# EDGAR Filing Document

**Accession Number:** 0001552947
**File Stem:** 0000910472-26-004382
**Filing Date:** 2026-3
**Character Count:** 125723
**Document Hash:** 72cd30e3b9b76ebc2688042c743a1a9c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-26-004382.hdr.sgml**: 20260330

**ACCESSION NUMBER**: 0000910472-26-004382

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260330

**DATE AS OF CHANGE**: 20260330

**PERIOD START**: 20260731

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22718
- **FILM NUMBER:** 26810306

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

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

## Series and Classes Contracts Data

### Anfield Universal Fixed Income ETF (Series ID: S000062994)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000204431 | Anfield Universal Fixed Income ETF |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

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

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

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

- **b. EDGAR series identifier (if any):** S000062994

- **c. LEI of Series:** 549300P4WM6QLLS2DJ24

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

- **a. Date of fiscal year-end:** 2026-07-31

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $228960717.73

**Total Liabilities:** $4830795.82

**Net Assets:** $224129921.91

**Cash Not Reported:** $4360949.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 822.87873700 | **1-Year:** 5468.19023200 | **5-Year:** 9343.36127400 | **10-Year:** 17939.82068800 | **30-Year:** 2350.07320200

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

- **3-Month:** 798.51181300 | **1-Year:** 5098.75278200 | **5-Year:** 14339.48544500 | **10-Year:** 2087.68154900 | **30-Year:** 0.62132900

