# EDGAR Filing Document

**Accession Number:** 0001552947
**File Stem:** 0000910472-26-010046
**Filing Date:** 2026-6
**Character Count:** 133480
**Document Hash:** e9227df00ff021b018f08a1d1173bdb8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000910472-26-010046.hdr.sgml**: 20260629

**ACCESSION NUMBER**: 0000910472-26-010046

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260629

**DATE AS OF CHANGE**: 20260629

**PERIOD START**: 20261031

**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:** 261131700

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $153795394.43

**Total Liabilities:** $861499.84

**Net Assets:** $152933894.59

**Cash Not Reported:** $565535.24

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 584.48045000 | **1-Year:** 3380.75585200 | **5-Year:** 7532.11460700 | **10-Year:** 7464.80970000 | **30-Year:** 4072.08463400

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

- **3-Month:** 1892.76867300 | **1-Year:** 3658.74569200 | **5-Year:** 9385.98834000 | **10-Year:** 1011.20166100 | **30-Year:** 1142.01284600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000124329 | 0.45%                | -0.97%               | 1.06%                |
| Class ID C000124331 | 0.39%                | -0.92%               | 0.88%                |
| Class ID C000124332 | 0.47%                | -0.95%               | 1.08%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $34323.22                | $327642.94                                 |
| Month 2  | $-122859.92              | $-1390115.44                               |
| Month 3  | $1201.08                 | $1259704.25                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-20 IM          | CUSIP: 38378F4B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    677422 | PA      | $98840.21     | 0.06%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE2                                                      | CDCMC 2004-HE1 M2       | CUSIP: 12506YCM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35727 | PA      | $35823.29     | 0.02%             | 2034-06-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                                      | RRR 4 5/8 12/01/31      | CUSIP: 857691AH2<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    175000 | PA      | $164774.07    | 0.11%             | 2031-12-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-5 BI           | CUSIP: 38378FPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     60089 | PA      | $8846.29      | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA (THE)                                                                | BNS 3 5/8 10/27/2081    | CUSIP: 0641598N9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1755000 | PA      | $1732244.85   | 1.13%             | 2081-10-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                                      | NSANY 2 3/4 03/09/28    | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    945000 | PA      | $896672.76    | 0.59%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-22 EI          | CUSIP: 38381REC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    428303 | PA      | $8725.39      | 0.01%             | 2043-07-20      | Floating      | 1.00%                 | 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      | $268781.43    | 0.18%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-112 KI         | CUSIP: 38380TZU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    302534 | PA      | $23802.11     | 0.02%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCTAGON LTD                                                                              | OCT32 2017-1A A2R3      | CUSIP: 67573CAU3<br>LEI: 5493009LQ0GMI27K0355 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999975.00    | 0.65%             | 2037-10-31      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-54 SA          | CUSIP: 3136B2XW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    858022 | PA      | $77008.58     | 0.05%             | 2048-08-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                                          | CMS 4 3/4 06/01/50      | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $982637.70    | 0.64%             | 2050-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CWALT INC                                                                                | CWALT 2004-35T2 A4      | CUSIP: 12667FQ81<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-O            | CORP              | US        |    118758 | PA      | $22081.22     | 0.01%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                         | DUK 3 1/4 01/15/2082    | CUSIP: 26441CBP9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1277803.54   | 0.84%             | 2082-01-15      | Fixed         | 3.25%                 | 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      | $69751.85     | 0.05%             | 2042-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2008-60 SH          | CUSIP: 38375DAJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    954236 | PA      | $2427.77      | 0.00%             | 2038-07-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP                                      | CSFB 2001-HE8 A1        | CUSIP: 22540AB49<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15750 | PA      | $15635.05     | 0.01%             | 2031-02-25      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2015-16 IN          | CUSIP: 3136ANBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     20973 | PA      | $173.71       | 0.00%             | 2043-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI US CLO II LLC                                                          | BLUEM 2017-2A C         | CUSIP: 09629EAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2002933.20   | 1.31%             | 2030-10-20      | Floating      | 6.94%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHS 202 IO              | CUSIP: 31282YCR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21434 | PA      | $1462.08      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5086 HI             | CUSIP: 3137FFGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    737470 | PA      | $155923.11    | 0.10%             | 2051-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS HOME LOAN OWNER TRUST 2001-A                                                | BSABS 2004-BO1 M9B      | CUSIP: 073879JV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $138507.44    | 0.09%             | 2034-10-25      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2018-154 IT         | CUSIP: 38381AWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    201152 | PA      | $36487.21     | 0.02%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4699 NI             | CUSIP: 3137F1PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    536906 | PA      | $63870.36     | 0.04%             | 2046-12-15      | Fixed         | 4.00%                 | 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        |    492327 | PA      | $494902.25    | 0.32%             | 2029-05-03      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP INC                                                             | CFG 4 PERP              | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1024049.91   | 0.67%             | 2171-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                                   | CNP 7 02/15/55          | CUSIP: 15189TBH9<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1226903.97   | 0.80%             | 2055-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5086 IW             | CUSIP: 3137FFGQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    391685 | PA      | $55483.44     | 0.04%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4076 SW             | CUSIP: 3137ASGB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    142067 | PA      | $13649.45     | 0.01%             | 2042-07-15      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2017-1 LTD                                                            | ROCKT 2017-1A DR2B      | CUSIP: 77340EBG0<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1459840.50   | 0.95%             | 2034-04-20      | Floating      | 8.92%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2017-78 KI          | CUSIP: 3136AX6Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     76251 | PA      | $13540.20     | 0.01%             | 2047-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 406 15              | CUSIP: 3136FG2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930741 | PA      | $193334.22    | 0.13%             | 2040-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4827 BI             | CUSIP: 3137FHM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    887012 | PA      | $133643.14    | 0.09%             | 2048-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LIGHT AND WONDER INTERNATIONAL INC                                                       | SGMS 7 1/4 11/15/29     | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    778000 | PA      | $795976.47    | 0.52%             | 