/15/26      | CUSIP: 451102BT3<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1346414.40   | 0.90%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-4 1M3          | CUSIP: 45254NHX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4866 | PA      | $4837.85      | 0.00%             | 2034-09-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-5 1A3          | CUSIP: 45254NJJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1943 | PA      | $1924.92      | 0.00%             | 2034-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                          | IMM 2004-6 M1           | CUSIP: 45254NJX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15987 | PA      | $15405.55     | 0.01%             | 2034-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| International Game Technology PLC                                                        | IGT 6 1/4 01/15/27      | CUSIP: 460599AD5<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |    963000 | PA      | $968036.49    | 0.64%             | 2027-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| International Game Technology PLC                                                        | IGT 5 1/4 01/15/29      | CUSIP: 460599AE3<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $489327.80    | 0.33%             | 2029-01-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| International Game Technology PLC                                                        | IGT 4 1/8 04/15/26      | CUSIP: 460599AF0<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |    265000 | PA      | $262358.12    | 0.17%             | 2026-04-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                                 | JPMMT 2005-A1 3A5       | CUSIP: 466247NJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12914 | PA      | $12007.70     | 0.01%             | 2035-02-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                                                  | KEY 5 PERP              | CUSIP: 493267AK4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    740000 | PA      | $716967.65    | 0.48%             | 2049-12-29      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                     | LVS 2.9 06/25/25        | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996109.00    | 0.66%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Leidos Inc                                                                               | LDOS 3 5/8 05/15/25     | CUSIP: 52532XAD7<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    650000 | PA      | $649531.99    | 0.43%             | 2025-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                                           | LBMLT 2003-2 M2         | CUSIP: 542514DV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14313 | PA      | $16012.07     | 0.01%             | 2033-06-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corporation                                                                     | MTB 3 1/2 PERP          | CUSIP: 55261FAN4<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $917537.30    | 0.61%             | 2173-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2007-HF1 4AX       | CUSIP: 55291YAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396752 | PA      | $74119.44     | 0.05%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLV Ltd/Llc                                                         | MDPK 2020-45A CRR       | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $496995.50    | 0.33%             | 2034-07-15      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                             | MALT 2003-7 6A1         | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10301 | PA      | $10319.15     | 0.01%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | MLMI 2003-OPT1 M2       | CUSIP: 5899295L8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17020 | PA      | $13323.70     | 0.01%             | 2034-07-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust 2005-1                                                      | MMLT 2003-1 M2          | CUSIP: 59001FAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3845 | PA      | $3830.93      | 0.00%             | 2033-11-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Meritage Mortgage Loan Trust 2005-1                                                      | MMLT 2003-1 M3          | CUSIP: 59001FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28884 | PA      | $28459.15     | 0.02%             | 2033-11-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                                   | CBASS 2004-CB6 M2       | CUSIP: 59020UJD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69647 | PA      | $66041.08     | 0.04%             | 2035-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I Inc. Trust 2004-NC1                                         | MSAC 2004-NC7 M4        | CUSIP: 61744CFS0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |     25582 | PA      | $28227.95     | 0.02%             | 2034-07-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2004-7AR 2A6        | CUSIP: 61748HCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3013 | PA      | $2960.21      | 0.00%             | 2034-09-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                       | MSM 2004-10AR 4A        | CUSIP: 61748HFJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7265 | PA      | $6757.27      | 0.00%             | 2034-11-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO IX Ltd.                                                                | MVW 2015-9A CR          | CUSIP: 62432BAU7<br>LEI: 549300URXZ1TS31FK720 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1499136.00   | 1.00%             | 2031-07-15      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust 2005-1                                                | NCHET 2003-A M1         | CUSIP: 64352VDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14549 | PA      | $15636.27     | 0.01%             | 2033-10-25      | Floating      | 3.37%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 2 03/09/26        | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2443008.65   | 1.63%             | 2026-03-09      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 2 3/4 03/09/28    | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $685049.70    | 0.46%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 1.85 09/16/26     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    938000 | PA      | $888021.63    | 0.59%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                                           | NSANY 5.3 09/13/27      | CUSIP: 65480CAG0<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1288000 | PA      | $1262872.45   | 0.84%             | 2027-09-13      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Novastar Mortgage Funding Trust Series 2005-1                                            | NHEL 2004-1 M5          | CUSIP: 66987XEE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1843 | PA      | $1741.16      | 0.00%             | 2034-06-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 32 Ltd.                                                      | OCT32 2017-1A A2R3      | CUSIP: 67573CAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $994468.00    | 0.66%             | 2037-10-31      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Octagon Invt Partners 46 Ltd /  Llc                                                      | OCT46 2020-2A DR        | CUSIP: 67577VAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $995463.00    | 0.66%             | 2036-07-15      | Floating      | 7.82%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Corporation                                                            | OMF 3 1/2 01/15/27      | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    165000 | PA      | $158097.56    | 0.11%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Acceptance Corp.                                                     | OOMLT 2003-5 A2         | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10057 | PA      | $10263.30     | 0.01%             | 2033-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                                                        | PNC 3.4 PERP            | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    850000 | PA      | $801915.67    | 0.53%             | 2172-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PENN Entertainment Inc                                                                   | PENN 5 5/8 01/15/27     | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1009764.50   | 0.67%             | 2027-01-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| PENN Entertainment Inc                                                                   | PENN 4 1/8 07/01/29     | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    725000 | PA      | $636640.70    | 0.42%             | 2029-07-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Penske Automotive Group, Inc.                                                            | PAG 3 1/2 09/01/25      | CUSIP: 70959WAJ2<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |   1563000 | PA      | $1552437.09   | 1.03%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corp.                                                       | RASC 2003-KS4 MI1       | CUSIP: 76110WRV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58506 | PA      | $58560.34     | 0.04%             | 2033-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO 2017-1 Ltd.                                                           | ROCKT 2017-1A DR2B      | CUSIP: 77340EBG0<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1501600.50   | 1.00%             | 2034-04-20      | Floating      | 9.51%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                     | RY 8 1/2 02/28/39       | CUSIP: 78014RTB6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    419000 | PA      | $431959.22    | 0.29%             | 2039-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII Inc.                                            | SBM7 2003-1 A2          | CUSIP: 79549AYQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4705 | PA      | $2245.69      | 0.00%             | 2033-09-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust 2004-2                                                      | SAST 2003-3 M2          | CUSIP: 805564PF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11440 | PA      | $10262.46     | 0.01%             | 2033-12-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                                           | SCHW 4 PERP             | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1505082.18   | 1.00%             | 2169-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Light & Wonder International Inc.                                                        | SGMS 7 05/15/28         | CUSIP: 80874YBC3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    844000 | PA      | $844941.90    | 0.56%             | 2028-05-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Light & Wonder International Inc.                                                        | SGMS 7 1/4 11/15/29     | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    438000 | PA      | $446389.01    | 0.30%             | 2029-11-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Sempra                                                                                   | SRE 4 1/8 04/01/52      | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    500000 | PA      | $459422.90    | 0.31%             | 2052-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Skymiles IP Ltd. & Delta Air Lines Inc.                                                  | DAL 4 1/2 10/20/25      | CUSIP: 830867AA5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | KY        |    375000 | PA      | $371896.69    | 0.25%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                    | SOCGEN 4 3/4 11/24/25   | CUSIP: 83367TBR9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    550000 | PA      | $548795.56    | 0.37%             | 2025-11-24      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO II Ltd.                                                                  | SNDPT 2013-1A A3R       | CUSIP: 83608GAS5<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1996352.00   | 1.33%             | 2031-01-26      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Southern Co.                                                                             | SO 3 3/4 09/15/51       | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1212200.28   | 0.81%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                                      | RRR 4 1/2 02/15/28      | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |   1248000 | PA      | $1205144.05   | 0.80%             | 2028-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Steele Creek CLO 2014-1 Ltd./LLC                                                         | STCR 2014-1RA B         | CUSIP: 85816WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    417828 | PA      | $418240.24    | 0.28%             | 2031-04-21      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2005-WF1 M7        | CUSIP: 86359BW56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109279 | PA      | $113210.76    | 0.08%             | 2035-02-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                        | SASC 2005-WF1 M8        | CUSIP: 86359BW64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143305 | PA      | $147134.78    | 0.10%             | 2035-02-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                      | SYF 4 1/2 07/23/25      | CUSIP: 87165BAG8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    855000 | PA      | $853646.21    | 0.57%             | 2025-07-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                      | SYF 3.7 08/04/26        | CUSIP: 87165BAL7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244735.98    | 0.16%             | 2026-08-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Synchrony Bank                                                                           | SYF 5.4 08/22/25        | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500186.26    | 0.33%             | 2025-08-22      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Tcw Clo                                                                                  | TCW 2017-1A A2R3        | CUSIP: 87240NBJ4<br>LEI: 549300BD6SSD2EBMCC95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $993059.00    | 0.66%             | 2034-10-29      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mtg Tst                                                                           | TMTS 2003-2HE M2        | CUSIP: 881561AT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47506 | PA      | $57669.47     | 0.04%             | 2034-07-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                                         | TEVA 3.15 10/01/26      | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    989000 | PA      | $957254.39    | 0.64%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                                         | TEVA 4 3/4 05/09/27     | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1600000 | PA      | $1572171.04   | 1.05%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Warner Media LLC                                                                         | TWX 2.95 07/15/26       | CUSIP: 887317BA2<br>LEI: 5493004RSX004WU3UT62 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121350.25    | 0.08%             | 2026-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                             | UBS 4.488 05/12/26      | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    750000 | PA      | $749860.78    | 0.50%             | 2026-05-12      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bills                                                             | B 09/11/25              | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4924056.10   | 3.28%             | 2025-09-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Vanguard Fixed Income Securities Funds                                                   | VANG-H/Y CO-ADM         | CUSIP: 922031760<br>LEI: 549300F3N7VQKU6I4K64 | Long             | EC               | RF                | US        |    422170 | NS      | $2283938.06   | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Venture XV CLO Ltd.                                                                      | VENTR 2013-15A DR2      | CUSIP: 92328XAZ2<br>LEI: 549300UYHZCJPN3LMT03 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $988631.60    | 0.66%             | 2032-07-15      | Floating      | 8.44%                 | Yes           |                  2 | On Loan: No      |