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000204431 | 0.45%                | 0.62%                | 0.55%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-28.96                  | $303946.69                                 |
| Month 2  | $11623.66                | $455191.43                                 |
| Month 3  | $-31262.25               | $427659.96                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AGL CLO 3 Ltd Ltd/LLC                                           | AGL 2020-3A CR          | CUSIP: 00119MAU3<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502931.00   | 0.67%             | 2038-04-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Agl Clo 6 Ltd / Agl Clo 6 Llc                                   | AGL 2020-6A D1R2        | CUSIP: 00119VBL2<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503855.00   | 0.67%             | 2038-04-20      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Aimco Clo 14 Ltd / Llc                                          | AIMCO 2021-14A CR       | CUSIP: 00144GAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004062.00   | 0.89%             | 2038-10-20      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Air Canada                                                      | ACACN 3 7/8 08/15/26    | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |    173000 | PA      | $172450.26    | 0.08%             | 2026-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Aimco Clo Series 2017-A                                         | AIMCO 2017-AA D1R2      | CUSIP: 00900CBC7<br>LEI: 549300MMTPNJGGRMPB33 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2003176.00   | 0.89%             | 2038-01-20      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corporation                                           | AL 4.65 PERP            | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2436000 | PA      | $2433802.48   | 1.09%             | 2170-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                           | AL 4 1/8 PERP           | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2648000 | PA      | $2632859.00   | 1.17%             | 2173-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Allegro CLO XV Ltd.                                             | ALLEG 2022-1A D1AR      | CUSIP: 01749WAU7<br>LEI: 254900AAPS2B2Z2RDL27 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1494762.00   | 0.67%             | 2038-04-20      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial Inc.                                             | ALLY 4.7 PERP           | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2432000 | PA      | $2417279.35   | 1.08%             | 2169-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                             | ALLY 4.7 PERP           | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2028000 | PA      | $1944469.92   | 0.87%             | 2169-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                             | ALLY 6 07/15/29         | CUSIP: 02006DV40<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252519.20    | 0.11%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                | CWALT 2007-J1 3A2       | CUSIP: 02149MCJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39571 | PA      | $37522.61     | 0.02%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co, Inc.                                | AEP 3 7/8 02/15/62      | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3352777.26   | 1.50%             | 2062-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| American Express Company                                        | AXP 3.55 PERP           | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    993000 | PA      | $983521.62    | 0.44%             | 2171-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Aramark Services, Inc.                                          | ARMK 5 02/01/28         | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1650000.99   | 0.74%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Ares Capital Corp.                                              | ARCC 5 1/2 09/01/30     | CUSIP: 04010LBK8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2816607.39   | 1.26%             | 2030-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Tr 07-Aa2                                              | BCAP 2007-AA2 21IO      | CUSIP: 05530NBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1674488 | PA      | $30544.34     | 0.01%             | 2037-04-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                  | BNP 4 5/8 PERP          | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3820000 | PA      | $3820202.46   | 1.70%             | 2177-01-12      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                  | BNP 4 1/2 PERP          | CUSIP: 05565ALQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    950000 | PA      | $892597.20    | 0.40%             | 2170-02-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                  | BNP 7 3/4 PERP          | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $212556.60    | 0.09%             | 2169-08-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Specialty Finance Inc                              | BCSF 2.95 03/10/26      | CUSIP: 05684BAB3<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |   2098000 | PA      | $2092582.04   | 0.93%             | 2026-03-10      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Bain Capital Specialty Finance Inc                              | BCSF 5.95 03/15/30      | CUSIP: 05684BAD9<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |   2847000 | PA      | $2844118.27   | 1.27%             | 2030-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                           | BAC 4 3/8 PERP          | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2739000 | PA      | $2726345.55   | 1.22%             | 2174-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                               | BK 3.7 PERP             | CUSIP: 064058AJ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1669000 | PA      | $1666528.70   | 0.74%             | 2170-03-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                               | BK 3 3/4 PERP           | CUSIP: 064058AL4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    275000 | PA      | $270873.21    | 0.12%             | 2176-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corp.                               | BK 6.3 PERP             | CUSIP: 064058AN0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    860000 | PA      | $890714.90    | 0.40%             | 2174-03-20      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                             | BNS 3 5/8 10/27/2081    | CUSIP: 0641598N9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   3475000 | PA      | $3397331.67   | 1.52%             | 2081-10-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                    | BACR 4.836 05/09/28     | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $504041.80    | 0.22%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Battalion Clo 17 Ltd.                                           | BATLN 2021-17A CR       | CUSIP: 07133PAS8<br>LEI: 549300QQUW46V6EB1N30 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002228.00   | 0.45%             | 2034-03-09      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                 | BXSL 5.3 06/30/30       | CUSIP: 09261XAK8<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1463985.97   | 0.65%             | 2030-06-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Boyd Gaming Corporation                                         | BYD 4 3/4 12/01/27      | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    577000 | PA      | $577066.07    | 0.26%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CBAMR 2021-14 LTD                                               | CBAMR 2021-14A D1R      | CUSIP: 12516KAL1<br>LEI: 254900YSCN4KH02DQ033 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3029950.80   | 1.35%             | 2038-10-20      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| CMS Energy Corporation                                          | CMS 4 3/4 06/01/50      | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $988681.20    | 0.44%             | 2050-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc.                                      | CZR 4 5/8 10/15/29      | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   1787000 | PA      | $1716455.67   | 0.77%             | 2029-10-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                                     | COF 3.95 PERP           | CUSIP: 14040HCF0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    848000 | PA      | $841686.56    | 0.38%             | 2169-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                     | COF FLOAT PERP          | CUSIP: 14040HDK8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2788000 | PA      | $2806384.07   | 1.25%             | 2173-10-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                            | CCL 4 08/01/28          | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1000000 | PA      | $989987.60    | 0.44%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Centerpoint Energy Inc                                          | CNP 7 02/15/55          | CUSIP: 15189TBH9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1243091.07   | 0.55%             | 2055-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Charles River Laboratories International, Inc.                  | CRL 4 1/4 05/01/28      | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    813000 | PA      | $803284.49    | 0.36%             | 2028-05-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                  | C 3 7/8 PERP            | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1498204.65   | 0.67%             | 2169-05-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                  | C 4.15 PERP             | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4848000 | PA      | $4818908.41   | 2.15%             | 2170-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group Inc                                    | CFG 4 PERP              | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1326000 | PA      | $1318788.42   | 0.59%             | 2171-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                            | ACAFP 4 3/4 PERP        | CUSIP: 225313AP0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    550000 | PA      | $535908.29    | 0.24%             | 2173-03-23      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fnd                                          | DRSLF 2018-55A D        | CUSIP: 26245MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1607672.00   | 0.72%             | 2031-04-15      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| DRYDEN 109 CLO LTD                                              | DRSLF 2022-109A BR      | CUSIP: 26248KAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1506027.00   | 0.67%             | 2038-04-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp                                                | DUK 3 1/4 01/15/2082    | CUSIP: 26441CBP9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2911000 | PA      | $2840937.18   | 1.27%             | 2082-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                        | EDF 9 1/8 PERP          | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $4736664.00   | 2.11%             | 2173-06-15      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| Enbridge Inc.                                                   | ENBCN 5 1/2 07/15/2077  | CUSIP: 29250NAS4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1160000 | PA      | $1158785.94   | 0.52%             | 2077-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                   | ENBCN 6 1/4 03/01/78    | CUSIP: 29250NAW5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    980000 | PA      | $996763.88    | 0.44%             | 2078-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                              | ET 6 5/8 PERP           | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    450000 | PA      | $456213.15    | 0.20%             | 2167-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                              | ET 6 1/2 PERP           | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4046000 | PA      | $4066630.55   | 1.81%             | 2169-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                             | FSK 2 5/8 01/15/27      | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    275000 | PA      | $268611.58    | 0.12%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                             | FSK 3 1/8 10/12/28      | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    722000 | PA      | $666624.31    | 0.30%             | 2028-10-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FS KKR Capital Corp                                             | FSK 3 1/4 07/15/27      | CUSIP: 302635AL1<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    625000 | PA      | $605407.58    | 0.27%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 221 IO              | CUSIP: 31282YDE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66704 | PA      | $9260.76      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 239 IO              | CUSIP: 31282YJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37070 | PA      | $6743.76      | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 240 IO              | CUSIP: 31282YJ42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209550 | PA      | $36553.49     | 0.02%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 238 8               | CUSIP: 31282YJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187852 | PA      | $29203.41     | 0.01%             | 2036-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 244 IO              | CUSIP: 31282YXC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513759 | PA      | $73800.27     | 0.03%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 247 24              | CUSIP: 3128HUFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300278 | PA      | $45021.43     | 0.02%             | 2036-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 303 105             | CUSIP: 31325T6C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257353 | PA      | $34246.71     | 0.02%             | 2043-01-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 324 C17             | CUSIP: 31325VBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2247464 | PA      | $182608.47    | 0.08%             | 2033-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 324 C24             | CUSIP: 31325VBU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    931931 | PA      | $193442.60    | 0.09%             | 2043-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 365 121             | CUSIP: 31325XKX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    524753 | PA      | $72990.33     | 0.03%             | 2047-10-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 365 C10             | CUSIP: 31325XUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497300 | PA      | $101932.81    | 0.05%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHS 367 116             | CUSIP: 31325XXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824798 | PA      | $120665.34    | 0.05%             | 2050-06-15      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2367 SG             | CUSIP: 31339GL25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     50944 | PA      | $4838.55      | 0.00%             | 2031-06-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 291 2               | CUSIP: 31364HR41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25656 | PA      | $922.63       | 0.00%             | 2027-11-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2011-96 SA          | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    245128 | PA      | $21382.85     | 0.01%             | 2041-10-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2011-122 DS         | CUSIP: 3136A2YT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1119549 | PA      | $171336.43    | 0.08%             | 2041-12-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-30 CI          | CUSIP: 3136A5YA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1385637 | PA      | $129661.78    | 0.06%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-68 NS          | CUSIP: 3136A7DH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    292279 | PA      | $12589.05     | 0.01%             | 2042-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-89 SA          | CUSIP: 3136A7U91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    578161 | PA      | $51631.38     | 0.02%             | 2042-08-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2012-103 TI         | CUSIP: 3136A8ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1047244 | PA      | $166856.49    | 0.07%             | 2042-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2013-103 JS         | CUSIP: 3136AGNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    216381 | PA      | $20902.89     | 0.01%             | 2043-10-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2014-38 QI          | CUSIP: 3136AKNS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    237729 | PA      | $33882.12     | 0.02%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2014-68 IB          | CUSIP: 3136ALRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     65215 | PA      | $6632.47      | 0.00%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2014-87 MS          | CUSIP: 3136AMKT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    771401 | PA      | $84361.15     | 0.04%             | 2045-01-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2015-33 OI          | CUSIP: 3136APCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    151270 | PA      | $16273.48     | 0.01%             | 2045-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2016-39 LS          | CUSIP: 3136ASU38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    333632 | PA      | $38370.81     | 0.02%             | 2046-07-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-87 KI          | CUSIP: 3136AYZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    168611 | PA      | $21031.27     | 0.01%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-97 SW          | CUSIP: 3136B0DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1122037 | PA      | $136093.19    | 0.06%             | 2047-12-25      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2017-108 SA         | CUSIP: 3136B0RS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    792907 | PA      | $92984.24     | 0.04%             | 2048-01-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2018-58 IO          | CUSIP: 3136B2XG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    329137 | PA      | $46184.97     | 0.02%             | 2048-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2018-54 SA          | CUSIP: 3136B2XW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2112788 | PA      | $205442.25    | 0.09%             | 2048-08-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2018-74 MI          | CUSIP: 3136B3JA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     93691 | PA      | $18344.45     | 0.01%             | 2048-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FNR 2019-41 SB          | CUSIP: 3136B5SN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    334393 | PA      | $39031.18     | 0.02%             | 2049-08-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2020-10 S           | CUSIP: 3136B9AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    922224 | PA      | $106736.60    | 0.05%             | 2059-05-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 343 6               | CUSIP: 3136FA6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53120 | PA      | $5330.47      | 0.00%             | 2033-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 377 2               | CUSIP: 3136FC5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98297 | PA      | $16017.94     | 0.01%             | 2036-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 346 2               | CUSIP: 3136FCBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64916 | PA      | $8907.77      | 0.00%             | 2033-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 355 12              | CUSIP: 3136FCNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41338 | PA      | $4667.03      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 371 2               | CUSIP: 3136FCP75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381881 | PA      | $70654.79     | 0.03%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 364 2               | CUSIP: 3136FCYK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216764 | PA      | $27693.39     | 0.01%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 365 4               | CUSIP: 3136FCZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367611 | PA      | $52604.45     | 0.02%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 370 2               | CUSIP: 3136FEAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58952 | PA      | $11317.71     | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 378 4               | CUSIP: 3136FEMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524102 | PA      | $86828.90     | 0.04%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 384 28              | CUSIP: 3136FEU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99328 | PA      | $15670.82     | 0.01%             | 2036-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 385 3               | CUSIP: 3136FEV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308332 | PA      | $46557.90     | 0.02%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 383 20              | CUSIP: 3136FFNR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61470 | PA      | $9398.81      | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 407 40              | CUSIP: 3136FG4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340696 | PA      | $64658.33     | 0.03%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 408 C4              | CUSIP: 3136FG6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722862 | PA      | $125945.71    | 0.06%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 395 7               | CUSIP: 3136FGDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1163306 | PA      | $210756.67    | 0.09%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 396 2               | CUSIP: 3136FGEU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181940 | PA      | $25276.13     | 0.01%             | 2039-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 398 C9              | CUSIP: 3136FGRH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625483 | PA      | $166266.95    | 0.07%             | 2039-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 399 2               | CUSIP: 3136FKAB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262009 | PA      | $52401.68     | 0.02%             | 2039-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNS 409 C18             | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283448 | PA      | $50383.97     | 0.02%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3758 S              | CUSIP: 3137A3G45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    118343 | PA      | $10798.22     | 0.00%             | 2040-11-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3935 SH             | CUSIP: 3137AGTF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    187145 | PA      | $2143.17      | 0.00%             | 2040-12-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4091 TS             | CUSIP: 3137ATGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    108639 | PA      | $16218.14     | 0.01%             | 2042-08-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4139 PO             | CUSIP: 3137AWYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    102250 | PA      | $69725.78     | 0.03%             | 2042-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4291 MS             | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    192471 | PA      | $19269.22     | 0.01%             | 2054-01-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4340 TI             | CUSIP: 3137BAW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     61909 | PA      | $1735.10      | 0.00%             | 2039-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4456 IA             | CUSIP: 3137BGRL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    152049 | PA      | $23975.44     | 0.01%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4451 DI             | CUSIP: 3137BHBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     82945 | PA      | $1583.14      | 0.00%             | 2039-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4471 JI             | CUSIP: 3137BJH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    304669 | PA      | $50402.39     | 0.02%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4583 ST             | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    188682 | PA      | $19923.31     | 0.01%             | 2046-05-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4583 TI             | CUSIP: 3137BPDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5794226 | PA      | $14467.60     | 0.01%             | 2046-05-15      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4618 SA             | CUSIP: 3137BRXK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    314052 | PA      | $36746.30     | 0.02%             | 2046-09-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 5086 HI             | CUSIP: 3137FFGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    751718 | PA      | $161655.24    | 0.07%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 4995 KI             | CUSIP: 3137FUX25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    837600 | PA      | $123426.06    | 0.06%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 5007 SK             | CUSIP: 3137FVLY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    603256 | PA      | $82718.36     | 0.04%             | 2050-08-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 5112 IB             | CUSIP: 3137H0R91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    527385 | PA      | $55023.09     | 0.02%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 5136 IJ             | CUSIP: 3137H1QP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    460387 | PA      | $53618.27     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                         | FHR 5174 NI             | CUSIP: 3137H4MG2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-O            | USGSE             | US        |    838427 | PA      | $144826.60    | 0.06%             | 2051-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2001-32 SA          | CUSIP: 313920FS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     30331 | PA      | $1715.48      | 0.00%             | 2031-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2003-7 SN           | CUSIP: 31392HY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    270640 | PA      | $35658.23     | 0.02%             | 2033-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2444 TI             | CUSIP: 31392KWY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     46150 | PA      | $5103.49      | 0.00%             | 2032-05-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2463 SB             | CUSIP: 31392MTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    126723 | PA      | $12354.63     | 0.01%             | 2032-06-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2524 SX             | CUSIP: 31392XY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     18181 | PA      | $1733.32      | 0.00%             | 2032-11-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2003-43 IY          | CUSIP: 31393A5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     79010 | PA      | $9940.69      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2616 SC             | CUSIP: 31393QTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     30144 | PA      | $2664.46      | 0.00%             | 2032-12-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2004-70 XJ          | CUSIP: 31394A4U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    170445 | PA      | $21976.06     | 0.01%             | 2034-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2004-62 TP          | CUSIP: 31394AQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    132497 | PA      | $14216.83     | 0.01%             | 2033-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2004-91 DS          | CUSIP: 31394BYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    127208 | PA      | $12811.42     | 0.01%             | 2034-12-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2005-89 S           | CUSIP: 31394FUZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     70508 | PA      | $6134.00      | 0.00%             | 2035-10-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2005-87 SE          | CUSIP: 31394FV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     42307 | PA      | $3722.80      | 0.00%             | 