2029-11-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertainment Inc                                                                | CZR TL B1 1L USD        | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |   3664307 | PA      | $3557822.71   | 2.33%             | 2031-02-06      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| VANGUARD FIXED INCOME SECURITIES FUNDS                                                   | VANG-H/Y CO-ADM         | CUSIP: 922031760<br>LEI: 549300F3N7VQKU6I4K64 | Long             | EC               | RF                | US        |    422170 | NS      | $2317711.64   | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-74 MI          | CUSIP: 3136B3JA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    359748 | PA      | $70080.39     | 0.05%             | 2048-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Light & Wonder (Scientific Games)                                                        | LNW TL B 1L USD         | CUSIP: 80875AAY7<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |    983189 | PA      | $985032.40    | 0.64%             | 2029-04-16      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                           | TEVA 3.15 10/01/26      | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    989000 | PA      | $982473.98    | 0.64%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2020-10 S           | CUSIP: 3136B9AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    904491 | PA      | $99435.62     | 0.07%             | 2059-05-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2010-166 SA         | CUSIP: 38377RUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1460528 | PA      | $168142.24    | 0.11%             | 2040-12-16      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2007-112 SA         | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    121891 | PA      | $13851.82     | 0.01%             | 2037-12-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 384 2               | CUSIP: 3136FER20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194066 | PA      | $20931.42     | 0.01%             | 2037-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2019-44 IC          | CUSIP: 3136B5VE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    411143 | PA      | $63935.66     | 0.04%             | 2049-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                            | F 4 1/8 08/17/27        | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    313000 | PA      | $309363.37    | 0.20%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                                                      | RRR 4 1/2 02/15/28      | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |   1248000 | PA      | $1230786.46   | 0.80%             | 2028-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2021-27 GI          | CUSIP: 3136BHAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    195900 | PA      | $51493.56     | 0.03%             | 2051-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                            | F 6.2 06/20/34          | CUSIP: 34540TH88<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000529.16   | 0.65%             | 2034-06-20      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2009-101 MI         | CUSIP: 31398F6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    269989 | PA      | $21369.45     | 0.01%             | 2039-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANCSHARES INC                                                            | FCNCA FLOAT PERP        | CUSIP: 31959XAA1<br>LEI: 549300N3Z00ZHE2XC526 | Long             | DBT              | CORP              | US        |   3704000 | PA      | $3749429.56   | 2.45%             | 2170-06-15      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-82 IG          | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    309182 | PA      | $51279.98     | 0.03%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2003-UP3                                                   | CBASS 2004-CB3 B1       | CUSIP: 17307GES3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80513 | PA      | $110314.77    | 0.07%             | 2034-03-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4197 IG             | CUSIP: 3137B1TF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    377162 | PA      | $44719.91     | 0.03%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                            | F 3.815 11/02/27        | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $491585.15    | 0.32%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLV LTD                                                             | MDPK 2020-45A CRR       | CUSIP: 55820BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $498644.50    | 0.33%             | 2034-07-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-11 MI          | CUSIP: 38381BSL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    101892 | PA      | $4909.12      | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-88 IB          | CUSIP: 38380FRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    644370 | PA      | $79795.17     | 0.05%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OUTFRONT Media                                                                           | OUT TL B 1L USD         | CUSIP: 69007UAB7<br>LEI: 5493005WC7J0FDMW0610 | Long             | LON              | CORP              | US        |    500000 | PA      | $502970.00    | 0.33%             | 2032-09-24      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4583 ST             | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    655304 | PA      | $65774.12     | 0.04%             | 2046-05-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                 | GNR 2018-1 IP           | CUSIP: 38380UA45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    268525 | PA      | $27275.50     | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4480 IN             | CUSIP: 3137BKD31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    199337 | PA      | $29463.25     | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP / ICAHN ENTERPRISES FINANCE CORP                                    | IEP 4 3/8 02/01/29      | CUSIP: 451102CC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1232485.25   | 0.81%             | 2029-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2006-109 SG         | CUSIP: 31396LQX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    391185 | PA      | $35691.23     | 0.02%             | 2036-11-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TRUST                                                             | MALT 2003-7 6A1         | CUSIP: 576434HH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8837 | PA      | $9025.75      | 0.01%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                       | GSR 2004-2F 7A2         | CUSIP: 36229RLM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8192 | PA      | $170.65       | 0.00%             | 2034-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2015-179 GS         | CUSIP: 38379TCB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    244772 | PA      | $35120.54     | 0.02%             | 2045-12-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-20 KI          | CUSIP: 38378F6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    282418 | PA      | $48614.15     | 0.03%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 80              | CUSIP: 3136FLDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88272 | PA      | $15763.01     | 0.01%             | 2039-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-34 CI          | CUSIP: 3136B1G65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    164248 | PA      | $27670.32     | 0.02%             | 2048-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET BACKED CERTIFICATES SERIES 2002-4                                            | CWL 2004-6 2A4          | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31524 | PA      | $31105.48     | 0.02%             | 2034-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 413 177             | CUSIP: 31395QPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138960 | PA      | $24437.41     | 0.02%             | 2042-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHS 256 50              | CUSIP: 3128HU3T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394990 | PA      | $46837.94     | 0.03%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MKS Instruments                                                                          | MKSI TL B 1L USD        | CUSIP: 55314NBB9<br>LEI: 549300KEQATBHAGVF505 | Long             | LON              | CORP              | US        |    400000 | PA      | $401876.00    | 0.26%             | 2033-01-28      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2010-29 SA          | CUSIP: 38376XSS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1743827 | PA      | $196710.97    | 0.13%             | 2039-10-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 3772 SA             | CUSIP: 3137A4JG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     82365 | PA      | $59211.00     | 0.04%             | 2040-12-15      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                                              | GSR 2004-6F 2A6         | CUSIP: 36228F2M7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      4904 | PA      | $4882.23      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-141 ID         | CUSIP: 38380HKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     10389 | PA      | $1422.25      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2016-121 JS         | CUSIP: 38380AZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    766323 | PA      | $95814.36     | 0.06%             | 2046-09-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHS 303 181             | CUSIP: 31325UBL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138195 | PA      | $16117.74     | 0.01%             | 2039-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2016-81 IO          | CUSIP: 38379YNN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    150478 | PA      | $31140.94     | 0.02%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                                 | EDF 9 1/8 PERP          | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2332882.00   | 1.53%             | 2173-06-15      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| KEYCORP                                                                                  | KEY 5 PERP              | CUSIP: 493267AK4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1648000 | PA      | $1634743.98   | 1.07%             | 2049-12-29      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2012-140 IC         | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    361801 | PA      | $57021.49     | 0.04%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2020-127 IN         | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    358285 | PA      | $51523.59     | 0.03%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2012-98 HS          | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    270094 | PA      | $25860.02     | 0.02%             | 2042-08-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                                      | NSANY 6 1/8 09/30/30    | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   3575000 | PA      | $3522769.61   | 2.30%             | 2030-09-30      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| CWMBS INC MORTGAGE PASS THROUGH CERTIFICATES SERIES 2003-J11                             | CWHL 2004-7 3A1         | CUSIP: 12669FXK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16558 | PA      | $16025.12     | 0.01%             | 2034-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2016-116 IJ         | CUSIP: 38380AJQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    269522 | PA      | $41763.54     | 0.03%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5082 HI             | CUSIP: 3137FFWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    280787 | PA      | $35559.68     | 0.02%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 359 14              | CUSIP: 3136FCUF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90566 | PA      | $12738.89     | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2014-133 BS         | CUSIP: 38379GQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     83195 | PA      | $6540.50      | 0.00%             | 2044-09-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| DRYDEN 55 CLO LTD                                                                        | DRSLF 2018-55A D        | CUSIP: 26245MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004591.00   | 0.66%             | 2031-04-15      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                   | US 10YR NOTE (CBT)Jun26 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        27 | NC      | $-62015.63    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 418 147             | CUSIP: 31395Q2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185154 | PA      | $28187.80     | 0.02%             | 2039-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                         | DB 8.13011 PERP         | CUSIP: D18190PH1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $1062247.96   | 0.69%             | 2174-04-30      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| CONSECO FINANCE CORP                                                                     | GT 1997-1 M1            | CUSIP: 393505SK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       285 | PA      | $285.74       | 0.00%             | 2028-03-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                                     | GM 5.7 PERP             | CUSIP: 37045XDB9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2425000 | PA      | $2384129.05   | 1.56%             | 2069-03-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2003-5                                                    | OOMLT 2003-5 A2         | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7798 | PA      | $8262.46      | 0.01%             | 2033-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                     | OMF 5 3/8 11/15/29      | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    350000 | PA      | $345088.21    | 0.23%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SUMISHO AIR LEASE CORP                                                                   | AL 4 1/8 PERP           | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1141115.98   | 0.75%             | 2173-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORP                                                        | RASC 2003-KS4 MI1       | CUSIP: 76110WRV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44875 | PA      | $44804.26     | 0.03%             | 2033-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2011-149 MS         | CUSIP: 3136A3FF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1074463 | PA      | $46347.70     | 0.03%             | 2041-11-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| NCL CORP LTD                                                                             | NCLH 5 7/8 01/15/31     | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    450000 | PA      | $438243.88    | 0.29%             | 2031-01-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-60 SA          | CUSIP: 38376UED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3382453 | PA      | $86378.39     | 0.06%             | 2037-10-20      | Floating      | 2.91%                 | 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      | $373095.61    | 0.24%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2018-18 BI          | CUSIP: 38380KW43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    246354 | PA      | $18976.32     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST                                                           | LBMLT 2003-2 M2         | CUSIP: 542514DV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14313 | PA      | $16550.69     | 0.01%             | 2033-06-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| American Airlines                                                                        | AAL TL B 1L USD         | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1891375 | PA      | $1883620.36   | 1.23%             | 2028-04-20      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4765 SI             | CUSIP: 3137FEQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8352401 | PA      | $69232.22     | 0.05%             | 2044-08-15      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-179 WI         | CUSIP: 38380UMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    110318 | PA      | $25550.77     | 0.02%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST                                                       | MSM 2004-10AR 4A        | CUSIP: 61748HFJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3550 | PA      | $3517.76      | 0.00%             | 2034-11-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2011-68 EI          | CUSIP: 38377VX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    115513 | PA      | $9905.53      | 0.01%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-101 ID         | CUSIP: 38380FR57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     56326 | PA      | $3460.80      | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-18 CS          | CUSIP: 38381B4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    175180 | PA      | $13395.82     | 0.01%             | 2049-02-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                                    | AAL 5.65 11/11/34       | CUSIP: 02377PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249209.63    | 0.16%             | 2034-11-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                                     | OMF 3 1/2 01/15/27      | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    165000 | PA      | $162897.39    | 0.11%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Aramark                                                                                  | ARMK TL B9 1L USD       | CUSIP: 