# EDGAR Filing Document

**Accession Number:** 0001791032
**File Stem:** 0001752724-25-151797
**Filing Date:** 2025-6
**Character Count:** 196149
**Document Hash:** 56c5446ad88156358e22a7c4095f94f8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-151797.hdr.sgml**: 20250623

**ACCESSION NUMBER**: 0001752724-25-151797

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250623

**DATE AS OF CHANGE**: 20250623

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Axonic Funds
- **CENTRAL INDEX KEY:** 0001791032

**ORGANIZATION NAME:**
- **EIN:** 846741378
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23483
- **FILM NUMBER:** 251065470

**BUSINESS ADDRESS:**
- **STREET 1:** 520 MADISON AVENUE
- **STREET 2:** 42ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022
- **BUSINESS PHONE:** 212-259-0475

**MAIL ADDRESS:**
- **STREET 1:** 520 MADISON AVENUE
- **STREET 2:** 42ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022

## Series and Classes Contracts Data

### Axonic Strategic Income Fund (Series ID: S000067475)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000216959 | Class A Shares |  |
| C000216960 | Class I Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AXONIC FUNDS

- **b. Investment Company Act file number:** 811-23483

- **c. CIK number of Registrant:** 0001791032

- **d. LEI of Registrant:** 254900FM4YEIW3TLA840

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

  - **Street Address 1:** 520 MADISON AVENUE

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10022

  - **Telephone number:** 2122590430

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

- **a. Name of Series:** Axonic Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000067475

- **c. LEI of Series:** 254900FM4YEIW3TLA840

**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:** $3177707870.61

**Total Liabilities:** $71539061.37

**Net Assets:** $3106168809.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3720.99851800 | **1-Year:** 33259.17982600 | **5-Year:** 39668.48963100 | **10-Year:** 36197.87337300 | **30-Year:** 0.00000000

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

- **3-Month:** 788.65891900 | **1-Year:** 27894.05619700 | **5-Year:** 31366.09503600 | **10-Year:** 9902.80963900 | **30-Year:** 2908.43940400

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000216960 | 1.06%                | 0.33%                | 0.53%                |
| Class ID C000216959 | -1.29%               | -1.79%               | -1.81%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2622608.37             | $8133058.49                                |
| Month 2  | $-8123362.62             | $4082826.70                                |
| Month 3  | $343975.62               | $-6120997.98                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Corporate High Yield Bond Index