2035-10-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-8 HL           | CUSIP: 31394VV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     28401 | PA      | $3155.24      | 0.00%             | 2036-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-8 WN           | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     14045 | PA      | $1330.45      | 0.00%             | 2036-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2802 SI             | CUSIP: 31394YQF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    390435 | PA      | $30140.46     | 0.01%             | 2034-05-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-18 BF          | CUSIP: 31395B7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    947921 | PA      | $78745.78     | 0.04%             | 2036-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2950 SN             | CUSIP: 31395PXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    184690 | PA      | $9241.20      | 0.00%             | 2035-03-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 2980 SL             | CUSIP: 31395UF63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    181227 | PA      | $17580.68     | 0.01%             | 2034-11-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD          | FHR 3055 MS             | CUSIP: 31396CVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    508189 | PA      | $59422.25     | 0.03%             | 2035-10-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3117 JS             | CUSIP: 31396HV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     36819 | PA      | $3855.70      | 0.00%             | 2036-02-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-101 SA         | CUSIP: 31396LHY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     79918 | PA      | $10165.64     | 0.00%             | 2036-10-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-116 S          | CUSIP: 31396LZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     85804 | PA      | $8462.25      | 0.00%             | 2036-12-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2006-125 SM         | CUSIP: 31396PDC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     35400 | PA      | $4144.45      | 0.00%             | 2037-01-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2009-66 SH          | CUSIP: 31396QR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    199992 | PA      | $12287.99     | 0.01%             | 2039-09-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3149 SM             | CUSIP: 31396RJ99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    142245 | PA      | $13482.66     | 0.01%             | 2036-05-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-28 CF          | CUSIP: 31396VKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    965784 | PA      | $97013.17     | 0.04%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-28 LS          | CUSIP: 31396VLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    111389 | PA      | $12636.88     | 0.01%             | 2036-01-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-36 SN          | CUSIP: 31396VQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    143752 | PA      | $14411.62     | 0.01%             | 2037-04-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-55 S           | CUSIP: 31396WGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    523545 | PA      | $17950.48     | 0.01%             | 2037-06-25      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-72 EK          | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     64550 | PA      | $7001.01      | 0.00%             | 2037-07-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-66 AS          | CUSIP: 31396WXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     63037 | PA      | $5953.33      | 0.00%             | 2037-07-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-106 SN         | CUSIP: 31396XD92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     64591 | PA      | $6159.63      | 0.00%             | 2037-11-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-88 MI          | CUSIP: 31396XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    432279 | PA      | $28797.23     | 0.01%             | 2037-09-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-109 DI         | CUSIP: 31396XZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    137715 | PA      | $17027.79     | 0.01%             | 2037-12-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2007-117 SM         | CUSIP: 31396YAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    199293 | PA      | $20106.88     | 0.01%             | 2038-01-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3239 SI             | CUSIP: 31397CW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     68638 | PA      | $7903.39      | 0.00%             | 2036-11-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3303 SG             | CUSIP: 31397GQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    159420 | PA      | $11346.73     | 0.01%             | 2037-04-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3355 BI             | CUSIP: 31397KCA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    149589 | PA      | $14189.53     | 0.01%             | 2037-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3368 AI             | CUSIP: 31397KL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    138758 | PA      | $10343.01     | 0.00%             | 2037-09-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2008-58 SE          | CUSIP: 31397LQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1251622 | PA      | $128182.97    | 0.06%             | 2038-07-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2011-11 PI          | CUSIP: 31397Q6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     55028 | PA      | $6027.16      | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2009-112 ST         | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     69331 | PA      | $7255.04      | 0.00%             | 2040-01-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3572 VS             | CUSIP: 31398JTX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    114917 | PA      | $13035.14     | 0.01%             | 2039-09-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-130 HI         | CUSIP: 31398N3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    195237 | PA      | $35433.48     | 0.02%             | 2040-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-126 UI         | CUSIP: 31398SBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     54596 | PA      | $4857.20      | 0.00%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-139 SA         | CUSIP: 31398SWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    268909 | PA      | $30712.26     | 0.01%             | 2040-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                           | FNR 2010-89 AI          | CUSIP: 31398TPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3669728 | PA      | $11398.54     | 0.01%             | 2038-02-25      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | FHR 3652 CS             | CUSIP: 31398WY40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1492372 | PA      | $194399.99    | 0.09%             | 2040-03-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| First Citizens BancShares Inc (Delaware)                        | FCNCA FLOAT PERP        | CUSIP: 31959XAA1<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2814226.25   | 1.26%             | 2170-06-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 4 1/8 08/17/27        | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    812000 | PA      | $808387.75    | 0.36%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 4 11/13/30            | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $476033.03    | 0.21%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 2.7 08/10/26          | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    375000 | PA      | $372055.26    | 0.17%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 4.95 05/28/27         | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301746.20    | 0.13%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 5.8 03/08/29          | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    225000 | PA      | $231346.34    | 0.10%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 4.542 08/01/26        | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499372.51    | 0.22%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 6.2 06/20/34          | CUSIP: 34540TH88<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    700000 | PA      | $699500.19    | 0.31%             | 2034-06-20      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 5 1/2 02/20/30        | CUSIP: 34540TN32<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1417239.04   | 0.63%             | 2030-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Company LLC                                   | F 4.85 11/20/29         | CUSIP: 34540TVW9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500167.75    | 0.22%             | 2029-11-20      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company  Inc                           | GM 5.7 PERP             | CUSIP: 37045XDB9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   4197000 | PA      | $4214434.34   | 1.88%             | 2069-03-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                       | GS 3.65 PERP            | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2121000 | PA      | $2111449.35   | 0.94%             | 2170-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-6 SD           | CUSIP: 383742HQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     61754 | PA      | $373.58       | 0.00%             | 2038-02-20      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-15 