03852JBB6<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | LON              | CORP              | US        |   2630573 | PA      | $2642620.89   | 1.73%             | 2028-04-06      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-122 SB         | CUSIP: 38378WAU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    554895 | PA      | $58159.79     | 0.04%             | 2043-08-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2005-5N                                                           | SASC 2005-WF1 M8        | CUSIP: 86359BW64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143305 | PA      | $144755.88    | 0.09%             | 2035-02-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                       | ALLY 6 07/15/29         | CUSIP: 02006DV40<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251005.13    | 0.16%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-189 PS         | CUSIP: 38378PMH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    242522 | PA      | $21377.60     | 0.01%             | 2043-07-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                            | F 6 1/8 03/08/34        | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1426881.87   | 0.93%             | 2034-03-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ECP CLO 2015-7 LTD                                                                       | GLGU 2018-1A BR         | CUSIP: 26829CBB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2400000 | PA      | $2408245.44   | 1.57%             | 2030-04-22      | Floating      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP (THE)                                                       | BK 6.3 PERP             | CUSIP: 064058AN0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    500000 | PA      | $516818.00    | 0.34%             | 2174-03-20      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS MORTGAGE SECURITIES VII INC                                     | SBM7 2003-1 A2          | CUSIP: 79549AYQ6<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-O            | CORP              | US        |      4705 | PA      | $1820.04      | 0.00%             | 2033-09-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC                                                      | AEP 3 7/8 02/15/62      | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1877000 | PA      | $1849886.92   | 1.21%             | 2062-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2016-46 IO          | CUSIP: 38379WBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    243681 | PA      | $37929.37     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | 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        |   1927830 | PA      | $1942529.62   | 1.27%             | 2032-01-16      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 418 141             | CUSIP: 31395Q2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183458 | PA      | $26706.97     | 0.02%             | 2039-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-144 AS         | CUSIP: 38378UB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    730595 | PA      | $10296.57     | 0.01%             | 2043-03-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                       | ACAFP 4 3/4 PERP        | CUSIP: F2R125CJ2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1750000 | PA      | $1704613.93   | 1.11%             | 2174-03-23      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-179 KS         | CUSIP: 38380ULB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    682488 | PA      | $86302.36     | 0.06%             | 2047-12-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                       | ACAFP 4 3/4 PERP        | CUSIP: 225313AP0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    725000 | PA      | $706197.20    | 0.46%             | 2173-03-23      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4792 AI             | CUSIP: 3137F5AG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    155878 | PA      | $26405.29     | 0.02%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5022 IO             | CUSIP: 3137FXDW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    682838 | PA      | $113799.90    | 0.07%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 419 C3              | CUSIP: 31395Q5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313208 | PA      | $41176.30     | 0.03%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                                                   | PENN 4 1/8 07/01/29     | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1256806.19   | 0.82%             | 2029-07-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                       | ALLY 4.7 PERP           | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2332000 | PA      | $2328969.47   | 1.52%             | 2169-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                                             | CRL 4 1/4 05/01/28      | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    512000 | PA      | $504173.06    | 0.33%             | 2028-05-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2020-167 NS         | CUSIP: 38382LBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGSE             | US        |    531844 | PA      | $71522.14     | 0.05%             | 2050-11-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                               | COF FLOAT PERP          | CUSIP: 14040HDK8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    750000 | PA      | $742022.18    | 0.49%             | 2173-10-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4473 AS             | CUSIP: 3137BJAS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    246327 | PA      | $17735.26     | 0.01%             | 2045-05-15      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TRUST                                                             | MALT 2007-HF1 4AX       | CUSIP: 55291YAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360375 | PA      | $66258.24     | 0.04%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A1                                                         | JPMMT 2005-A1 3A5       | CUSIP: 466247NJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12050 | PA      | $11514.21     | 0.01%             | 2035-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORP                                                                            | MTB 3 1/2 PERP          | CUSIP: 55261FAN4<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   1355000 | PA      | $1336346.05   | 0.87%             | 2173-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Restaurant Brands International                                                          | BCULC TL B5 1L USD      | CUSIP: C6901LAM9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    938044 | PA      | $940093.38    | 0.61%             | 2030-09-23      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4394 BI             | CUSIP: 3137BEUD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    154644 | PA      | $19089.52     | 0.01%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRIGHTSTAR LOTTERY PLC                                                                   | IGT 5 1/4 01/15/29      | CUSIP: 460599AE3<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |    675000 | PA      | $672374.45    | 0.44%             | 2029-01-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-16 MI          | CUSIP: 3136B1BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    887742 | PA      | $178968.03    | 0.12%             | 2048-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2014-94 JI          | CUSIP: 38379CZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4369956 | PA      | $14773.95     | 0.01%             | 2034-09-16      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                                           | TEVA 4 3/4 05/09/27     | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1600000 | PA      | $1599168.64   | 1.05%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LIGHT AND WONDER INTERNATIONAL INC                                                       | LNW 7 1/2 09/01/31      | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |    850000 | PA      | $886192.51    | 0.58%             | 2031-09-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC                                                         | MSAC 2004-NC7 M4        | CUSIP: 61744CFS0<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-O            | CORP              | US        |      6337 | PA      | $9380.23      | 0.01%             | 2034-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                            | C 4.15 PERP             | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2258000 | PA      | $2243400.00   | 1.47%             | 2170-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AFC MORTGAGE LOAN ASSET BACKED CERTIFICATES                                              | AFC 2000-1 1A           | CUSIP: 00105HEG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2916 | PA      | $2909.09      | 0.00%             | 2030-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO II LTD                                                                     | BATLN 2019-16A CR2      | CUSIP: 07133MAW6<br>LEI: 549300TL38G7SDO1N781 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001207.00   | 0.65%             | 2038-01-20      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| AIR CANADA                                                                               | ACACN 3 7/8 08/15/26    | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |   1425000 | PA      | $1421984.70   | 0.93%             | 2026-08-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-35 KI          | CUSIP: 3136B1E59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    209780 | PA      | $35453.80     | 0.02%             | 2048-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP (THE)                                                                | SCHW 4 PERP             | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1548393.43   | 1.01%             | 2169-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST SERIES 2003-4                                         | NCHET 2003-A M1         | CUSIP: 64352VDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4437 | PA      | $6201.37      | 0.00%             | 2033-10-25      | Floating      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST                                               | BSABS 2003-ABF1 A       | CUSIP: 07384YLE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15591 | PA      | $15582.57     | 0.01%             | 2034-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5093 NI             | CUSIP: 3137FYK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    303679 | PA      | $74042.60     | 0.05%             | 2049-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHS 324 C24             | CUSIP: 31325VBU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419920 | PA      | $86505.89     | 0.06%             | 2043-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5023 MI             | CUSIP: 3137FWV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    380164 | PA      | $61809.42     | 0.04%             | 2050-10-25      | Fixed         | 3.00%                 | 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        |    700000 | PA      | $699848.35    | 0.46%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2004-70 XJ          | CUSIP: 31394A4U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    229515 | PA      | $28648.92     | 0.02%             | 2034-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-114 CI         | CUSIP: 38380TYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    139292 | PA      | $13642.97     | 0.01%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2013-10 SJ          | CUSIP: 3136ACEL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    126397 | PA      | $13035.25     | 0.01%             | 2043-02-25      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2007-39 AI          | CUSIP: 31396VSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    168113 | PA      | $14640.16     | 0.01%             | 2037-05-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2004-1                                            | NHEL 2004-1 M5          | CUSIP: 66987XEE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1843 | PA      | $1717.55      | 0.00%             | 2034-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5174 NI             | CUSIP: 3137H4MG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1092208 | PA      | $186037.48    | 0.12%             | 2051-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4419 EI             | CUSIP: 3137BFQ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     33314 | PA      | $3150.81      | 0.00%             | 2037-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 1999-2                                                      | SAST 2003-3 M2          | CUSIP: 805564PF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11440 | PA      | $10389.46     | 0.01%             | 2033-12-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2014-68 IB          | CUSIP: 3136ALRF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    335447 | PA      | $33757.41     | 0.02%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                       | ET 6 1/2 PERP           | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3986000 | PA      | $4003008.26   | 2.62%             | 2169-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQUITY ONE MORTGAGE PASS-THROUGH TRUST 2002-5                                            | EQABS 2002-5 M1         | CUSIP: 294751BP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6436 | PA      | $7208.60      | 0.00%             | 2032-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                               | COF 3.95 PERP           | CUSIP: 14040HCF0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1363000 | PA      | $1352659.71   | 0.88%             | 2169-09-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                           | BNP 4 5/8 PERP          | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2780000 | PA      | $2772754.49   | 1.81%             | 2177-01-12      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-130 LI         | CUSIP: 38380GDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    229617 | PA      | $15678.29     | 0.01%             | 2045-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2010-133 SB         | CUSIP: 38377MHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    842830 | PA      | $99333.96     | 0.06%             | 2040-10-16      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2010-150 SP         | CUSIP: 31397QBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    359690 | PA      | $26767.98     | 0.02%             | 2040-10-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                                      | SOCGEN 5 3/8 PERP       | CUSIP: F8500RAA0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $963571.00    | 0.63%             | 2173-05-18      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2005-NC1                                            | MLMI 2003-OPT1 M2       | CUSIP: 5899295L8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17020 | PA      | $14421.32     | 0.01%             | 2034-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                            | GS 3.65 PERP            | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1607000 | PA      | $1602983.30   | 1.05%             | 2170-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                                    | ATH 2.95 11/12/26       | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247892.07    | 0.16%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| MERITAGE MORTGAGE LOAN TRUST 2004-1                                                      | MMLT 2003-1 M2          | CUSIP: 59001FAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3845 | PA      | $4003.14      | 0.00%             | 2033-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 4 LTD                                                                    | CRNPT 2018-4A B         | CUSIP: 22845XAE0<br>LEI: 549300735PG2ZC70V672 | Long             | ABS-CBDO         | CORP              | KY        |    227915 | PA      | $228002.28    | 0.15%             | 2031-04-20      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST I                                                                   | AER Float 12/21/65      | CUSIP: 44965TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $858963.30    | 0.56%             | 2065-12-21      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| TCW CLO 2017-1 LTD                                                                       | TCW 2017-1A AJR4        | CUSIP: 87240NBW5<br>LEI: 549300BD6SSD2EBMCC95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000741.00   | 0.65%             | 2038-03-24      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 413 155             | CUSIP: 31395QNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280176 | PA      | $48871.59     | 0.03%             | 2042-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY ADVISOR SERIES II                                                               | FID-FL RT HI            | CUSIP: 315916783<br>LEI: EIVUM2R16VT371T5KS40 | Long             | EC               | RF                | US        |    286672 | NS      | $2585777.81   | 1.69%             |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                                      | NSANY 5.3 09/13/27      | CUSIP: 65480CAG0<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1288000 | PA      | $1284781.25   | 0.84%             | 2027-09-13      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2015-40 LT          | CUSIP: 3136AN4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5779900 | PA      | $4834.89      | 0.00%             | 2045-06-25      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                           | BNP 7 3/4 PERP          | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1225000 | PA      | $1288480.73   | 0.84%             | 