| Venture 33 Clo Limited & Llc                                                             | VENTR 2018-33A D        | CUSIP: 92330YAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1947676.00   | 1.30%             | 2031-07-15      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| Vici Properties Inc                                                                      | VICI 5 3/4 02/01/27     | CUSIP: 92564RAJ4<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505673.50    | 0.34%             | 2027-02-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                                  | VW 4 3/4 11/13/28       | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247405.96    | 0.16%             | 2028-11-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                                                  | VW 5.4 03/20/26         | CUSIP: 928668CE0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502251.27    | 0.33%             | 2026-03-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO 2018-3 Ltd.                                                                     | VOYA 2018-1A C          | CUSIP: 92917AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2720384.98   | 1.81%             | 2031-04-19      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                        | WFC 3.9 PERP            | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $982524.85    | 0.65%             | 2169-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ZAIS CLO 18 LTD                                                                          | ZAIS 2022-18A D1        | CUSIP: 98885NAL7<br>LEI: 549300PRQCSTFU7VEI08 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1982306.00   | 1.32%             | 2035-01-25      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| ANFIELD BBH SWEEP                                                                        | BBH SWEEP VEHICLE       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    352861 | PA      | $352860.60    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Cornerstone OnDemand                                                                     | CSOD TL B 1L USD        | CUSIP: 86803YAB9<br>LEI: 549300Z402F16H5EGH48 | Long             | LON              | CORP              | US        |    992327 | PA      | $883171.37    | 0.59%             | 2028-09-21      | Variable      | 8.19%                 | No            |                  2 | On Loan: No      |
| Aramark                                                                                  | ARMK TL B7 1L USD       | CUSIP: 03852JAU5<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |   2630573 | PA      | $2640108.70   | 1.76%             | 2028-04-06      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Restaurant Brands International                                                          | BCULC TL B5 1L USD      | CUSIP: C6901LAM9<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | US        |    990019 | PA      | $982207.50    | 0.65%             | 2030-09-23      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Light & Wonder (Scientific Games)                                                        | LNW TL B 1L USD         | CUSIP: 80875AAW1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |    990656 | PA      | $991072.27    | 0.66%             | 2029-04-16      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| United Airlines                                                                          | UAL TL B 1L USD         | CUSIP: 90932RAP9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1661608 | PA      | $1659796.89   | 1.11%             | 2031-02-24      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                               | ACACN TL B 1L USD       | CUSIP: N/A<br>LEI: 4B4HI3CGXMBDC0G6BM51       | Long             | LON              | CORP              | US        |   1980000 | PA      | $1960407.90   | 1.31%             | 2031-03-21      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                                | CZR TL B1 1L USD        | CUSIP: N/A<br>LEI: 549300FA4CTCW903Y781       | Long             | LON              | CORP              | US        |    990000 | PA      | $976387.50    | 0.65%             | 2031-02-06      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Penn Entertainment (fka Penn National Gaming)                                            | PENN TL B 1L USD        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    500000 | PA      | $499095.00    | 0.33%             | 2029-05-03      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| MKS Instruments                                                                          | MKSI TL B 1L USD        | CUSIP: 55314NAZ7<br>LEI: 549300KEQATBHAGVF505 | Long             | LON              | CORP              | US        |   1113952 | PA      | $1108661.04   | 0.74%             | 2029-08-17      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Great American Outdoors (Bass Pro Shops)                                                 | BASSPR TL B 1L USD      | CUSIP: 07014QAP6<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |   1947352 | PA      | $1908892.03   | 1.27%             | 2032-01-16      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| American Airlines                                                                        | AAL TL B 1L USD         | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1150000 | PA      | $1128178.75   | 0.75%             | 2028-04-20      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                                                     | ACAFP 4 3/4 PERP        | CUSIP: F2R125CJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $906787.40    | 0.60%             | 2174-03-23      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                    | SOCGEN 5 3/8 PERP       | CUSIP: F8500RAA0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $875654.50    | 0.58%             | 2173-05-18      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                   | US 5YR NOTE (CBT) Jun25 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        20 | NC      | $45468.76     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                                   | US 10YR NOTE (CBT)Jun25 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        20 | NC      | $50312.50     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                                   | US LONG BOND(CBT) Jun25 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        20 | NC      | $13750.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-28

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

**Signature:** Laura Szalyga

**Name of Signer:** Laura Szalyga

**Title:** Treasurer