CI          | CUSIP: 383742RH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    810207 | PA      | $10898.58     | 0.00%             | 2038-02-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-36 SB          | CUSIP: 38374D3E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     80679 | PA      | $448.90       | 0.00%             | 2038-04-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-2 SM           | CUSIP: 38374DPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    104839 | PA      | $7719.69      | 0.00%             | 2038-01-16      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-27 SI          | CUSIP: 38374DSX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     97986 | PA      | $1135.33      | 0.00%             | 2038-03-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2004-46 S           | CUSIP: 38374G6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    260982 | PA      | $7245.08      | 0.00%             | 2034-06-20      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2004-106 HW         | CUSIP: 38374KJW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     18928 | PA      | $21780.57     | 0.01%             | 2034-12-16      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2009-43 SA          | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     82485 | PA      | $3744.38      | 0.00%             | 2039-06-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-95 DS          | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     48117 | PA      | $372.91       | 0.00%             | 2038-12-20      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2012-77 DI          | CUSIP: 38375GAJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    155331 | PA      | $4721.36      | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2007-40 SW          | CUSIP: 38375KB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     88254 | PA      | $420.42       | 0.00%             | 2037-07-20      | Floating      | 0.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-51 SC          | CUSIP: 38375QU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     99684 | PA      | $7090.33      | 0.00%             | 2038-06-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2008-51 SE          | CUSIP: 38375QV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    122662 | PA      | $9184.76      | 0.00%             | 2038-06-16      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2017-56 IE          | CUSIP: 38376ULU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    806406 | PA      | $60509.57     | 0.03%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2017-68 CI          | CUSIP: 38376UT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    139919 | PA      | $24863.01     | 0.01%             | 2047-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2010-113 BS         | CUSIP: 38377J3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     57176 | PA      | $7211.78      | 0.00%             | 2040-09-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2010-133 SB         | CUSIP: 38377MHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    866358 | PA      | $112779.59    | 0.05%             | 2040-10-16      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2010-152 SA         | CUSIP: 38377NEM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    100001 | PA      | $11066.16     | 0.00%             | 2040-11-16      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2011-148 SN         | CUSIP: 38378AQF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    249168 | PA      | $34388.57     | 0.02%             | 2041-11-16      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2012-69 QI          | CUSIP: 38378EQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    102386 | PA      | $10117.61     | 0.00%             | 2041-03-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-4 ID           | CUSIP: 38378FNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    855606 | PA      | $150826.48    | 0.07%             | 2042-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-5 BI           | CUSIP: 38378FPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     96832 | PA      | $14762.16     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2012-126 IO         | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    702007 | PA      | $98651.13     | 0.04%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-53 OI          | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    115480 | PA      | $15090.61     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-170 ID         | CUSIP: 38378U7B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    296786 | PA      | $21583.68     | 0.01%             | 2040-02-20      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2013-181 SA         | CUSIP: 38378YFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     71139 | PA      | $7590.40      | 0.00%             | 2043-11-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2014-58 SA          | CUSIP: 38379BRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    151186 | PA      | $17340.77     | 0.01%             | 2044-04-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2014-91 SB          | CUSIP: 38379CPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    260328 | PA      | $19992.56     | 0.01%             | 2044-06-16      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2014-146 EI         | CUSIP: 38379GTZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1132650 | PA      | $237270.53    | 0.11%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-36 MI          | CUSIP: 38379JA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    226657 | PA      | $34566.36     | 0.02%             | 2045-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-64 SG          | CUSIP: 38379PD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    376396 | PA      | $33251.61     | 0.01%             | 2045-05-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-144 SA         | CUSIP: 38379QD51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    434716 | PA      | $54426.69     | 0.02%             | 2045-10-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-9 SA           | CUSIP: 38379TA74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    163978 | PA      | $19104.53     | 0.01%             | 2046-01-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2015-179 BI         | CUSIP: 38379TAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    585133 | PA      | $31497.05     | 0.01%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-4 SM           | CUSIP: 38379TU80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    370800 | PA      | $30710.75     | 0.01%             | 2046-01-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-27 IA          | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     59206 | PA      | $7994.43      | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-84 IG          | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    252056 | PA      | $48719.04     | 0.02%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-81 IM          | CUSIP: 38379YPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     46150 | PA      | $2214.87      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-121 JS         | CUSIP: 38380AZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    786054 | PA      | $106947.18    | 0.05%             | 2046-09-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2016-145 UI         | CUSIP: 38380BHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    154657 | PA      | $27043.82     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2017-99 DI          | CUSIP: 38380F5B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    148238 | PA      | $5279.96      | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2019-H16 CI         | CUSIP: 38380LG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1434960 | PA      | $57363.96     | 0.03%             | 2069-10-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2018-8 IO           | CUSIP: 38380UPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    258048 | PA      | $57464.54     | 0.03%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2018-120 JI         | CUSIP: 38380YVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    144320 | PA      | $20825.98     | 0.01%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2018-154 IT         | CUSIP: 38381AWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    219289 | PA      | $40168.82     | 0.02%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2019-6 SA           | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    401269 | PA      | $44759.70     | 0.02%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2019-22 SA          | CUSIP: 38381RDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    439807 | PA      | $37799.50     | 0.02%             | 2045-02-20      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2020-47 MI          | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1162107 | PA      | $215779.97    | 0.10%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2020-86 TK          | CUSIP: 38382GCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15835174 | PA      | $79229.71     | 0.04%             | 2048-08-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                | GNR 2020-167 NS         | CUSIP: 38382LBR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    540024 | PA      | $75967.57     | 0.03%             | 2050-11-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                        | GNR 2021-78 QI          | CUSIP: 38382TBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    394992 | PA      | $24267.73     | 0.01%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Icg Us Clo 