2169-08-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                                     | BAC 4 3/8 PERP          | CUSIP: 060505GB4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1031478.97   | 0.67%             | 2174-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 426 292             | CUSIP: 31422MYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416013 | PA      | $66317.47     | 0.04%             | 2051-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-103 DS         | CUSIP: 38378VAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     60127 | PA      | $7019.58      | 0.00%             | 2043-07-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP                                      | WIFC 1997-WFC1 M3       | CUSIP: 22540ACY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51465 | PA      | $51108.87     | 0.03%             | 2027-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY (THE)                                                                   | SO 3 3/4 09/15/51       | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1245585.75   | 0.81%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2009-113 XI         | CUSIP: 31398GVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    312493 | PA      | $42557.45     | 0.03%             | 2040-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                                    | AAL 3.65 06/15/28       | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961502 | PA      | $933421.05    | 0.61%             | 2028-06-15      | Fixed         | 3.65%                 | 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        |    750000 | PA      | $702865.91    | 0.46%             | 2028-10-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2009-69 IV          | CUSIP: 38373AD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    531407 | PA      | $64444.59     | 0.04%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT                                     | B 06/09/26              | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $3486397.39   | 2.28%             | 2026-06-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST                                                       | FFML 2002-FF1 1A2       | CUSIP: 32027NAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7262 | PA      | $7968.13      | 0.01%             | 2032-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2017-99 DI          | CUSIP: 3136AY2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    267756 | PA      | $34498.86     | 0.02%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-160 TI         | CUSIP: 38380HYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    967857 | PA      | $14317.70     | 0.01%             | 2040-06-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2012-149 GI         | CUSIP: 38378GX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    120736 | PA      | $9093.66      | 0.01%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                   | US LONG BOND(CBT) Jun26 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        27 | NC      | $-123187.50   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-99 DI          | CUSIP: 38380F5B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     82859 | PA      | $2655.93      | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE3                                                      | CDCMC 2004-HE3 M2       | CUSIP: 12506YDG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86186 | PA      | $86903.59     | 0.06%             | 2034-11-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2015-34 HI          | CUSIP: 3136AN3F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1725477 | PA      | $363418.93    | 0.24%             | 2045-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-37 CI          | CUSIP: 3136B16S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     21481 | PA      | $193.97       | 0.00%             | 2047-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 408 9               | CUSIP: 3136FG5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363349 | PA      | $64635.25     | 0.04%             | 2040-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                                             | UVN 4 1/2 05/01/29      | CUSIP: 914906AV4<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    425000 | PA      | $405646.90    | 0.27%             | 2029-05-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP (THE)                                                       | BK 3.7 PERP             | CUSIP: 064058AJ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2644070.63   | 1.73%             | 2170-03-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO 17 LTD                                                                     | BATLN 2021-17A CR       | CUSIP: 07133PAS8<br>LEI: 549300QQUW46V6EB1N30 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500571.00    | 0.33%             | 2034-03-09      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                        | ARCC 5 1/2 09/01/30     | CUSIP: 04010LBK8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    925000 | PA      | $913022.65    | 0.60%             | 2030-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANFIELD BBH SWEEP                                                                        | BBH SWEEP VEHICLE       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |    862105 | PA      | $862105.12    | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2011-157 AI         | CUSIP: 38378ATU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |        34 | PA      | $0.00         | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                                   | US 5YR NOTE (CBT) Jun26 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | Long             | DIR              | CORP              | US        |        27 | NC      | $-46195.30    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUND POINT CLO II LTD                                                                   | SNDPT 2013-1A A3R       | CUSIP: 83608GAS5<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002118.00   | 1.31%             | 2031-01-26      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                                                                     | ARMK 5 02/01/28         | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    975000 | PA      | $973557.68    | 0.64%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                                  | BCAP 2007-AA2 21IO      | CUSIP: 05530NBF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5231954 | PA      | $93232.37     | 0.06%             | 2037-04-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2012-108 PS         | CUSIP: 38378HPT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    187875 | PA      | $23882.26     | 0.02%             | 2042-03-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4669 TI             | CUSIP: 3137BW5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2662244 | PA      | $5083.56      | 0.00%             | 2040-09-15      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2014-91 SB          | CUSIP: 38379CPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    251286 | PA      | $17498.55     | 0.01%             | 2044-06-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                            | F 5.8 03/05/27          | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $503607.92    | 0.33%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 417 C24             | CUSIP: 31395QE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680935 | PA      | $87873.58     | 0.06%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICG US CLO 2021-3 LTD                                                                    | ICG 2021-3A CR          | CUSIP: 449249AW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000814.00   | 0.65%             | 2034-10-20      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Six Flags                                                                                | FUN TL B 1L USD         | CUSIP: 15018LAN1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    989924 | PA      | $983737.41    | 0.64%             | 2031-05-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| MERITAGE MORTGAGE LOAN TRUST 2004-1                                                      | MMLT 2003-1 M3          | CUSIP: 59001FAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28884 | PA      | $29888.12     | 0.02%             | 2033-11-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Graham Packaging                                                                         | GRMPAC TL B 1L USD      | CUSIP: 38469EAH6<br>LEI: 549300YS0ZFT826HIK72 | Long             | LON              | CORP              | US        |   1000000 | PA      | $999375.00    | 0.65%             | 2033-01-14      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4416 DS             | CUSIP: 3137BFM32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    253989 | PA      | $28486.58     | 0.02%             | 2044-12-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 409 C13             | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161096 | PA      | $23974.78     | 0.02%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 2433 SA             | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     10644 | PA      | $11461.60     | 0.01%             | 2032-02-15      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2018-120 JI         | CUSIP: 38380YVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    139594 | PA      | $19971.00     | 0.01%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2017-97 SW          | CUSIP: 3136B0DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    841046 | PA      | $93254.57     | 0.06%             | 2047-12-25      | Floating      | 2.44%                 | 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        |    275000 | PA      | $278841.60    | 0.18%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2012-69 QI          | CUSIP: 38378EQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    214511 | PA      | $20588.71     | 0.01%             | 2041-03-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2021-78 QI          | CUSIP: 38382TBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    373599 | PA      | $18444.93     | 0.01%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 64              | CUSIP: 3136FLCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110148 | PA      | $17156.07     | 0.01%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2007-92 SK          | CUSIP: 31396XNB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    111951 | PA      | $11634.99     | 0.01%             | 2037-09-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2012-126 IO         | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    682365 | PA      | $93793.54     | 0.06%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE TRUST 2001-1                                                              | AMT 2001-1 M2           | CUSIP: 00253CGQ4<br>LEI: 549300XS7IY9BNXQ6U11 | Long             | ABS-O            | CORP              | US        |     18395 | PA      | $18239.49     | 0.01%             | 2031-06-25      | Fixed         | 8.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-4 ID           | CUSIP: 38378FNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    841857 | PA      | $146168.14    | 0.10%             | 2042-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHS 303 141             | CUSIP: 31325UAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208989 | PA      | $31128.72     | 0.02%             | 2043-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC                                                     | CBASS 2004-CB6 M2       | CUSIP: 59020UJD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40894 | PA      | $36178.16     | 0.02%             | 2035-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                               | USB 5.3 PERP            | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    732000 | PA      | $729807.73    | 0.48%             | 2049-12-29      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2016-54 PI          | CUSIP: 38379WMH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     85911 | PA      | $7995.66      | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4291 MS             | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    281317 | PA      | $27144.87     | 0.02%             | 2054-01-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2012-149 CS         | CUSIP: 38378GR91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    196993 | PA      | $15376.36     | 0.01%             | 2042-12-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4591 QI             | CUSIP: 3137BQQ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     92984 | PA      | $16577.14     | 0.01%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines                                                                          | UAL TL B 1L USD         | CUSIP: 90932RAQ7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1644824 | PA      | $1651510.33   | 1.08%             | 2031-02-24      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES INC                                                  | BOAMS 2004-A 2A4        | CUSIP: 05948XT43<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-O            | CORP              | US        |      2681 | PA      | $2659.37      | 0.00%             | 2034-02-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                    | FNS 409 83              | CUSIP: 3136FLDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246696 | PA      | $39283.31     | 0.03%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                             | ENBCN 6 1/4 03/01/78    | CUSIP: 29250NAW5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    976000 | PA      | $980873.17    | 0.64%             | 2078-03-01      | Fixed         | 6.25%                 | 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      | $1491021.00   | 0.97%             | 2038-04-20      | Floating      | 6.68%                 | 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        |    479000 | PA      | $484388.75    | 0.32%             | 2039-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                       | ALLY 4.7 PERP           | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2188000 | PA      | $2106861.39   | 1.38%             | 2169-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                                 | AXP 3.55 PERP           | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247726.68    | 0.16%             | 2171-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE SECURITIES INC                                                         | DMSI 2004-4 7AR2        | CUSIP: 251563FE7<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |      2554 | PA      | $2443.15      | 0.00%             | 2034-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2012-84 KI          | CUSIP: 3136A7R95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     95243 | PA      | $14210.14     | 0.01%             | 2042-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES INC ASSET BACKED PASS-THROUGH CERTIFICATES SERIES 2005-R7 | AMSI 2003-11 AF6        | CUSIP: 03072SLU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        49 | PA      | $182.41       | 0.00%             | 2033-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 407 40              | CUSIP: 3136FG4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716479 | PA      | $134066.46    | 0.09%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU 2019-1 LTD                                                                 | CAVU 2019-1A CR         | CUSIP: 89624CDL3<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1252477.50   | 0.82%             | 2037-01-20      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| OAKTREE CLO 2020-1 LTD                                                                   | OAKCL 2020-1A CRR       | CUSIP: 67402FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001214.00   | 0.65%             | 2038-01-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 413 126             | CUSIP: 31395QMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143949 | PA      | $22518.18     | 0.01%             | 2042-07-25      | Floating      | 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        |   1305462 | PA      | $50788.35     | 0.03%             | 2069-10-20      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Air Canada                                                                               | ACACN TL B 1L USD       | CUSIP: C0102MAS4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | US        |   1960013 | PA      | $1960747.92   | 1.28%             | 2031-03-21      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                                   | SRE 4 1/8 04/01/52      | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1089602.05   | 0.71%             | 2052-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2007-26 SD          | CUSIP: 38375KAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    538429 | PA      | $51466.09     | 0.03%             | 2037-05-16      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2005-5N                                                           | SASC 2005-WF1 M7        | CUSIP: 86359BW56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109279 | PA      | $111333.07    | 0.07%             | 2035-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2020-47 MI          | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    802564 | PA      | $155812.55    | 0.10%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 3935 SH             | CUSIP: 3137AGTF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    107040 | PA      | $779.64       | 0.00%             | 2040-12-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                                      | VICI 5 3/4 02/01/27     | CUSIP: 92564RAJ4<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502600.72    | 0.33%             | 2027-02-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2004-7AR                                              | MSM 2004-7AR 2A6        | CUSIP: 