- **Index Identifier:** LF98TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Sapphire Aviation Finance I Limited                                   | Sapphire Aviation Finance II, Ltd.                                          | CUSIP: 80307AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3185236 | PA      | $2945387.45   | 0.09%             | 2040-03-15      | Fixed         | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS 2020-BID Mortgage Trust                                               | CUSIP: 05493BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7490000 | PA      | $7501984.00   | 0.24%             | 2037-10-15      | Floating      | 8.08%                 | Yes           |                  2 | On Loan: No      |
| Bxsc Commercial Mortgage Trust                                        | BXSC Commercial Mortgage Trust 2022-WSS                                     | CUSIP: 05610BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35445000 | PA      | $35639947.50  | 1.15%             | 2027-03-15      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Pga National Resort Commercial Mortgage Trust                         | PGA Trust 2024-RSR2                                                         | CUSIP: 69381CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4910000 | PA      | $4886923.00   | 0.16%             | 2026-06-15      | Floating      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2019-SB66 Mortgage Trust                                              | CUSIP: 30312BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27928479 | PA      | $697055.74    | 0.02%             | 2029-07-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance                                              | Horizon Aircraft Finance II, Ltd.                                           | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | KY        |    674245 | PA      | $650444.58    | 0.02%             | 2039-07-15      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Fhlmc Multifamily Structured Pass Through Certs.                      | Freddie Mac Multifamily Structured Pass Through Certificates                | CUSIP: 3137HBPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8700000 | PA      | $3335580.00   | 0.11%             | 2034-01-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | Copper Hill Sportsmans RT                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   6886809 | PA      | $6760681.40   | 0.22%             | 2027-02-01      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                                         | Recv Irs 0.9130% 05/25/26                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $638708.69    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                                  | PRET 2025-NPL4 LLC                                                          | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17000000 | PA      | $16999996.60  | 0.55%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark 2025-V13 Mortgage Trust                                           | CUSIP: 08164ABJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25109991 | PA      | $25343513.92  | 0.82%             | 2058-02-15      | Variable      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Home Partners Of America Trust                                        | Home Partners of America2021-2 Trust                                        | CUSIP: 43732VAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5760503 | PA      | $5549668.99   | 0.18%             | 2026-12-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Pennymac Corp                                                         | PennyMac Corp.                                                              | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |  10682000 | PA      | $10582657.40  | 0.34%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust                         | JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12             | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3171082 | PA      | $3162836.80   | 0.10%             | 2034-08-05      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2025-RRTL1                                            | CUSIP: 89053JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15750000 | PA      | $15788830.05  | 0.51%             | 2040-02-25      | Variable      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| Prp Advisors, Llc                                                     | PRPM 2024-2 LLC                                                             | CUSIP: 74448BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2818644 | PA      | $2837363.86   | 0.09%             | 2027-03-25      | Variable      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Imperial Fund Llc                                                     | Imperial Fund Mortgage Trust 2020-NQM1                                      | CUSIP: 452760AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4496997 | PA      | $4160784.86   | 0.13%             | 2039-08-15      | Variable      | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust 2024-1                                               | CUSIP: 57108VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3800625.00   | 0.12%             | 2034-07-17      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                               | American Home Mortgage Investment Trust 2006-3                              | CUSIP: 026929AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7615093 | PA      | $2350552.90   | 0.08%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fremf Mortgage Trust                                                  | FREMF 2018-KF49 Mortgage Trust                                              | CUSIP: 30307PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20662824 | PA      | $20578105.96  | 0.66%             | 2025-06-25      | Floating      | 10.45%                | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                   | Bear Stearns Mortgage Funding Trust 2007-AR4                                | CUSIP: 073324AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5041582 | PA      | $4496849.09   | 0.14%             | 2037-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Gkn Sub Ctl Pt Trust Aub                                              | GKN Subordinated CTL Pass-Through Trust/Auburn MI                           | CUSIP: 36175XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7076849 | PA      | $4389061.75   | 0.14%             | 2030-03-15      | Variable      | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Sfave Commercial Mortgage Securities Trust                            | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                        | CUSIP: 78413MAQ1<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   8100000 | PA      | $6573960.00   | 0.21%             | 2043-01-05      | Variable      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Coopr Residential Mortgage Trust                                      | COOPR Residential Mortgage Trust 2025-CES1                                  | CUSIP: 12596SAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.13%             | 2060-05-25      | Variable      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                      | RALI Series 2007-QO5 Trust                                                  | CUSIP: 74924AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9462102 | PA      | $1427560.52   | 0.05%             | 2047-08-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL1                                              | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5539034.05   | 0.18%             | 2029-01-25      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                                                  | Roc Mortgage Trust 2024-RTL1                                                | CUSIP: 77118UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7028478.10   | 0.23%             | 2039-10-25      | Variable      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                      | RALI Series 2006-QS4 Trust                                                  | CUSIP: 749228AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1533138 | PA      | $1093330.40   | 0.04%             | 2036-04-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | Tower Bellflower LLC                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |  18370416 | PA      | $18375927.09  | 0.59%             | 2026-02-01      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                           | Extended Stay America Trust 2021-ESH                                        | CUSIP: 30227FAN0<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-MBS          | CORP              | US        |  42114559 | PA      | $41870294.13  | 1.35%             | 2026-07-15      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| Prp Advisors, Llc                                                     | PRPM 2025-2 LLC                                                             | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7016319.80   | 0.23%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Lehman Xs Trust                                                       | Lehman XS Trust 2007-6                                                      | CUSIP: 52524PAZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6727424 | PA      | $6230914.92   | 0.20%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                               | NYMT Loan Trust Series 2024-BPL2                                            | CUSIP: 67120TAA8<br>LEI: 254900HCG7N4R7AWFZ60 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4033654.00   | 0.13%             | 2039-05-25      | Fixed         | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Commercial Mortgage Trust 2024-KING                                      | CUSIP: 05612RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4935031 | PA      | $4933057.24   | 0.16%             | 2034-05-15      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| GREAT WOLF TRUST 2024-WOLF                                            | Great Wolf Trust 2024-WOLF                                                  | CUSIP: 39152MAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24100000 | PA      | $24090360.00  | 0.78%             | 2039-03-15      | Floating      | 7.96%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust                         | JP Morgan Chase Commercial Mortgage Securities Trust 2022-NLP               | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22454430 | PA      | $22023305.10  | 0.71%             | 2037-04-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Grantor Trust 2024-8                                         | CUSIP: 69544QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16985481 | PA      | $16946414.43  | 0.55%             | 2032-01-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Alphaflow Transitional Mortgage Trust                                 | AlphaFlow Transitional Mortgage Trust 2021-WL1                              | CUSIP: 02079YAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235124 | PA      | $29604.80     | 0.00%             | 2026-01-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                          | Credit Suisse Mortgage Capital Certificates                                 | CUSIP: 126395AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11340000 | PA      | $10293318.00  | 0.33%             | 2037-10-15      | Floating      | 11.09%                | Yes           |                  2 | On Loan: No      |
| Texas Commercial Mortgage Trust                                       | TEXAS Commercial Mortgage Trust 2025-TWR                                    | CUSIP: 88231WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1991000.00   | 0.06%             | 2042-04-15      | Floating      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-RRTL2                                            | CUSIP: 89055JAD7<br>LEI: 254900AXFPBUQ16CX921 | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6017095.80   | 0.19%             | 2039-09-25      | Variable      | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                                           | SMR 2022-IND Mortgage Trust                                                 | CUSIP: 78458MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4578386 | PA      | $4547252.69   | 0.15%             | 2038-06-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing Llc                                           | Hertz Vehicle Financing III LP                                              | CUSIP: 42806MAH2<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4744000.00   | 0.15%             | 2026-12-25      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2021-3                               | CUSIP: 92258RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    596236 | PA      | $451917.56    | 0.01%             | 2031-11-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust                         | JPMCC Multifamily Housing Mortgage Loan Trust 2025-Q032                     | CUSIP: 48129YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9449711 | PA      | $9591456.24   | 0.31%             | 2054-09-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Project Silver                                                        | Project Silver                                                              | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    158915 | PA      | $153384.74    | 0.00%             | 2044-07-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon Jv Trust                                            | Hudsons Bay Simon JV Trust 2015-HBS                                         | CUSIP: 44422PBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2933700.00   | 0.09%             | 2051-02-15      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Libertas Asset Securitization Llc                                     | Libertas Asset Securitization LLC                                           | CUSIP: 529922AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2006400.00   | 0.06%             | 2031-01-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Bravo Residential Funding Trust                                       | BRAVO Residential Funding Trust 2021-NQM1                                   | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2197810 | PA      | $2048467.01   | 0.07%             | 2049-02-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| Intown Mortgage Trust                                                 | INTOWN 2025-STAY Mortgage Trust                                             | CUSIP: 46117WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25000000 | PA      | $24337500.00  | 0.78%             | 2042-03-15      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                                                  | Roc Mortgage Trust 2024-RTL1                                                | CUSIP: 77118UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4242210.60   | 0.14%             | 2039-10-25      | Variable      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust                              | Castlelake Aircraft Structured Trust 2019-1A                                | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |   7715706 | PA      | $7174835.41   | 0.23%             | 2039-04-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Grantor Trust 2024-6 And Pagaya AI Debt Trust 2024-6         | CUSIP: 69548KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8128470 | PA      | $8210567.84   | 0.26%             | 2026-06-15      | Fixed         | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                                  | PRET 2024-NPL6 LLC                                                          | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |   9520099 | PA      | $9614148.73   | 0.31%             | 2027-10-25      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2023-RTL4                                              | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13750000 | PA      | $13892484.38  | 0.45%             | 2028-11-25      | Fixed         | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-1                                                | CUSIP: 89053DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7036173.20   | 0.23%             | 2031-02-25      | Fixed         | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Pennymac Corp                                                         | PennyMac Corp.                                                              | CUSIP: 70932AAG8<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3012721.20   | 0.10%             | 2029-06-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs                                                         | Recv Irs 3.394% 04/03/33                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-578415.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2024-RTL6                           | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23389000 | PA      | $23489278.00  | 0.76%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust 2024-1                                               | CUSIP: 57108VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5300000 | PA      | $5353000.00   | 0.17%             | 2034-07-17      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust                                      | CUSIP: 92257NAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208331 | PA      | $164531.27    | 0.01%             | 2027-03-25      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Sfave Commercial Mortgage Securities Trust                            | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                        | CUSIP: 78413MAN8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   8133239 | PA      | $6799387.80   | 0.22%             | 2043-01-05      | Variable      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Bmo Mortgage Trust                                                    | BMO 2025-5C10 Mortgage Trust                                                | CUSIP: 05615BAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1660400.00   | 0.05%             | 2030-05-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                                           | SMR 2022-IND Mortgage Trust                                                 | CUSIP: 78458MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1831354 | PA      | $1819084.21   | 0.06%             | 2038-06-15      | Floating      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2020-SB74 Mortgage Trust                                              | CUSIP: 30291SAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20428332 | PA      | $596507.29    | 0.02%             | 2030-03-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust 2006-9                                                | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1619223 | PA      | $833981.31    | 0.03%             | 2037-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2024-7                                           | CUSIP: 924925AG5<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3224368.95   | 0.10%             | 2069-09-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust                              | Castlelake Aircraft Structured Trust 2021-1A                                | CUSIP: 14856GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970451 | PA      | $907274.63    | 0.03%             | 2046-01-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Sfave Commercial Mortgage Securities Trust                            | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                        | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |  14945000 | PA      | $13072391.50  | 0.42%             | 2043-01-05      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Achieve Personal Loan Master Pass-through Trust                       | Achieve Personal Loan Master Pass-Through Trust Series 2023-PT1             | CUSIP: 00446KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    322497 | PA      | $174793.12    | 0.01%             | 2053-09-15      | Variable      | 28.82%                | Yes           |                  2 | On Loan: No      |