2021-3 Ltd / Icg Us Clo 2021-3 Llc                   | ICG 2021-3A CR          | CUSIP: 449249AW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002309.00   | 0.45%             | 2034-10-20      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| ILFC E-Capital Trust I                                          | AER Float 12/21/65      | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1723761.60   | 0.77%             | 2065-12-21      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation | IEP 6 1/4 05/15/26      | CUSIP: 451102BT3<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |    378000 | PA      | $378509.62    | 0.17%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Icahn Enterprises, L.P. / Icahn Enterprises Finance Corporation | IEP 4 3/8 02/01/29      | CUSIP: 451102CC9<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |   1912000 | PA      | $1688495.61   | 0.75%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Brightstar Lottery PLC                                          | IGT 5 1/4 01/15/29      | CUSIP: 460599AE3<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |   1780000 | PA      | $1779235.49   | 0.79%             | 2029-01-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                            | JPM 8 1/2 02/15/39      | CUSIP: 48130CGJ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    523000 | PA      | $495055.82    | 0.22%             | 2039-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 27 Ltd./ KKR CLO 27 LLC                                 | KKR 27A D1R2            | CUSIP: 48253YBU1<br>LEI: 5493007WGG1LNIZXEI24 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002858.00   | 0.89%             | 2035-01-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| KeyBank National Association                                    | KEY 6.95 02/01/28       | CUSIP: 49306CAB7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1051186.28   | 0.47%             | 2028-02-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                         | KEY 5 PERP              | CUSIP: 493267AK4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1271890.40   | 0.57%             | 2049-12-29      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Light & Wonder International Inc.                               | LNW 7 1/2 09/01/31      | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1102133.55   | 0.49%             | 2031-09-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| M&T Bank Corporation                                            | MTB 3 1/2 PERP          | CUSIP: 55261FAN4<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2047000 | PA      | $2011626.41   | 0.90%             | 2173-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties 2 L.P.                                          | MGMGPO 5 3/4 02/01/27   | CUSIP: 55303XAJ4<br>LEI: 549300U6G4UOCMLQK204 | Long             | DBT              | CORP              | US        |    166000 | PA      | $167798.24    | 0.07%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XLV Ltd/Llc                                | MDPK 2020-45A CRR       | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1502061.00   | 0.67%             | 2034-07-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 2 03/09/26        | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1295080.67   | 0.58%             | 2026-03-09      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 2 3/4 03/09/28    | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1149376.97   | 0.51%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 1.85 09/16/26     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2262000 | PA      | $2216607.72   | 0.99%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 2.45 09/15/28     | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    710000 | PA      | $660896.31    | 0.29%             | 2028-09-15      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 5.3 09/13/27      | CUSIP: 65480CAG0<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    837000 | PA      | $840088.99    | 0.37%             | 2027-09-13      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 5.55 09/13/29     | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    775000 | PA      | $773117.69    | 0.34%             | 2029-09-13      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 6 1/8 09/30/30    | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   3325000 | PA      | $3317980.93   | 1.48%             | 2030-09-30      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| OSD CLO 2021-23 Ltd                                             | OCP 2021-23A CR         | CUSIP: 671026AQ5<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000000.00   | 0.45%             | 2037-01-17      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Ozlm XXIV Ltd.                                                  | OZLM 2019-24A C2        | CUSIP: 67113DAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2150000 | PA      | $2157379.23   | 0.96%             | 2032-07-20      | Floating      | 8.19%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO I Ltd.                                           | OAKCL 2020-1A CRR       | CUSIP: 67402FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003798.00   | 0.89%             | 2038-01-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| OAKTREE CLO 2025-29 LTD                                         | OAKCL 2025-29A C        | CUSIP: 67402XAE0<br>LEI: 254900JZZ80KXT7WZA03 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003848.00   | 0.89%             | 2038-04-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 32 Ltd.                             | OCT32 2017-1A A2R3      | CUSIP: 67573CAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002180.00   | 0.45%             | 2037-10-31      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Corporation                                   | OMF 3 1/2 01/15/27      | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    310000 | PA      | $306289.05    | 0.14%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc.                               | PNC 3.4 PERP            | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1344847.00   | 0.60%             | 2172-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PENN Entertainment Inc                                          | PENN 5 5/8 01/15/27     | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2219000 | PA      | $2216679.15   | 0.99%             | 2027-01-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| PENN Entertainment Inc                                          | PENN 4 1/8 07/01/29     | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2455000 | PA      | $2279884.19   | 1.02%             | 2029-07-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                            | RY 8 1/2 02/28/39       | CUSIP: 78014RTB6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    478000 | PA      | $479488.28    | 0.21%             | 2039-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                  | SCHW 4 PERP             | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1544150.92   | 0.69%             | 2169-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Light & Wonder International Inc.                               | SGMS 7 1/4 11/15/29     | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |   1492000 | PA      | $1532512.28   | 0.68%             | 2029-11-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Sempra                                                          | SRE 4 1/8 04/01/52      | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1784419.92   | 0.80%             | 2052-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Shackleton 2014-V-R Clo Ltd / Llc                               | SHACK 2014-5RA D        | CUSIP: 81881JAJ1<br>LEI: 549300OM5GJJFIKCOZ48 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1754291.00   | 0.78%             | 2031-05-07      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                           | SOCGEN 4 1/4 08/19/26   | CUSIP: 83368JKF6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    525000 | PA      | $524875.52    | 0.23%             | 2026-08-19      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                           | SOCGEN 2.797 01/19/28   | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $493852.19    | 0.22%             | 2028-01-19      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Southern Co.                                                    | SO 3 3/4 09/15/51       | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1245255.88   | 0.56%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Corporation                                   | OMF 5 3/8 11/15/29      | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249490.93    | 0.11%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                             | RRR 4 1/2 02/15/28      | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1294992.40   | 0.58%             | 2028-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Synchrony Financial                                             | SYF 3.7 08/04/26        | CUSIP: 87165BAL7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249504.35    | 0.11%             | 2026-08-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Tcw Clo                                                         | TCW 2017-1A AJR4        | CUSIP: 87240NBW5<br>LEI: 549300BD6SSD2EBMCC95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003868.00   | 0.45%             | 2038-03-24      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                | TEVA 3.15 10/01/26      | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1113000 | PA      | $1104719.50   | 0.49%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                | TEVA 6 3/4 03/01/28     | CUSIP: 88167AAK7<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $519543.00    | 0.23%             | 2028-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                | TEVA 4 3/4 05/09/27     | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1800000 | PA      | $1801333.80   | 0.80%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands IV B.V.                 | TEVA 5 3/4 12/01/30     | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $259034.75    | 0.12%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Trimaran Cavu 2019-1 Ltd / LLC                                  | CAVU 2019-1A CR         | CUSIP: 89624CDL3<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005106.00   | 0.89%             | 2037-01-20      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| U.S. Bancorp.                                                   | USB 5.3 PERP            | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   2295000 | PA      | $2299626.72   | 1.03%             | 2049-12-29      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                   | USB 3.7 PERP            | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    600000 | PA      | $591919.92    | 0.26%             | 2174-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United Air Lines, Inc.                                          | UAL 4 3/8 04/15/26      | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    380000 | PA      | $379936.81    | 0.17%             | 2026-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bills                                    | B 03/05/26              | CUSIP: 912797RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9968918.20   | 4.45%             | 2026-03-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                                   | UVN 4 1/2 05/01/29      | CUSIP: 914906AV4<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2245602.43   | 1.00%             | 2029-05-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Vici Properties Inc                                             | VICI 4 1/4 12/01/26     | CUSIP: 92564RAA3<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499901.59    | 0.22%             | 2026-12-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Vici Properties Inc                                             | VICI 4 1/8 08/15/30     | CUSIP: 92564RAE5<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |    725000 | PA      | $703997.26    | 0.31%             | 2030-08-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                         | VW 4 3/4 11/13/28       | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505914.11    | 0.23%             | 2028-11-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                         | VW 5.65 09/12/28        | CUSIP: 928668BW1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    500000 | PA      | $516179.28    | 0.23%             | 2028-09-12      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                         | VW 5.4 03/20/26         | CUSIP: 928668CE0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500901.79    | 0.22%             | 2026-03-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                               | WFC 3.9 PERP            | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $999313.50    | 0.45%             | 2169-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLOLTD 2021-3                                        | WINDR 2021-3A D1AR      | CUSIP: 97316DAW6<br>LEI: 254900AGKLJSTAXGRN27 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2011692.00   | 0.90%             | 2038-04-20      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| Six Flags                                                       | FUN TL B 1L USD         | CUSIP: 15018LAN1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    992443 | PA      | $983139.17    | 0.44%             | 2031-05-01      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Restaurant Brands International                                 | BCULC TL B5 1L USD      | CUSIP: C6901LAM9<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | US        |   1895368 | PA      | $1893472.24   | 0.84%             | 2030-09-23      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Light & Wonder (Scientific Games)                               | LNW TL B 1L USD         | CUSIP: 80875AAW1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |    983189 | PA      | $985646.89    | 0.44%             | 2029-04-16      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                       | CZR TL B1 1L USD        | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |   3471117 | PA      | $3454629.33   | 1.54%             | 2031-02-06      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Penn Entertainment (fka Penn National Gaming)                   | PENN TL B 1L USD        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    493606 | PA      | $494092.35    | 0.22%             | 2029-05-03      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Great American Outdoors (Bass Pro Shops)                        | BASSPR TL B 1L USD      | CUSIP: 07014QAP6<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |   2930192 | PA      | $2934220.62   | 1.31%             | 2032-01-16      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| American Airlines                                               | AAL TL B 1L USD         | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1141375 | PA      | $1143754.77   | 0.51%             | 2028-04-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Aramark                                                         | ARMK TL B9 1L USD       | CUSIP: 03852JBB6<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |    876858 | PA      | $880145.84    | 0.39%             | 2028-04-06      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| OUTFRONT Media                                                  | OUT TL B 1L USD         | CUSIP: 69007UAB7<br>LEI: 5493005WC7J0FDMW0610 | Long             | LON              | CORP              | US        |    500000 | PA      | $503750.00    | 0.22%             | 2032-09-24      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Aramark                                                         | ARMK TL B10 1L USD      | CUSIP: 03852JBC4<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |   1435279 | PA      | $1439771.61   | 0.64%             | 2030-06-24      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                      | ACACN TL B 1L USD       | CUSIP: C0102MAS4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | US        |   2465000 | PA      | $2471162.50   | 1.10%             | 2031-03-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Graham Packaging                                                | GRMPAC TL B 1L USD      | CUSIP: N/A<br>LEI: 549300YS0ZFT826HIK72       | Long             | LON              | CORP              | US        |   1250000 | PA      | $1250456.25   | 0.56%             | 2033-01-14      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Garda World Security                                            | GWCN TL B 1L USD        | CUSIP: C4000KAH7<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.89%             | 2029-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| MKS Instruments                                                 | MKSI TL B 1L USD        | CUSIP: 55314NBB9<br>LEI: 549300KEQATBHAGVF505 | Long             | LON              | CORP              | US        |    600000 | PA      | $602175.00    | 0.27%             | 2033-01-28      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| CHARTER NEXT GENERATION                                         | UAL TL B 1L USD         | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1649020 | PA      | $1653826.99   | 0.74%             | 2031-02-24      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                | DB 8.13011 PERP         | CUSIP: D18190PH1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2000000 | PA      | $2157775.50   | 0.96%             | 2174-04-30      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                  | BNP 7 3/4 PERP          | CUSIP: F1067PAC0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2125566.00   | 0.95%             | 2174-02-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole S.A.                                            | ACAFP 4 3/4 PERP        | CUSIP: F2R125CJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1750000 | PA      | $1705162.73   | 0.76%             | 2174-03-23      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale S.A.                                           | SOCGEN 5 3/8 PERP       | CUSIP: F8500RAA0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2500000 | PA      | $2432165.25   | 1.09%             | 2173-05-18      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                          | US 2YR NOTE (CBT) Mar26 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        25 | NC      | $-10742.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                          | US 10YR NOTE (CBT)Mar26 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        25 | NC      | $-43359.37    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Nissan Motor Acceptance Co LLC                                  | NSANY 2 03/09/26        | CUSIP: U65478BU9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    723000 | PA      | $720264.10    | 0.32%             | 2026-03-09      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                          | US LONG BOND(CBT) Mar26 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        25 | NC      | $-67968.75    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

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

**Signature:** Laura Szalyga

**Name of Signer:** Laura Szalyga

**Title:** Treasurer