61748HCK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2469 | PA      | $2452.01      | 0.00%             | 2034-09-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                                    | TMTS 2003-2HE M2        | CUSIP: 881561AT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47506 | PA      | $61510.28     | 0.04%             | 2034-07-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 4091 ES             | CUSIP: 3137ATDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    189370 | PA      | $27091.91     | 0.02%             | 2042-08-15      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-31 IO          | CUSIP: 3136B1YP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    238523 | PA      | $44793.12     | 0.03%             | 2047-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-6 SA           | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    391523 | PA      | $41638.92     | 0.03%             | 2049-01-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-181 SA         | CUSIP: 38378YFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    124684 | PA      | $12417.86     | 0.01%             | 2043-11-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| SUMISHO AIR LEASE CORP                                                                   | AL 4.65 PERP            | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2577000 | PA      | $2580723.51   | 1.69%             | 2170-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2015-22 BS          | CUSIP: 3136ANEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    127610 | PA      | $13226.91     | 0.01%             | 2045-04-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                       | ET 6 5/8 PERP           | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1350854.46   | 0.88%             | 2167-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WIND RIVER 2021-3 CLO LTD                                                                | WINDR 2021-3A D1AR      | CUSIP: 97316DAW6<br>LEI: 254900AGKLJSTAXGRN27 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999940.00   | 1.31%             | 2038-04-20      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2016-163 KI         | CUSIP: 38380TBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    433339 | PA      | $25404.99     | 0.02%             | 2045-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHS 365 C10             | CUSIP: 31325XUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489926 | PA      | $93560.48     | 0.06%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                                      | NSANY 1.85 09/16/26     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    938000 | PA      | $925962.77    | 0.61%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| BAIN CAPITAL SPECIALTY FINANCE INC                                                       | BCSF 5.95 03/15/30      | CUSIP: 05684BAD9<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1309299.10   | 0.86%             | 2030-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2020-86 TK          | CUSIP: 38382GCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15436707 | PA      | $76152.36     | 0.05%             | 2048-08-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2013-90 AI          | CUSIP: 38378TXG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    126499 | PA      | $981.46       | 0.00%             | 2039-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHS 303 175             | CUSIP: 31325UBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144529 | PA      | $19034.48     | 0.01%             | 2040-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                                                   | PNC 3.4 PERP            | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $987802.70    | 0.65%             | 2172-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                                         | BYD 4 3/4 12/01/27      | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |    828000 | PA      | $824695.62    | 0.54%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BALBOA BAY LOAN FUNDING 2024-1 LTD                                                       | BOBA 2024-1A D1         | CUSIP: 05766NAN2<br>LEI: 254900ZDWC7EDY07BS61 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004003.00   | 0.66%             | 2037-07-20      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2004-6                                                            | BSARM 2003-4 3A1        | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4802 | PA      | $4613.36      | 0.00%             | 2033-07-25      | Floating      | 6.29%                 | 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        |   1200000 | PA      | $1199518.08   | 0.78%             | 2027-01-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2013-103 JS         | CUSIP: 3136AGNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    958385 | PA      | $86334.20     | 0.06%             | 2043-10-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                                      | NSANY 2.45 09/15/28     | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    490000 | PA      | $454658.75    | 0.30%             | 2028-09-15      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-22 SA          | CUSIP: 38381RDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    428964 | PA      | $34288.64     | 0.02%             | 2045-02-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                                                          | IMM 2004-6 M1           | CUSIP: 45254NJX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11434 | PA      | $11250.35     | 0.01%             | 2034-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2014-132 SL         | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    150773 | PA      | $6602.11      | 0.00%             | 2043-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                                                          | FHR 5112 IB             | CUSIP: 3137H0R91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    483710 | PA      | $48848.27     | 0.03%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2017-60 SU          | CUSIP: 38376UFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    547542 | PA      | $47630.65     | 0.03%             | 2040-01-16      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST                                               | BSABS 2003-AC5 A2       | CUSIP: 07384YMB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1642 | PA      | $1683.01      | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-22 CI          | CUSIP: 38381RDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1704660 | PA      | $77007.66     | 0.05%             | 2045-10-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-22 HI          | CUSIP: 38381REQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    138214 | PA      | $15490.01     | 0.01%             | 2040-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                                           | BNP 4 1/2 PERP          | CUSIP: 05565ALQ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1150000 | PA      | $1070457.38   | 0.70%             | 2170-02-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNS 385 3               | CUSIP: 3136FEV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296061 | PA      | $43845.89     | 0.03%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Garda World Security                                                                     | GWCN TL B 1L USD        | CUSIP: C4000KAH7<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | US        |    498741 | PA      | $499052.26    | 0.33%             | 2029-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2009-87 IW          | CUSIP: 38376KXJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1787837 | PA      | $36607.75     | 0.02%             | 2034-07-20      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                                    | FNR 2018-2 LI           | CUSIP: 3136B0ZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    143936 | PA      | $13306.08     | 0.01%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET BACKED CERTIFICATES SERIES 2002-4                                            | CWL 2004-6 2A3          | CUSIP: 126673BA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21837 | PA      | $21869.92     | 0.01%             | 2034-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE TRUST                                                             | CHASE 2007-A1 7A1       | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       399 | PA      | $402.25       | 0.00%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                                 | GNR 2019-21 SI          | CUSIP: 38381B7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7252313 | PA      | $35760.43     | 0.02%             | 2043-10-20      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-28

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

**Signature:** Laura Szalyga

**Name of Signer:** Laura Szalyga

**Title:** Treasurer