| Figre Trust                                                           | FIGRE Trust 2024-HE4                                                        | CUSIP: 31684UAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1982932.40   | 0.06%             | 2054-09-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2023-RTL1                                              | CUSIP: 50205NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26353905 | PA      | $26439478.91  | 0.85%             | 2028-01-25      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                                   | CitiMortgage Alternative Loan Trust Series 2007-A2                          | CUSIP: 12566UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1192855 | PA      | $998081.09    | 0.03%             | 2037-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                   | Bear Stearns Mortgage Funding Trust 2006-AR3                                | CUSIP: 07400JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2421402 | PA      | $2232216.31   | 0.07%             | 2036-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Sfave Commercial Mortgage Securities Trust                            | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                        | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   3195000 | PA      | $2733003.00   | 0.09%             | 2043-01-05      | Variable      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Chnge Mortgage Trust                                                  | CHNGE Mortgage Trust 2023-4                                                 | CUSIP: 12569QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5486104 | PA      | $5577760.45   | 0.18%             | 2058-09-25      | Variable      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Dominion Mortgage Trust                                               | Dominion Mortgage Trust 2021-RTL1                                           | CUSIP: 257463AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26185367 | PA      | $25773468.74  | 0.83%             | 2027-07-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Saif Securitization Trust                                             | SAIF Securitization Trust 2024-CES1                                         | CUSIP: 78436VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12308550 | PA      | $12371357.12  | 0.40%             | 2054-07-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust                              | Castlelake Aircraft Structured Trust 2017-1R                                | CUSIP: 14856JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15685810 | PA      | $12187874.25  | 0.39%             | 2041-08-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL4                                              | CUSIP: 50205PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $11994541.20  | 0.39%             | 2027-01-25      | Variable      | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Pga National Resort Commercial Mortgage Trust                         | PGA Trust 2024-RSR2                                                         | CUSIP: 69381CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1990000.00   | 0.06%             | 2039-06-15      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, Llc                                          | Business Jet Securities 2024-2 LLC                                          | CUSIP: 12326TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2581182 | PA      | $2543238.19   | 0.08%             | 2039-09-15      | Fixed         | 7.97%                 | Yes           |                  2 | On Loan: No      |
| Dominion Mortgage Trust                                               | Dominion Mortgage Trust 2021-RTL1                                           | CUSIP: 257463AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3292972.20   | 0.11%             | 2027-07-25      | Fixed         | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                                           | FIGRE Trust 2025-PF1                                                        | CUSIP: 316922AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3955000 | PA      | $3968906.18   | 0.13%             | 2055-06-25      | Variable      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                                        | Avant Credit Card Master Trust                                              | CUSIP: 05351KAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1992200.00   | 0.06%             | 2030-04-15      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Imperial Fund Llc                                                     | Imperial Fund Mortgage Trust 2023-NQM1                                      | CUSIP: 45290BAE9<br>LEI: 984500DDE091107DY398 | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4484387.70   | 0.14%             | 2068-02-25      | Variable      | 8.11%                 | Yes           |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Trust                                      | THPT 2023-THL Mortgage Trust                                                | CUSIP: 87252LAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4844448 | PA      | $4968950.31   | 0.16%             | 2026-12-10      | Variable      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust 2006-7                                                | CUSIP: 52520QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34338479 | PA      | $3818232.78   | 0.12%             | 2036-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-RRTL1                                            | CUSIP: 89054YAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6574006.40   | 0.21%             | 2026-03-25      | Variable      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | UTEX-DEFEASED                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1010904 | PA      | $1008275.92   | 0.03%             | 2049-12-31      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                               | NYMT Loan Trust Series 2024-BPL2                                            | CUSIP: 67120TAC4<br>LEI: 254900HCG7N4R7AWFZ60 | Long             | ABS-MBS          | CORP              | US        |  11250000 | PA      | $11344425.75  | 0.37%             | 2039-05-25      | Fixed         | 8.41%                 | Yes           |                  2 | On Loan: No      |
| Texas Commercial Mortgage Trust                                       | TEXAS Commercial Mortgage Trust 2025-TWR                                    | CUSIP: 88231WAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1635000 | PA      | $1627642.50   | 0.05%             | 2027-03-15      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Bmd2 Re-remic Trust                                                   | BMD2 Re-Remic Trust 2019-FRR1                                               | CUSIP: 055631AZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12585000 | PA      | $9918238.50   | 0.32%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Rithm Capital Corp                                                    | Rithm Capital Corp.                                                         | CUSIP: 64828T706<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EP               | CORP              | US        |    166420 | NS      | $4060648.00   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                                           | SMR 2022-IND Mortgage Trust                                                 | CUSIP: 78458MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5075617 | PA      | $5041610.08   | 0.16%             | 2037-03-15      | Floating      | 8.27%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust                         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP             | CUSIP: 466317AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6414157 | PA      | $6230070.49   | 0.20%             | 2037-04-15      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Hilton Usa Trust                                                      | Hilton USA Trust 2016-HHV                                                   | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9454000.00   | 0.30%             | 2026-11-05      | Variable      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Colt Funding Llc                                                      | COLT 2021-1RMortgage Pass-Through Certificates                              | CUSIP: 19688BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2521924 | PA      | $2220833.65   | 0.07%             | 2065-05-25      | Variable      | 1.42%                 | Yes           |                  2 | On Loan: No      |
| Bcp Trust                                                             | BCP Trust 2021-330N                                                         | CUSIP: 05553BAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $3724140.00   | 0.12%             | 2039-02-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Fhlmc Multifamily Structured Pass Through Certs.                      | Freddie Mac Multifamily Structured Pass Through Certificates                | CUSIP: 3137H9JK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6840000 | PA      | $1744884.00   | 0.06%             | 2032-11-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Bcrr Trust                                                            | BCRR 2016-FRR3 Trust                                                        | CUSIP: 81753WAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24057599 | PA      | $23740039.15  | 0.76%             | 2026-05-26      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Bmo Mortgage Trust                                                    | BMO 2025-5C10 Mortgage Trust                                                | CUSIP: 05615BAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1750000.00   | 0.06%             | 2030-05-15      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2007-5CB                                             | CUSIP: 02150EAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12653055 | PA      | $4825584.30   | 0.16%             | 2037-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                                  | PRET 2024-RN2 LLC                                                           | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-MBS          | CORP              | US        |   4762358 | PA      | $4766214.18   | 0.15%             | 2027-06-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                                                  | Roc Mortgage Trust 2025-RTL1                                                | CUSIP: 77119RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $4250610.84   | 0.14%             | 2040-02-25      | Variable      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS Mortgage Trust 2025-5C34                                              | CUSIP: 07337BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1640200.00   | 0.05%             | 2058-05-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-RRTL1                                            | CUSIP: 89054YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4068636.40   | 0.13%             | 2026-03-25      | Variable      | 9.16%                 | Yes           |                  2 | On Loan: No      |
| Achieve Mortgage                                                      | ACHM Trust 2023-HE2                                                         | CUSIP: 00111NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4998118 | PA      | $5139373.38   | 0.17%             | 2038-10-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                        | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                    | CUSIP: 61790VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2756769.95   | 0.09%             | 2029-04-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                                           | FIGRE Trust 2025-PF1                                                        | CUSIP: 316922AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3010615.20   | 0.10%             | 2055-06-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2023-RTL2                                              | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $15092962.50  | 0.49%             | 2028-06-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                               | United Auto Credit Securitization Trust 2025-1                              | CUSIP: 90945JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8392900.00   | 0.27%             | 2028-01-10      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs                                                         | Receive 3.823% / Pay SOFR 02/13/2034                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $460873.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities                             | Multifamily Connecticut Avenue Securities Trust 2024-01                     | CUSIP: 62548RAB5<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1460760.00   | 0.05%             | 2054-07-25      | Floating      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                              | Rain City Mortgage Trust 2024-RTL1                                          | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $15054552.00  | 0.48%             | 2029-11-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Project Silver                                                        | Project Silver                                                              | CUSIP: 827304AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   6973548 | PA      | $6074657.74   | 0.20%             | 2044-07-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                                                  | Roc Mortgage Trust 2021-RTL1                                                | CUSIP: 77118TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3244914 | PA      | $3229611.56   | 0.10%             | 2052-05-15      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                                           | FIGRE Trust 2025-PF1                                                        | CUSIP: 316922AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5017633.00   | 0.16%             | 2055-06-25      | Variable      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Tlwnd 2019-1                                                          | GAIA Aviation, Ltd.                                                         | CUSIP: 87404LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  13426043 | PA      | $12582887.21  | 0.41%             | 2026-12-15      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2021-R1                                          | CUSIP: 92538BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2111882 | PA      | $2008777.65   | 0.06%             | 2063-10-25      | Variable      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Bxp Trust                                                             | BXP Trust 2021-601L                                                         | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699000 | PA      | $1353933.10   | 0.04%             | 2032-01-15      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Spruce Hill Mortgage Acquisition Company, Llc                         | Spruce Hill Mortgage Loan Trust 2020-SH2                                    | CUSIP: 85214RAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263093 | PA      | $262206.46    | 0.01%             | 2037-03-15      | Variable      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Maps Ltd                                                              | MAPS 2021-1 Trust                                                           | CUSIP: 55292RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174831 | PA      | $167505.69    | 0.01%             | 2046-06-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                              | Benchmark 2025-V13 Mortgage Trust                                           | CUSIP: 08164ABL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8070400.00   | 0.26%             | 2030-01-15      | Variable      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Sfave Commercial Mortgage Securities Trust                            | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                        | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   6497500 | PA      | $5596296.75   | 0.18%             | 2043-01-05      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon Jv Trust                                            | Hudsons Bay Simon JV Trust 2015-HBS                                         | CUSIP: 44422PBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4180300.00   | 0.13%             | 2025-08-05      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Harborview Mortgage Loan Trust                                        | HarborView Mortgage Loan Trust 2006-4                                       | CUSIP: 41161PP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9465862 | PA      | $4694937.13   | 0.15%             | 2046-05-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2025-RTL1                                              | CUSIP: 50205UAD3<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3747602.63   | 0.12%             | 2040-01-25      | Variable      | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Prp Advisors, Llc                                                     | PRPM 2024-4 LLC                                                             | CUSIP: 74390EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10751151 | PA      | $10844192.75  | 0.35%             | 2027-07-25      | Variable      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                                         | Recv Irs 1.9860% 03/21/26                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $145006.79    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fremf Mortgage Trust                                                  | FREMF 2016-KF24 Mortgage Trust                                              | CUSIP: 30295TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2952724 | PA      | $2934416.85   | 0.09%             | 2026-10-25      | Floating      | 9.45%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                   | Bear Stearns Mortgage Funding Trust 2006-AR3                                | CUSIP: 07400HAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302942 | PA      | $279272.52    | 0.01%             | 2036-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Bxsc Commercial Mortgage Trust                                        | BXSC Commercial Mortgage Trust 2022-WSS                                     | CUSIP: 05610BAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $5129070.00   | 0.17%             | 2027-03-15      | Floating      | 9.65%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS Mortgage Trust 2025-5C34                                              | CUSIP: 07337BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1774850.00   | 0.06%             | 2058-05-15      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2021-SB83 Mortgage Trust                                              | CUSIP: 30318NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27076426 | PA      | $767402.78    | 0.02%             | 2041-01-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-investor Abs Trust                         | Center Street Lending Resi-Investor ABS Mortgage Trust 2024-RTL1            | CUSIP: 15169CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10526000 | PA      | $10719064.73  | 0.35%             | 2027-05-25      | Variable      | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-24CB                                            | CUSIP: 02146TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5039842 | PA      | $2085742.65   | 0.07%             | 2036-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Coopr Residential Mortgage Trust                                      | COOPR Residential Mortgage Trust 2025-CES1                                  | CUSIP: 12596SAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.16%             | 2060-05-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Bcp Trust                                                             | BCP Trust 2021-330N                                                         | CUSIP: 05553BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2389270 | PA      | $1719557.62   | 0.06%             | 2039-02-15      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2023-RTL3                                              | CUSIP: 50205TAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3010315.50   | 0.10%             | 2028-08-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc                          | Banc of America Re-Remic Trust                                              | CUSIP: 05942XAG2<br>LEI: 549300MWBLMUUG6B8094 | Long             | ABS-MBS          | CORP              | US        |   9155000 | PA      | $5480183.00   | 0.18%             | 2032-02-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fremf Mortgage Trust                                                  | FREMF 2018-KF49 Mortgage Trust                                              | CUSIP: 30307PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4849698 | PA      | $4840483.76   | 0.16%             | 2025-06-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Selection Trust                                              | CUSIP: 69545AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12788760 | PA      | $12917926.92  | 0.42%             | 2031-12-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Fat Brands Royalty I, Llc                                             | FAT Brands Royalty LLC                                                      | CUSIP: 31189TAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3860000 | PA      | $3464350.00   | 0.11%             | 2026-07-25      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust 2007-2                                                | CUSIP: 52521DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24989148 | PA      | $4286066.25   | 0.14%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ncmf Trust                                                            | NCMF Trust 2022-MFP                                                         | CUSIP: 628870AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12600000 | PA      | $12321540.00  | 0.40%             | 2039-03-15      | Floating      | 9.45%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential 2022-SFR1 Trust                                        | CUSIP: 74333YAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1864774.40   | 0.06%             | 2029-02-17      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                                    | Freddie Mac Multifamily Structured Credit Risk                              | CUSIP: 35563FAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2065400.00   | 0.07%             | 2051-01-25      | Floating      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2021-1                               | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655964 | PA      | $1003251.76   | 0.03%             | 2031-03-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2022-1                               | CUSIP: 92258XAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3418937 | PA      | $2406013.03   | 0.08%             | 2032-06-25      | Variable      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                                 | Cantor Commercial Real Estate Lending 2019-CF1                              | CUSIP: 12529MDH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $388240.00    | 0.01%             | 2026-08-25      | Variable      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                   | Starwood Mortgage Residential Trust 2021-2                                  | CUSIP: 85573HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    634356 | PA      | $598664.98    | 0.02%             | 2065-05-25      | Variable      | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Funding Corporation                                   | Banc of America Funding 2015-R2 Trust                                       | CUSIP: 05990TBE6<br>LEI: 549300FIDVENGSO4CW78 | Long             | ABS-MBS          | CORP              | US        |  10209234 | PA      | $9147863.78   | 0.29%             | 2027-07-27      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2024-3                                                 | CUSIP: 69547XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19962107 | PA      | $20099845.56  | 0.65%             | 2026-03-15      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                      | Countrywide Alternative Loan                                                | CUSIP: 02151HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6534471 | PA      | $2686601.19   | 0.09%             | 2037-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                           | CUSIP: 79581RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4796354 | PA      | $4697946.24   | 0.15%             | 2052-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Merchants Bank Of Indiana Multifamily Housing Mortgage Loan Trust     | Merchants Bank of Indiana Multifamily Housing Mortgage Loan Trust 2024-Q025 | CUSIP: 58849RAC7<br>LEI: 549300WRDGBHKR1BXL98 | Long             | ABS-MBS          | CORP              | US        |  16232000 | PA      | $16232000.00  | 0.52%             | 2030-12-25      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS Mortgage Trust 2023-5C23                                              | CUSIP: 05493QAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4079000 | PA      | $3865260.40   | 0.12%             | 2056-12-15      | Variable      | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Comm Mortgage Trust                                                   | COMM 2019-GC44 Mortgage Trust                                               | CUSIP: 12655TAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9155000 | PA      | $8456473.50   | 0.27%             | 2038-12-15      | Variable      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| Sb Multifamily Repack Trust Series 2020-frr1                          | SB Multifamily Repack Trust                                                 | CUSIP: 78397JAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11078488 | PA      | $10963272.04  | 0.35%             | 2039-03-27      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Clicklease Equipment Receivables 2024-1 Trust                         | ClickLease Equipment Receivables 2024-1 Trust                               | CUSIP: 18682FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9560000 | PA      | $9733992.00   | 0.31%             | 2030-02-15      | Fixed         | 8.40%                 | Yes           |                  2 | On Loan: No      |
| Sfave Commercial Mortgage Securities Trust                            | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                        | CUSIP: 78413MAL2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   4991000 | PA      | $4234863.50   | 0.14%             | 2043-01-05      | Variable      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Fs Trust                                                              | FS Trust 2024-HULA                                                          | CUSIP: 30338DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5046000.00   | 0.16%             | 2039-08-15      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                                    | Freddie Mac Mscr Trust Mn8                                                  | CUSIP: 35563RAB1<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGA              | US        |   2300000 | PA      | $2452030.00   | 0.08%             | 2044-05-25      | Floating      | 8.60%                 | Yes           |                  2 | On Loan: No      |
| Hilton Usa Trust                                                      | HILT Commercial Mortgage Trust 2024-ORL                                     | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2005600.00   | 0.06%             | 2026-05-15      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2022-2                               | CUSIP: 92259UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3212464 | PA      | $2623619.21   | 0.08%             | 2052-04-25      | Variable      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Commercial Mortgage Trust 2024-MF                                        | CUSIP: 05612EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88545 | PA      | $89200.73     | 0.00%             | 2026-02-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS 2018-TALL Mortgage Trust                                              | CUSIP: 05548WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3312000 | PA      | $2916216.00   | 0.09%             | 2055-06-25      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Hsi Asset Securitization Corporation Trust                            | HSI Asset Securitization Corp. Trust 2007-NC1                               | CUSIP: 40430TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4311142 | PA      | $2737176.64   | 0.09%             | 2037-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2007-2CB                                             | CUSIP: 02149HAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566309 | PA      | $641951.05    | 0.02%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Prkcm Trust                                                           | PRKCM 2023-AFC1 Trust                                                       | CUSIP: 693981AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1021861 | PA      | $1026441.96   | 0.03%             | 2027-02-25      | Variable      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                | Residential Asset Securitization Trust 2007-A1                              | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3533606 | PA      | $1095072.74   | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                              | Rain City Mortgage Trust 2024-RTL1                                          | CUSIP: 75079KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10042921.00  | 0.32%             | 2029-11-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                   | Homeward Opportunities Fund Trust 2025-RRTL1                                | CUSIP: 437919AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6100000 | PA      | $6096910.96   | 0.20%             | 2040-03-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Bcap Llc Trust                                                        | BCAP LLC 2010-RR5-I Trust                                                   | CUSIP: 05532UAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8543954 | PA      | $4340366.21   | 0.14%             | 2037-04-26      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                | Residential Asset Securitization Trust 2006-R1                              | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9893115 | PA      | $2571397.74   | 0.08%             | 2046-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2022-1                                           | Boston Lending Trust 2022-1                                                 | CUSIP: 10084LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2731770 | PA      | $2307526.10   | 0.07%             | 2027-02-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Flexential Issuer, Llc                                                | Flexential Issuer 2021-1                                                    | CUSIP: 33938MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3873600.00   | 0.12%             | 2051-11-27      | Fixed         | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                      | RALI Series 2006-QS2 Trust                                                  | CUSIP: 761118UV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970542 | PA      | $3833313.97   | 0.12%             | 2036-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL5                                              | CUSIP: 50205WAD9<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   6900000 | PA      | $6884986.98   | 0.22%             | 2039-09-25      | Variable      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL5                                              | CUSIP: 50205WAC1<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   9400000 | PA      | $9253859.14   | 0.30%             | 2039-09-25      | Variable      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Limited/ Us Llc                            | Thunderbolt III Aircraft Lease, Ltd.                                        | CUSIP: 88607AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  10489473 | PA      | $8589829.57   | 0.28%             | 2039-11-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Figre Trust                                                           | FIGRE Trust 2024-HE4                                                        | CUSIP: 31684UAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $980038.90    | 0.03%             | 2054-09-25      | Variable      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                                                  | Roc Mortgage Trust 2025-RTL1                                                | CUSIP: 77119RAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5061027.00   | 0.16%             | 2040-02-25      | Variable      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| Saif Securitization Trust                                             | SAIF Securitization Trust 2024-CES1                                         | CUSIP: 78436VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3036000 | PA      | $3030213.99   | 0.10%             | 2054-07-25      | Variable      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust                              | Castlelake Aircraft Structured Trust 2019-1A                                | CUSIP: 14855MAB4<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |   2422091 | PA      | $2116907.64   | 0.07%             | 2039-04-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2022-2                                                 | CUSIP: 69546VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125863 | PA      | $1126538.68   | 0.04%             | 2030-01-15      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust 2021-FRR1                                    | CUSIP: 12529YBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24870000 | PA      | $21972645.00  | 0.71%             | 2029-09-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2025-RRTL1                                            | CUSIP: 89053JAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3011385.30   | 0.10%             | 2027-03-25      | Variable      | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Massage Envy                                                          | ME Funding LLC                                                              | CUSIP: 55282GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11258777 | PA      | $11191224.81  | 0.36%             | 2054-04-30      | Fixed         | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Fhlmc Multifamily Structured Pass Through Certs.                      | Freddie Mac Multifamily Structured Pass Through Certificates                | CUSIP: 3137H9UG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11437000 | PA      | $3475704.30   | 0.11%             | 2033-01-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-RRTL2                                            | CUSIP: 89055JAB1<br>LEI: 254900AXFPBUQ16CX921 | Long             | ABS-MBS          | CORP              | US        |  13875000 | PA      | $13832449.54  | 0.45%             | 2039-09-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Bmd2 Re-remic Trust                                                   | BMD2 Re-Remic Trust 2019-FRR1                                               | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4803600.00   | 0.15%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Freed Abs Trust                                                       | FREED ABS Trust 2022-1FP                                                    | CUSIP: 35633KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1752322 | PA      | $1736726.02   | 0.06%             | 2029-03-19      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2024-2                                                 | CUSIP: 694961AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2276176 | PA      | $2284597.49   | 0.07%             | 2031-08-15      | Variable      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, Inc.                             | RAMP Series 2007-RS1 Trust                                                  | CUSIP: 74923RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32244743 | PA      | $6752349.06   | 0.22%             | 2037-02-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                                         | Recv Irs 2.6880% 05/13/26                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $40560.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Smr 2022-ind Mortgage Trust                                           | SMR 2022-IND Mortgage Trust                                                 | CUSIP: 78458MAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10347152 | PA      | $10274721.65  | 0.33%             | 2038-06-15      | Floating      | 9.32%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, Llc                                          | Business Jet Securities 2024-1 LLC                                          | CUSIP: 12327CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8764555 | PA      | $8916181.67   | 0.29%             | 2039-05-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Trust 2023-DELC                                                          | CUSIP: 05610DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5984400.00   | 0.19%             | 2038-05-15      | Floating      | 9.61%                 | Yes           |                  2 | On Loan: No      |
| Solrr Aircraft 2021-1 Limited                                         | Lunar 2021-1 Structured Aircraft Portfolio Notes                            | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   5729971 | PA      | $5382734.70   | 0.17%             | 2046-10-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Us Treasury N/b                                                       | U.S. Treasury Note                                                          | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $103585940.00 | 3.33%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization Trust                                    | Willis Engine Structured Trust IV                                           | CUSIP: 97064EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2813635 | PA      | $2806038.14   | 0.09%             | 2026-09-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Bcp Trust                                                             | BCP Trust 2021-330N                                                         | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15300000 | PA      | $7374600.00   | 0.24%             | 2039-02-15      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2023-6                                                 | CUSIP: 69547UAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2693715 | PA      | $2708260.61   | 0.09%             | 2031-06-16      | Variable      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust                         | JP Morgan Chase Commercial Mortgage Securities Trust 2022-NLP               | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3606377 | PA      | $3552641.73   | 0.11%             | 2027-04-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset                                  | Merrill Lynch Alternative Note Asset Trust Series 2007-AF1                  | CUSIP: 59024KAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16094736 | PA      | $2394677.90   | 0.08%             | 2037-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Mcr Mortgage Trust                                                    | MCR 2024-TWA Mortgage Trust                                                 | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25000000 | PA      | $25407500.00  | 0.82%             | 2039-06-12      | Fixed         | 8.72%                 | Yes           |                  2 | On Loan: No      |
| Fidelis Mortgage Trust                                                | Fidelis Mortgage Trust 2025-RTL1                                            | CUSIP: 31575LAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1751009.40   | 0.06%             | 2040-02-27      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2025-RTL1                            | CUSIP: 92262GAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5863000 | PA      | $5890106.41   | 0.19%             | 2030-03-25      | Fixed         | 8.52%                 | Yes           |                  2 | On Loan: No      |
| Dominion Mortgage Trust                                               | Dominion Mortgage Trust 2025-RTL1                                           | CUSIP: 25746DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4028670.80   | 0.13%             | 2027-09-25      | Variable      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs                                                         | Recv Irs 2.8285% 08/05/25                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $8130.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bmd2 Re-remic Trust                                                   | BMD2 Re-Remic Trust 2019-FRR1                                               | CUSIP: 055631BX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6619500 | PA      | $4844150.10   | 0.16%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Falcon Aerospace Ltd                                                  | Falcon 2019-1 Aerospace, Ltd.                                               | CUSIP: 30610GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1031727 | PA      | $953315.76    | 0.03%             | 2026-09-15      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Cps Auto Trust                                                        | CPS Auto Receivables Trust 2023-A                                           | CUSIP: 12664LAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5486500.00   | 0.18%             | 2027-02-16      | Fixed         | 10.59%                | Yes           |                  2 | On Loan: No      |
| Jw Commercial Mortgage Trust 2024-mrco                                | JW Commercial Mortgage Trust 2024-MRCO                                      | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9978000.00   | 0.32%             | 2026-06-15      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Bcp Trust                                                             | BCP Trust 2021-330N                                                         | CUSIP: 05553BAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8500000 | PA      | $1844500.00   | 0.06%             | 2026-08-25      | Floating      | 9.07%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS 2020-BID Mortgage Trust                                               | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9516000 | PA      | $9539790.00   | 0.31%             | 2037-10-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                      | Vista Point Securitization Trust Series 2024-CES2                           | CUSIP: 92841YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990050.80    | 0.03%             | 2054-10-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2020-FACT                                                        | Credit Suisse Commercial Mortgage Trust 2020-FACT E                         | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1745000 | PA      | $1592312.50   | 0.05%             | 2025-10-15      | Floating      | 9.80%                 | Yes           |                  2 | On Loan: No      |
| Chnge Mortgage Trust                                                  | CHNGE Mortgage Trust 2023-2                                                 | CUSIP: 169926AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    952834 | PA      | $957087.39    | 0.03%             | 2058-06-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                                         | Recv Irs 2.5045% 04/19/26                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $24083.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2021-SB84 Mortgage Trust                                              | CUSIP: 30320WAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25289832 | PA      | $576471.61    | 0.02%             | 2041-01-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| A&d Mortgage Trust                                                    | A&D Mortgage Trust 2023-NQM5                                                | CUSIP: 00249XAE8<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2996137.80   | 0.10%             | 2068-11-25      | Variable      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase & Co.                                               | Recv Irs 2.8775% 08/05/25                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $7878.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL3                                              | CUSIP: 50205GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10500000 | PA      | $10588063.50  | 0.34%             | 2026-12-25      | Fixed         | 8.37%                 | Yes           |                  2 | On Loan: No      |
| Flexential Issuer, Llc                                                | Flexential Issuer 2021-1                                                    | CUSIP: 33938MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7934000 | PA      | $7515084.80   | 0.24%             | 2051-11-27      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2024-RTL5                           | CUSIP: 795935AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2558852.75   | 0.08%             | 2030-04-25      | Fixed         | 12.95%                | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-24CB                                            | CUSIP: 02146TAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2325595 | PA      | $945801.94    | 0.03%             | 2036-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fat Brands Gfg Royalty Llc                                            | FAT Brands GFG Royalty I LLC                                                | CUSIP: 31189WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8853875 | PA      | $7991507.58   | 0.26%             | 2036-12-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Wcore Commercial Mortgage Trust                                       | WCORE Commercial Mortgage Trust 2024-CORE                                   | CUSIP: 951913AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1983800.00   | 0.06%             | 2026-11-15      | Floating      | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2025-RTL2                                              | CUSIP: 50206RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4999909.50   | 0.16%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint 2021-B Asset Securitization Trust                              | CUSIP: 52607HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $790800.00    | 0.03%             | 2034-08-05      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL2                                              | CUSIP: 50205JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $4136369.46   | 0.13%             | 2026-10-25      | Fixed         | 8.90%                 | Yes           |                  2 | On Loan: No      |
| Jp Morgan Chase Commercial Mortgage Sec Trust                         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5            | CUSIP: 46649WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $7466250.00   | 0.24%             | 2030-03-15      | Floating      | 6.86%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                        | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                    | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6014811.60   | 0.19%             | 2029-04-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                   | Bear Stearns Mortgage Funding Trust 2007-AR2                                | CUSIP: 07401TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5690207 | PA      | $5087291.59   | 0.16%             | 2037-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2022-1                               | CUSIP: 92258XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2009350 | PA      | $1324723.62   | 0.04%             | 2033-08-25      | Variable      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, Llc                                          | Business Jet Securities 2024-1 LLC                                          | CUSIP: 12327CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1514899 | PA      | $1526867.10   | 0.05%             | 2039-05-15      | Fixed         | 9.13%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                  | Deephaven Residential Mortgage Trust 2021-1                                 | CUSIP: 24380VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1623311 | PA      | $1540017.98   | 0.05%             | 2065-05-25      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| A&d Mortgage Trust                                                    | A&D Mortgage Trust 2024-NQM4                                                | CUSIP: 002939AF3<br>LEI: 98450000E04EA82B8915 | Long             | ABS-MBS          | CORP              | US        |   6800000 | PA      | $6729775.04   | 0.22%             | 2069-08-25      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                   | Tower Bellflower LLC                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1700000 | PA      | $1700510.00   | 0.05%             | 2026-02-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                                  | Castlelake Aircraft Securitization Trust 2018-1                             | CUSIP: 14856CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4334216 | PA      | $3986178.00   | 0.13%             | 2043-06-15      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Bravo Residential Funding Trust                                       | BRAVO Residential Funding Trust 2021-NQM1                                   | CUSIP: 10569TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701163 | PA      | $653844.29    | 0.02%             | 2049-02-25      | Variable      | 1.33%                 | Yes           |                  2 | On Loan: No      |
| Rwt Holdings Inc                                                      | RWT Holdings, Inc.                                                          | CUSIP: 749772AD1<br>LEI: Z31FN4C0IQMCYFAEUP31 | Long             | DBT              | CORP              | US        |  11300000 | PA      | $11264970.00  | 0.36%             | 2025-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust                                        | Avant Credit Card Master Trust                                              | CUSIP: 05351KAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5069000.00   | 0.16%             | 2030-04-15      | Fixed         | 8.80%                 | Yes           |                  2 | On Loan: No      |
| Mfra Trust                                                            | MFA 2024-NQM2 Trust                                                         | CUSIP: 58004JAF9<br>LEI: 254900MMVXALAH2X8D73 | Long             | ABS-MBS          | CORP              | US        |   5448000 | PA      | $5376262.37   | 0.17%             | 2069-08-25      | Variable      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Hltn Commercial Mortgage Trust 2024-dplo                              | HLTN Commercial Mortgage Trust 2024-DPLO                                    | CUSIP: 40424UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $15561600.00  | 0.50%             | 2026-06-15      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Lehman Xs Trust                                                       | Lehman XS Trust 2007-6                                                      | CUSIP: 52524PAY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3171761 | PA      | $2917785.91   | 0.09%             | 2037-05-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                   | New Residential Mortgage Loan Trust 2022-SFR1                               | CUSIP: 64831KAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4723563.00   | 0.15%             | 2027-02-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                  | Cross 2024-H6 Mortgage Trust                                                | CUSIP: 227919AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079000 | PA      | $1073552.24   | 0.03%             | 2069-09-25      | Variable      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2021-R1                                          | CUSIP: 92538BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    881894 | PA      | $837853.81    | 0.03%             | 2063-10-25      | Variable      | 1.06%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2022-SB95 Mortgage Trust                                              | CUSIP: 35802DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 112466202 | PA      | $1394997.03   | 0.04%             | 2041-11-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                      | First Investors Auto Owner Trust 2021-1A                                    | CUSIP: 32059FAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1270000 | PA      | $1267841.00   | 0.04%             | 2028-04-17      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Gcat                                                                  | GCAT2021-NQM4 Trust                                                         | CUSIP: 36168HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543321 | PA      | $448988.30    | 0.01%             | 2066-08-25      | Variable      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL3                                              | CUSIP: 50205GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1259581.88   | 0.04%             | 2026-12-25      | Fixed         | 10.73%                | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                              | Government National Mortgage Association                                    | CUSIP: 38380JNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  68100247 | PA      | $2533329.20   | 0.08%             | 2059-03-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Navigator Aviation Ltd                                                | Navigator 2024-1 Aviation, Ltd.                                             | CUSIP: 63943DAB5<br>LEI: 984500UF8C3O89B30652 | Long             | ABS-O            | CORP              | KY        |   1904762 | PA      | $1925333.43   | 0.06%             | 2049-08-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Hyt Commercial Mortgage Trust 2024-rgcy                               | HYT Commercial Mortgage Trust 2024-RGCY                                     | CUSIP: 449173AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17900000 | PA      | $17679830.00  | 0.57%             | 2026-09-15      | Floating      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Trust 2022-IND                                                           | CUSIP: 05609WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10500000 | PA      | $10545150.06  | 0.34%             | 2027-04-15      | Floating      | 8.31%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2021-R3                                          | CUSIP: 92538EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17867842 | PA      | $16575482.33  | 0.53%             | 2064-04-25      | Variable      | 1.02%                 | Yes           |                  2 | On Loan: No      |
| Twin Hospitality Llc                                                  | Twin Hospitality I LLC                                                      | CUSIP: 90164DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6467500 | PA      | $5853734.25   | 0.19%             | 2027-10-25      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2024-RTL5                           | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30500000 | PA      | $30736683.05  | 0.99%             | 2030-04-25      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-18CB                                            | CUSIP: 02147FAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23567829 | PA      | $8693505.25   | 0.28%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Legends Outlets (kansas City, Ks) Mortgage Secured Pass-through Trust | Legends Outlets Kansas City KS Mortgage Secured Pass-Through Trust          | CUSIP: 524947AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5401000 | PA      | $5471213.00   | 0.18%             | 2039-11-05      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Sg Capital Partners                                                   | SG Residential Mortgage Trust 2019-3                                        | CUSIP: 78432BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75610 | PA      | $75187.60     | 0.00%             | 2059-09-25      | Variable      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Trust                                      | THPT 2023-THL Mortgage Trust                                                | CUSIP: 87252LAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9158000 | PA      | $8777027.20   | 0.28%             | 2026-12-10      | Variable      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                                    | TVC Mortgage Trust 2024-RRTL1                                               | CUSIP: 87306WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1993810.60   | 0.06%             | 2027-02-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Mrcd Mortgage Trust                                                   | MRCD 2019-MARK Mortgage Trust                                               | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8944000 | PA      | $5256774.29   | 0.17%             | 2051-07-25      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Fat Brands Gfg Royalty Llc                                            | FAT Brands GFG Royalty I LLC                                                | CUSIP: 31189WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23693645 | PA      | $22080107.78  | 0.71%             | 2038-12-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I, Llc                                     | FAT Brands Fazoli's Native I LLC                                            | CUSIP: 31200BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1930000 | PA      | $1927298.00   | 0.06%             | 2051-07-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Gs Mortgage-backed Securities Trust                                   | GS Mortgage-Backed Securities Trust                                         | CUSIP: 36262EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $747535.40    | 0.02%             | 2061-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Intown Mortgage Trust                                                 | INTOWN 2025-STAY Mortgage Trust                                             | CUSIP: 46117WAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $10672200.00  | 0.34%             | 2042-03-15      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Bank                                                                  | BANK 2019-BNK17                                                             | CUSIP: 065403AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1849000 | PA      | $1470324.80   | 0.05%             | 2029-04-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust 2020-01               | Multifamily Connecticut Avenue Securities 2020-01                           | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |  12930004 | PA      | $13290751.37  | 0.43%             | 2050-03-25      | Floating      | 8.22%                 | Yes           |                  2 | On Loan: No      |
| Fhlmc Multifamily Structured Pass Through Certs.                      | Freddie Mac Multifamily Structured Pass Through Certificates                | CUSIP: 3137H9PE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19488345 | PA      | $5402169.23   | 0.17%             | 2033-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-1                                                | CUSIP: 89053DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20000000 | PA      | $20045316.00  | 0.65%             | 2031-02-25      | Fixed         | 7.33%                 | Yes           |                  2 | On Loan: No      |
| The Baha Trust                                                        | BAHA Trust 2024-MAR                                                         | CUSIP: 05493XAC4<br>LEI: XLEZHWWOI4HFQDGL4793 | Long             | ABS-MBS          | CORP              | US        | 284500000 | PA      | $3186400.00   | 0.10%             | 2029-12-10      | Variable      | 0.36%                 | Yes           |                  2 | On Loan: No      |
| Fremf Mortgage Trust                                                  | FREMF 2019-KL05 Mortgage Trust                                              | CUSIP: 30311NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28878000 | PA      | $24419236.80  | 0.79%             | 2029-06-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Cali Mortgage Trust                                                   | Cali 2024-Sun                                                               | CUSIP: 12988DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11900000 | PA      | $11920230.00  | 0.38%             | 2041-07-15      | Floating      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-42                                              | CUSIP: 02148YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6171867 | PA      | $2607226.77   | 0.08%             | 2047-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| A&d Mortgage Trust                                                    | A&D Mortgage Trust 2024-NQM1                                                | CUSIP: 00039GAE9<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |   3017000 | PA      | $3025630.43   | 0.10%             | 2069-02-25      | Variable      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                                    | Freddie Mac Mscr Trust Mn8                                                  | CUSIP: 35563RAA3<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | USGA              | US        |  12012466 | PA      | $12126584.44  | 0.39%             | 2044-05-25      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Commercial Mortgage Trust 2024-KING                                      | CUSIP: 05612RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4851136 | PA      | $4849195.26   | 0.16%             | 2034-05-15      | Floating      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| Tpg Re Finance Trust Inc                                              | TPG RE Finance Trust, Inc.                                                  | CUSIP: 87266M206<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    120705 | NS      | $2096645.85   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Hudsons Bay Simon Jv Trust                                            | Hudsons Bay Simon JV Trust                                                  | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5291640 | PA      | $5250894.73   | 0.17%             | 2029-02-15      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                   | Starwood Mortgage Residential Trust 2019-INV1                               | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3790071 | PA      | $3719808.96   | 0.12%             | 2049-09-27      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX 2022-MVRK Mortgage Trust                                                 | CUSIP: 05610JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12439256 | PA      | $12145689.41  | 0.39%             | 2027-03-15      | Floating      | 9.93%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon Jv Trust                                            | Hudsons Bay Simon JV Trust 2015-HBS                                         | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2764207 | PA      | $2728272.31   | 0.09%             | 2025-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| A&d Mortgage Trust                                                    | ADMT 2024-NQM6                                                              | CUSIP: 00249YAF3<br>LEI: 984500ZC5CFCDPFA8942 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5025773.50   | 0.16%             | 2070-01-25      | Variable      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                                          | Upstart Securitization Trust 2021-2                                         | CUSIP: 91680FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1966902 | PA      | $1951363.63   | 0.06%             | 2031-06-20      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2025-RRTL1                                            | CUSIP: 89053JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4015478.00   | 0.13%             | 2040-02-25      | Variable      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                   | Bear Stearns Mortgage Funding Trust 2007-AR5                                | CUSIP: 07400NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1834497 | PA      | $1611663.79   | 0.05%             | 2037-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse                                                         | Recv Irs 0.7335% 08/05/26                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1930160.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-1                                                | CUSIP: 89053DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6037351.20   | 0.19%             | 2031-02-25      | Fixed         | 12.54%                | Yes           |                  2 | On Loan: No      |
| Rmf Proprietary Issuance Trust                                        | RMF Proprietary Issuance Trust 2022-1                                       | CUSIP: 74969XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4227000.00   | 0.14%             | 2028-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2025-RTL1                                              | CUSIP: 50205UAC5<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5922176.40   | 0.19%             | 2040-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans                                                | CHL Mortgage Pass-Through Trust 2007-4                                      | CUSIP: 12544RCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215639 | PA      | $746346.83    | 0.02%             | 2037-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Chnge Mortgage Trust                                                  | CHNGE Mortgage Trust 2023-3                                                 | CUSIP: 17030AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4010692 | PA      | $4051737.90   | 0.13%             | 2058-07-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Shenton Aircraft Investment Ltd                                       | Shenton Aircraft Investment I, Ltd.                                         | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |   2065205 | PA      | $2004900.53   | 0.06%             | 2042-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2025-RTL1                            | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17806000 | PA      | $17876492.17  | 0.58%             | 2030-03-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs                                                         | Recv Irs 3.775% 04/24/33                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-643338.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2021-R3                                          | CUSIP: 92538EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2542594.50   | 0.08%             | 2064-04-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2024-RTL6                           | CUSIP: 79585UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12250000 | PA      | $12289090.98  | 0.40%             | 2030-07-25      | Variable      | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                                                      | Great Wolf Trust 2024-WOLF                                                  | CUSIP: 39152MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600000 | PA      | $7597720.00   | 0.24%             | 2029-03-15      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2024-2                                                 | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10189243 | PA      | $10269738.16  | 0.33%             | 2031-08-15      | Fixed         | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                                  | PRET 2024-NPL3 LLC                                                          | CUSIP: 69391UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7293097 | PA      | $7300088.96   | 0.24%             | 2027-04-25      | Variable      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Roc Securities Trust                                                  | Roc Mortgage Trust 2021-RTL1                                                | CUSIP: 77118TAC7<br>LEI: 549300IBVH6A13CK6E15 | Long             | ABS-MBS          | CORP              | US        |   6745000 | PA      | $6623861.15   | 0.21%             | 2038-06-15      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2021-SB82 Mortgage Trust                                              | CUSIP: 30318CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42140987 | PA      | $1048855.46   | 0.03%             | 2040-10-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan                                                           | Recv Irs 3.5995 10/11/34                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-47704.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc Of America Funding Corporation                                   | Banc of America Funding 2006 8T2 Trust                                      | CUSIP: 05951UAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1482574 | PA      | $1285386.28   | 0.04%             | 2036-10-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                               | NYMT Loan Trust Series 2024-BPL3                                            | CUSIP: 67119RAC1<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   8700000 | PA      | $8695277.64   | 0.28%             | 2039-09-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2020-SB79 Mortgage Trust                                              | CUSIP: 30316VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14521034 | PA      | $561943.68    | 0.02%             | 2040-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limited                                      | Pioneer Aircraft Finance, Ltd.                                              | CUSIP: 72353PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   9937938 | PA      | $9491724.90   | 0.31%             | 2044-06-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| A&d Mortgage Trust                                                    | ADMT 2024-NQM6                                                              | CUSIP: 00249YAE6<br>LEI: 984500ZC5CFCDPFA8942 | Long             | ABS-MBS          | CORP              | US        |   3641879 | PA      | $3655947.08   | 0.12%             | 2070-01-25      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Horizon Aircraft Finance                                              | Horizon Aircraft Finance I, Ltd.                                            | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2961038 | PA      | $2858585.61   | 0.09%             | 2025-12-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL2                                              | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14306000 | PA      | $14456570.65  | 0.47%             | 2026-10-25      | Fixed         | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                                          | Upstart Securitization Trust 2023-2                                         | CUSIP: 91683VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360484 | PA      | $1361436.25   | 0.04%             | 2026-01-20      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| A&d Mortgage Trust                                                    | A&D Mortgage Trust 2024-NQM4                                                | CUSIP: 002939AH9<br>LEI: 98450000E04EA82B8915 | Long             | ABS-MBS          | CORP              | US        |   2572667 | PA      | $2532099.13   | 0.08%             | 2069-08-25      | Variable      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Redwood Trust Inc                                                     | Redwood Trust, Inc.                                                         | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               | CORP              | US        |     44220 | NS      | $274606.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bxsc Commercial Mortgage Trust                                        | BXSC Commercial Mortgage Trust 2022-WSS                                     | CUSIP: 05610BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $10033000.00  | 0.32%             | 2027-03-15      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                      | Vista Point Securitization Trust Series 2024-CES2                           | CUSIP: 92841YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506000 | PA      | $1502151.72   | 0.05%             | 2054-10-25      | Variable      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities                             | Multifamily Connecticut Avenue Securities                                   | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | USGA              | US        |   1734302 | PA      | $1761530.56   | 0.06%             | 2049-10-25      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-40T1                                            | CUSIP: 02148KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4192460 | PA      | $2092239.42   | 0.07%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fs Commerical Mortgage Trust 2023-4szn                                | FS Commercial Mortgage Trust 2023-4SZN                                      | CUSIP: 30334RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15740000 | PA      | $16569498.00  | 0.53%             | 2039-11-10      | Variable      | 10.76%                | Yes           |                  2 | On Loan: No      |
| Dc Commercial Mortgage Trust                                          | DC Trust 2024-HLTN                                                          | CUSIP: 24022FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2439000 | PA      | $2511194.40   | 0.08%             | 2028-04-13      | Variable      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities                             | Multifamily Connecticut Avenue Securities Trust 2023-01                     | CUSIP: 62548NAB4<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5602000.00   | 0.18%             | 2053-11-25      | Floating      | 10.85%                | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                               | American Home Mortgage Investment Trust 2007-1                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14372343 | PA      | $7842723.09   | 0.25%             | 2047-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS 2018-TALL Mortgage Trust                                              | CUSIP: 05548WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4760000 | PA      | $3832752.00   | 0.12%             | 2039-02-15      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Start Ltd.                                                            | Start II, Ltd.                                                              | CUSIP: 85573LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   1745619 | PA      | $1741255.11   | 0.06%             | 2044-03-15      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                          | CSMC 2020-FACT                                                              | CUSIP: 126395AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4806000.00   | 0.15%             | 2037-10-15      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Cim Trust                                                             | CIM Trust 2025-NR1                                                          | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22127230 | PA      | $21363021.68  | 0.69%             | 2064-06-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                                                            | Affirm Asset Securitization Trust 2024-X1                                   | CUSIP: 00834XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1509450.00   | 0.05%             | 2029-05-15      | Fixed         | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities Llc                           | BBCMS 2020-BID Mortgage Trust                                               | CUSIP: 05493BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9800000 | PA      | $9807840.00   | 0.32%             | 2037-10-15      | Floating      | 9.07%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                | Velocity Commercial Capital Loan Trust 2019-1                               | CUSIP: 92257CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1066696 | PA      | $849075.35    | 0.03%             | 2029-10-29      | Variable      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Libertas Asset Securitization Llc                                     | Libertas Asset Securitization LLC                                           | CUSIP: 529922AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2508000.00   | 0.08%             | 2031-01-15      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Prosper Marketplace Issuance Trust                                    | Prosper Marketplace Issuance Trust Series 2024-1                            | CUSIP: 74363CAC3<br>LEI: 549300WV6NCA12RVBP15 | Long             | ABS-O            | CORP              | US        |   9525000 | PA      | $9572625.00   | 0.31%             | 2026-10-15      | Fixed         | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Stellar Jay Ireland Dac                                               | Stellar Jay Ireland DAC                                                     | CUSIP: 858558AB5<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |   2322938 | PA      | $2020491.69   | 0.07%             | 2041-10-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-2CB                                             | CUSIP: 12668BLD3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   3671451 | PA      | $1192396.14   | 0.04%             | 2036-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                               | NYMT Loan Trust Series 2024-BPL1                                            | CUSIP: 62956MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9590000 | PA      | $9601402.51   | 0.31%             | 2029-02-25      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Sg Capital Partners                                                   | SG Residential Mortgage Trust 2019-3                                        | CUSIP: 78432BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212770 | PA      | $211553.03    | 0.01%             | 2059-09-25      | Variable      | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Dcal Aviation Finance Limited                                         | AIM Aviation Finance, Ltd.                                                  | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  20606152 | PA      | $19915845.88  | 0.64%             | 2040-02-15      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs                                                         | Recv Irs 3.7395% 01/22/34                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $147198.98    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                      | RALI Series 2006-QS8 Trust                                                  | CUSIP: 75115AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879414 | PA      | $641668.59    | 0.02%             | 2036-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer Llc                                       | Cologix Data Centers US Issuer LLC                                          | CUSIP: 19521UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3547190.00   | 0.11%             | 2051-12-26      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                                           | Extended Stay America Trust 2021-ESH                                        | CUSIP: 30227FAL4<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-MBS          | CORP              | US        |  18220993 | PA      | $18133531.91  | 0.58%             | 2026-07-15      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                              | Angel Oak Mortgage Trust 2020-R1                                            | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1535915 | PA      | $1446610.69   | 0.05%             | 2027-08-16      | Variable      | 0.99%                 | Yes           |                  2 | On Loan: No      |
| Tgif Funding, Llc                                                     | TGIF Funding LLC 2017-1A                                                    | CUSIP: 87244BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5025209 | PA      | $4487511.65   | 0.14%             | 2039-01-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust                              | Castlelake Aircraft Structured Trust 2017-1R                                | CUSIP: 14856JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1902170 | PA      | $1829507.22   | 0.06%             | 2041-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                          | U.S. Treasury Bond                                                          | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 250000000 | PA      | $245019525.00 | 7.89%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                                 | Toorak Mortgage Trust 2024-RRTL2                                            | CUSIP: 89055JAF2<br>LEI: 254900AXFPBUQ16CX921 | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2774529.24   | 0.09%             | 2039-09-25      | Variable      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Sprite Limited                                                        | Sprite 2021-1, Ltd.                                                         | CUSIP: 85208UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1601684 | PA      | $1528166.49   | 0.05%             | 2046-11-15      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Bcp Trust                                                             | BCP Trust 2021-330N                                                         | CUSIP: 05553BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4089000 | PA      | $3347664.30   | 0.11%             | 2038-06-15      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                                            | Verus Securitization Trust 2021-R1                                          | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187733 | PA      | $1127955.59   | 0.04%             | 2063-10-25      | Variable      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2020-SB81 Mortgage Trust                                              | CUSIP: 30317QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17856484 | PA      | $714973.63    | 0.02%             | 2040-10-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Trust 2023-DELC                                                          | CUSIP: 05610DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7075000 | PA      | $7056605.00   | 0.23%             | 2025-05-15      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                   | Homeward Opportunities Fund Trust 2025-RRTL1                                | CUSIP: 437919AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3975319.20   | 0.13%             | 2040-03-25      | Variable      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Mtn Commercial Mortgage Trust 2022-lpfl                               | MTN Commercial Mortgage Trust 2022-LPFL                                     | CUSIP: 62475WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4982000.00   | 0.16%             | 2039-03-15      | Floating      | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Slg Office Trust                                                      | SLG Office Trust 2021-OVA                                                   | CUSIP: 78449RAN5<br>LEI: 549300Z8X84XIDB6JE13 | Long             | ABS-MBS          | CORP              | US        |   9500000 | PA      | $7603800.00   | 0.24%             | 2031-07-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| First American Government Obligations Fund                            | First American Government Obligations Fund                                  | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        | 248553266 | NS      | $248553266.32 | 8.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Lehman Mortgage Trust                                                 | Lehman Mortgage Trust 2005-2                                                | CUSIP: 52520MBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4684646 | PA      | $2308534.07   | 0.07%             | 2035-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Mortgage Trust                                              | JP Morgan Mortgage Trust 2025-VIS1                                          | CUSIP: 46659BAG7<br>LEI: 529900CBDGTUOOQONB64 | Long             | ABS-MBS          | USGA              | US        |   4955000 | PA      | $4895123.78   | 0.16%             | 2029-02-25      | Variable      | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2023-3                                                 | CUSIP: 69548BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185206 | PA      | $185391.32    | 0.01%             | 2030-12-16      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust 2025-rtl1                                      | Vontive Mortgage Trust 2025-RTL1                                            | CUSIP: 928884AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2015652.40   | 0.06%             | 2030-03-25      | Variable      | 8.01%                 | Yes           |                  2 | On Loan: No      |
| Stonepeak                                                             | Stonepeak 2021-1 ABS                                                        | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1264082 | PA      | $1201889.18   | 0.04%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2024-1                                                 | CUSIP: 69548AAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5284685 | PA      | $5300011.02   | 0.17%             | 2031-07-15      | Variable      | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Prp Advisors, Llc                                                     | PRPM 2022-3 LLC                                                             | CUSIP: 693589AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3155656 | PA      | $3150083.66   | 0.10%             | 2025-06-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2024-RTL4                           | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38750000 | PA      | $38767596.38  | 1.25%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse                                                         | Recv Irs 2.4640% 04/07/27                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $69598.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mfra Trust                                                            | MFA 2024-NPL1 Trust                                                         | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5714326 | PA      | $5751691.77   | 0.19%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2025-RTL2                                              | CUSIP: 50206RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4399917.72   | 0.14%             | 2040-04-25      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Wcore Commercial Mortgage Trust                                       | WCORE Commercial Mortgage Trust 2024-CORE                                   | CUSIP: 951913AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750000 | PA      | $4702975.00   | 0.15%             | 2026-11-15      | Floating      | 8.26%                 | Yes           |                  2 | On Loan: No      |
| Pga National Resort Commercial Mortgage Trust                         | PGA Trust 2024-RSR2                                                         | CUSIP: 69381CAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4976500.00   | 0.16%             | 2026-06-15      | Floating      | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                   | Starwood Mortgage Residential Trust 2021-2                                  | CUSIP: 85573HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773605 | PA      | $730680.57    | 0.02%             | 2065-05-25      | Variable      | 1.43%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                  | Deephaven Residential Mortgage Trust 2020-2                                 | CUSIP: 24380NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1347559 | PA      | $1335345.91   | 0.04%             | 2038-12-15      | Fixed         | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                                  | PRET 2024-NPL5 LLC                                                          | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-MBS          | CORP              | US        |  21209082 | PA      | $21225031.50  | 0.68%             | 2054-09-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Fs Trust                                                              | FS Trust 2024-HULA                                                          | CUSIP: 30338DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4434320.00   | 0.14%             | 2026-08-15      | Floating      | 7.26%                 | Yes           |                  2 | On Loan: No      |
| Chnge Mortgage Trust                                                  | CHNGE Mortgage Trust 2022-3                                                 | CUSIP: 17030EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20013025 | PA      | $20124036.85  | 0.65%             | 2067-05-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Mfra Trust                                                            | MFA 2023-RTL2 Trust                                                         | CUSIP: 55286UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27486000 | PA      | $27804452.80  | 0.90%             | 2028-11-25      | Variable      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limited                                      | Pioneer Aircraft Finance, Ltd.                                              | CUSIP: 72353PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1656250 | PA      | $1479196.92   | 0.05%             | 2044-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Hilton Usa Trust                                                      | Hilton USA Trust 2016-HHV                                                   | CUSIP: 43300LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6342050.00   | 0.20%             | 2026-11-05      | Variable      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                                    | Freddie Mac Multifamily Structured Credit Risk                              | CUSIP: 355917AB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2512000.00   | 0.08%             | 2044-10-25      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Fremf Mortgage Trust                                                  | FREMF 2018-K156 Mortgage Trust                                              | CUSIP: 302957AS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6449682 | PA      | $3308041.90   | 0.11%             | 2033-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                                                 | Theorem Funding Trust 2022-3                                                | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215702 | PA      | $216456.85    | 0.01%             | 2029-04-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL1                                              | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6052407.60   | 0.19%             | 2029-01-25      | Fixed         | 9.16%                 | Yes           |                  2 | On Loan: No      |
| Chnge Mortgage Trust                                                  | CHNGE Mortgage Trust 2022-4                                                 | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16303422 | PA      | $16595483.37  | 0.53%             | 2057-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Grantor Trust 2024-8                                         | CUSIP: 69544QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3114481 | PA      | $3107317.36   | 0.10%             | 2032-01-15      | Fixed         | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial                                                     | FREED ABS Trust 2022-4FP                                                    | CUSIP: 35634JAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6068103 | PA      | $6100870.88   | 0.20%             | 2029-12-18      | Fixed         | 7.40%                 | Yes           |                  2 | On Loan: No      |
| Pagaya Ai Debt Selection Trust                                        | Pagaya AI Debt Trust 2024-1                                                 | CUSIP: 69548AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4248792 | PA      | $4279383.77   | 0.14%             | 2031-07-15      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Lease-backed Certificates                         | Commercial Mortgage Lease-Backed Certificates Series 2001-CMLB-1            | CUSIP: 201736AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65663 | PA      | $64920.93     | 0.00%             | 2031-06-20      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                             | Structured Asset Mortgage Investments II Trust 2007-AR2                     | CUSIP: 86363DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4517643 | PA      | $5289356.00   | 0.17%             | 2037-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Twin Hospitality Llc                                                  | Twin Hospitality I LLC                                                      | CUSIP: 90164DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1204661 | PA      | $1204660.62   | 0.04%             | 2027-10-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Achieve Personal Loan Master Pass-through Trust                       | Achieve Personal Loan Master Pass-Through Trust Series 2023-PT2             | CUSIP: 00446DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607288 | PA      | $518745.42    | 0.02%             | 2053-10-15      | Variable      | 19.99%                | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2024-INV1                           | CUSIP: 795924AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2004952.40   | 0.06%             | 2059-08-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, Llc                                          | Business Jet Securities 2024-2 LLC                                          | CUSIP: 12326TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7321703 | PA      | $7220663.10   | 0.23%             | 2030-09-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Horizon Aircraft Finance                                              | Horizon Aircraft Finance III, Ltd.                                          | CUSIP: 44040JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3751232 | PA      | $3590303.83   | 0.12%             | 2039-11-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Acres Commercial Realty                                               | ACRES Commercial Realty Corp.                                               | CUSIP: 00489Q300<br>LEI: 549300RUJWPCMY4JFR46 | Long             | EP               | CORP              | US        |    129346 | NS      | $2645125.70   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                             | Santander Consumer Auto Receivables Trust                                   | CUSIP: 80282YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370000 | PA      | $1370548.00   | 0.04%             | 2028-08-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Mfra Trust                                                            | MFA 2024-RTL3 Trust                                                         | CUSIP: 59319PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $4620872.96   | 0.15%             | 2039-11-25      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Trust, Inc.                                              | Arbor Realty Trust                                                          | CUSIP: 038923850<br>LEI: 549300ASFUWYQO0RW077 | Long             | EP               | CORP              | US        |    119400 | NS      | $2564712.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Stellar Jay Ireland Dac                                               | Stellar Jay Ireland DAC                                                     | CUSIP: 858558AA7<br>LEI: 254900N0ZJ7Y0Q6V4A92 | Long             | ABS-O            | CORP              | US        |   2429528 | PA      | $2344008.22   | 0.08%             | 2041-10-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Saif Securitization Trust                                             | SAIF Securitization Trust 2024-CES1                                         | CUSIP: 78436VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745000 | PA      | $747601.84    | 0.02%             | 2054-07-25      | Variable      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Rmf Buyout Issuance Trust                                             | RMF Buyout Issuance Trust 2021-HB1                                          | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2888275.00   | 0.09%             | 2031-11-25      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Fresb Multifamily Mortgage Pass-through Certifica                     | FRESB 2020-SB80 Mortgage Trust                                              | CUSIP: 30316XAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  51546392 | PA      | $2394206.20   | 0.08%             | 2040-09-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                                    | Freddie Mac Mscr Trust Mn7                                                  | CUSIP: 35563QAB3<br>LEI: 529900NYZHC090WEXH18 | Long             | ABS-MBS          | USGA              | US        |   2300000 | PA      | $2511370.00   | 0.08%             | 2043-09-25      | Floating      | 10.05%                | Yes           |                  2 | On Loan: No      |
| Wb Commercial Mortgage Trust                                          | WB Commercial Mortgage Trust 2024-HQ                                        | CUSIP: 92943PAE1<br>LEI: 549300GK97AYN6BKKT80 | Long             | ABS-MBS          | CORP              | US        |   8500000 | PA      | $8670000.00   | 0.28%             | 2028-03-15      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Fat Brands Gfg Royalty Llc                                            | FAT Brands GFG Royalty I LLC                                                | CUSIP: 31189WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2412500 | PA      | $2321307.50   | 0.07%             | 2051-07-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Trust 2018-GW                                                            | CUSIP: 12433UAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9987000.00   | 0.32%             | 2035-05-15      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                                 | Cantor Commercial Real Estate Lending 2019-CF2                              | CUSIP: 12528YBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4988052 | PA      | $4412929.60   | 0.14%             | 2029-09-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2025-RTL1                                              | CUSIP: 50205UAB7<br>LEI: 5299002NGIWITLMXOH85 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4993430.00   | 0.16%             | 2040-01-25      | Variable      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase & Co.                                               | Recv Irs 2.5405% 07/07/27                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $86070.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Stonepeak                                                             | Stonepeak 2021-1 ABS                                                        | CUSIP: 78433XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9124283 | PA      | $8472808.76   | 0.27%             | 2033-02-28      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Twin Hospitality Llc                                                  | Twin Hospitality I LLC                                                      | CUSIP: 90164DAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26317813 | PA      | $25430902.25  | 0.82%             | 2027-10-25      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-18CB                                            | CUSIP: 02147FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8902831 | PA      | $3355691.41   | 0.11%             | 2036-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2023-RTL3                                              | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22500000 | PA      | $22677214.50  | 0.73%             | 2028-08-25      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Bx Trust                                                              | BX Trust 2018-GW                                                            | CUSIP: 12433UAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16731000 | PA      | $16709249.70  | 0.54%             | 2035-05-15      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| A&d Mortgage Trust                                                    | A&D Mortgage Trust 2023-NQM4                                                | CUSIP: 00002MAC3<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    767693 | PA      | $784212.28    | 0.03%             | 2068-09-25      | Variable      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Rbssp Resecuritization Trust                                          | RBSSP Resecuritization Trust 2009-7                                         | CUSIP: 75524MAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3044475 | PA      | $2114769.75   | 0.07%             | 2037-06-26      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                  | LHOME Mortgage Trust 2024-RTL3                                              | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6236000 | PA      | $6305042.50   | 0.20%             | 2026-12-25      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Banc Of America Merrill Lynch Large Loan Inc                          | BAMLL Commercial Mortgage Securities Trust 2022-DKLX                        | CUSIP: 05530SAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6815399 | PA      | $6839934.48   | 0.22%             | 2047-04-30      | Floating      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| New York Mortgage Trust                                               | NYMT Loan Trust Series 2024-BPL1                                            | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5017420.00   | 0.16%             | 2029-02-25      | Fixed         | 7.15%                 | Yes           |                  2 | On Loan: No      |
| Redwood Trust Inc                                                     | Redwood Trust, Inc.                                                         | CUSIP: 758075AF2<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $998141.20    | 0.03%             | 2027-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2006-6CB                                             | CUSIP: 12668BSF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9910885 | PA      | $2823375.15   | 0.09%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Legends Outlets (kansas City, Ks) Mortgage Secured Pass-through Trust | Legends Outlets Kansas City KS Mortgage Secured Pass-Through Trust          | CUSIP: 524947AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9140000 | PA      | $9256992.00   | 0.30%             | 2039-11-05      | Fixed         | 8.76%                 | Yes           |                  2 | On Loan: No      |
| Rfm Re-remic Trust 2022-frr1                                          | RFM Reremic Trust 2022-FRR1                                                 | CUSIP: 74971BAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15460000 | PA      | $14312868.00  | 0.46%             | 2049-03-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Start Ltd.                                                            | Start, Ltd.                                                                 | CUSIP: 85572RAC3<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | BM        |   3602276 | PA      | $3578140.68   | 0.12%             | 2043-05-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Tvc Mortgage Trust                                                    | TVC Mortgage Trust 2025-RRTL1                                               | CUSIP: 900927AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6797000 | PA      | $6796947.66   | 0.22%             | 2040-04-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                    | Alternative Loan Trust 2007-5CB                                             | CUSIP: 02150EAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2027019 | PA      | $786030.49    | 0.03%             | 2037-04-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                       | Residential Mortgage Loan Trust 2020-1                                      | CUSIP: 76119CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237528 | PA      | $233522.65    | 0.01%             | 2060-01-26      | Variable      | 2.68%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                   | Bear Stearns Mortgage Funding Trust 2007-AR5                                | CUSIP: 07400NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736311 | PA      | $613316.51    | 0.02%             | 2047-06-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Colt Funding Llc                                                      | COLT 2020-3 Mortgage Loan Trust                                             | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2801812 | PA      | $2711948.44   | 0.09%             | 2065-04-27      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners Llc                                  | PRET 2024-NPL4 LLC                                                          | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-MBS          | CORP              | US        |   6796457 | PA      | $6850301.24   | 0.22%             | 2054-07-25      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                               | Saluda Grade Alternative Mortgage Trust 2025-NPL1                           | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7818188 | PA      | $7781532.94   | 0.25%             | 2030-01-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Jpmorgan Chase Bank, Na - Cacln                                       | JPMorgan Chase Bank NA - Chase Auto Credit Linked Notes                     | CUSIP: 48128U2S7<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   1828874 | PA      | $1825033.11   | 0.06%             | 2028-12-26      | Fixed         | 8.48%                 | Yes           |                  2 | On Loan: No      |
| Bank                                                                  | BANK 2022-BNK41                                                             | CUSIP: 06540MAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1061700.00   | 0.03%             | 2032-04-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                      | RALI Series 2007-QS7 Trust                                                  | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28192702 | PA      | $11280757.16  | 0.36%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** AXONIC FUNDS

**Signature:** Lu Chang

**Name of Signer:** Lu Chang

**Title:** Treasurer & Chief Risk Officer