# EDGAR Filing Document

**Accession Number:** 0001612930
**File Stem:** 0001145549-23-017055
**Filing Date:** 2023-3
**Character Count:** 545530
**Document Hash:** 77156f33a927f06caec3556053aeb4c1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-017055.hdr.sgml**: 20230321

**ACCESSION NUMBER**: 0001145549-23-017055

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230321

**DATE AS OF CHANGE**: 20230321

**PERIOD START**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Angel Oak Funds Trust
- **CENTRAL INDEX KEY:** 0001612930
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22980
- **FILM NUMBER:** 23749325

**BUSINESS ADDRESS:**
- **STREET 1:** 3344 PEACHTREE ROAD NE, SUITE 1725
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326
- **BUSINESS PHONE:** 404-953-4900

**MAIL ADDRESS:**
- **STREET 1:** 3344 PEACHTREE ROAD NE, SUITE 1725
- **CITY:** ATLANTA
- **STATE:** GA
- **ZIP:** 30326

## Series and Classes Contracts Data

### Angel Oak Multi-Strategy Income Fund (Series ID: S000048360)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000152733 | Class A             | ANGLX           |
| C000152734 | Institutional Class | ANGIX           |
| C000159180 | Class C             | ANGCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Angel Oak Funds Trust

- **b. Investment Company Act file number:** 811-22980

- **c. CIK number of Registrant:** 0001612930

- **d. LEI of Registrant:** 549300DGLMLNBVBKK655

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

  - **Street Address 1:** 3344 Peachtree Road NE

  - **City:** Atlanta

  - **State:** GA

  - **Foreign country:** US

  - **Zip / Postal Code:** 30326

  - **Telephone number:** 404-953-4900

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

- **a. Name of Series:** Angel Oak Multi-Strategy Income Fund

- **b. EDGAR series identifier (if any):** S000048360

- **c. LEI of Series:** 549300CILF354466HZ11

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

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3731699598.16

**Total Liabilities:** $790496580.81

**Net Assets:** $2941203017.35

**Delayed Delivery Securities:** $217114923.80

**Cash Not Reported:** $14660944.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 736.883541233348 | **1-Year:** 23465.788404310660 | **5-Year:** 82746.923399665380 | **10-Year:** 261408.269029947800 | **30-Year:** 42706.842677053780

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

- **3-Month:** 6014.278913073064 | **1-Year:** 142918.987067748800 | **5-Year:** 414600.322946330900 | **10-Year:** 292326.168500220400 | **30-Year:** 55252.874184775060

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152733 | 0.03%                | -0.41%               | 1.20%                |
| Class ID C000152734 | 0.05%                | -0.51%               | 1.34%                |
| Class ID C000159180 | -0.03%               | -0.48%               | 1.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-62181004.37            | $64575928.77                               |
| Month 2  | $-18729301.32            | $-11911132.07                              |
| Month 3  | $-13638820.68            | $45683853.07                               |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** Q3RXYJ7DJO

### Schedule of Portfolio Investments

| Name                             | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac - STACR              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G1CW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   5331877 | PA      | $3849647.20   | 0.13%             | 2048-05-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2932342 | PA      | $724851.48    | 0.02%             | 2051-02-01      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343000 | PA      | $408210.22    | 0.01%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1792016 | PA      | $405070.88    | 0.01%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC         | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $430924.39    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2022-2                            | CUSIP: 34660DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1320013.50   | 0.04%             | 2029-10-15      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust         | Foundation Finance Trust 2021-1                                                  | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   1463145 | PA      | $1305367.20   | 0.04%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust         | Foundation Finance Trust 2021-1                                                  | CUSIP: 35041LAB6<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4306060.00   | 0.15%             | 2041-05-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust         | Foundation Finance Trust 2021-2                                                  | CUSIP: 35042PAD2<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |   1590000 | PA      | $1451538.03   | 0.05%             | 2042-01-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2021-2                                         | CUSIP: 36261XAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1664808.00   | 0.06%             | 2028-05-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264648 | PA      | $543645.76    | 0.02%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2208829 | PA      | $482454.64    | 0.02%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8516176 | PA      | $6866993.03   | 0.23%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12998577 | PA      | $9348901.64   | 0.32%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2007-2F                                                  | CUSIP: 362636AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6318423 | PA      | $3883858.85   | 0.13%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4756383 | PA      | $3832108.51   | 0.13%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849000 | PA      | $240795.08    | 0.01%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4757350 | PA      | $3663749.03   | 0.12%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1523773 | PA      | $621428.34    | 0.02%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2021-1 Ltd                                                               | CUSIP: 437307AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   9182587 | PA      | $8923757.42   | 0.30%             | 2033-07-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-2                                                | CUSIP: 45256VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4198956 | PA      | $3415636.55   | 0.12%             | 2036-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2037580 | PA      | $427353.88    | 0.01%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27235435 | PA      | $155323.69    | 0.01%             | 2052-06-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-2                                                | CUSIP: 45256VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4098211 | PA      | $2680168.72   | 0.09%             | 2036-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2007-2                                                | CUSIP: 452570AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12105837 | PA      | $9156140.67   | 0.31%             | 2037-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12320142 | PA      | $9720062.04   | 0.33%             | 2052-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4834971 | PA      | $3612893.20   | 0.12%             | 2052-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-4                                                | CUSIP: 45257BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6247752 | PA      | $4972448.49   | 0.17%             | 2037-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-4                                                | CUSIP: 45257BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18751333 | PA      | $15045600.86  | 0.51%             | 2037-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5604637 | PA      | $1926414.72   | 0.07%             | 2052-06-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Garrison Funding LTD             | Garrison Funding 2018-2 LTD                                                      | CUSIP: 36655LAF2<br>LEI: 549300YO1Y0QJ1SXLL93 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4310329.50   | 0.15%             | 2029-11-20      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    539046 | PA      | $324813.64    | 0.01%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2004-AR14                                       | CUSIP: 45660LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       861 | PA      | $1528.25      | 0.00%             | 2035-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GEORGIA BANKING CO INC           | Georgia Banking Co Inc                                                           | CUSIP: 37312RAA3<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   4000000 | PA      | $3611358.28   | 0.12%             | 2031-06-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9644000 | PA      | $8488668.09   | 0.29%             | 2051-06-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR7                                        | CUSIP: 45660LLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    844273 | PA      | $765757.92    | 0.03%             | 2035-06-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR13                                       | CUSIP: 45660LQW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2092145 | PA      | $980485.96    | 0.03%             | 2035-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A14                                  | CUSIP: 45660LT25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612911 | PA      | $454144.72    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR16IP                                     | CUSIP: 45660LUG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13798488 | PA      | $29887.52     | 0.00%             | 2045-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR19                                       | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4613960 | PA      | $4058498.85   | 0.14%             | 2035-10-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A10                                  | CUSIP: 45660LXM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4098665 | PA      | $2432000.17   | 0.08%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2621000 | PA      | $2302121.28   | 0.08%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Mortgage Pass-Th   | Goldman Sachs Mortgage Pass-Through Trust 2022-1                                 | CUSIP: 38151AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52615753 | PA      | $50559371.74  | 1.72%             | 2053-02-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A10                                  | CUSIP: 45660LXN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1116120 | PA      | $825823.03    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1798047 | PA      | $1019088.20   | 0.03%             | 2035-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1614385 | PA      | $1385817.37   | 0.05%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2004-AR12                                       | CUSIP: 45660N5L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2023433 | PA      | $1857.51      | 0.00%             | 2034-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd   | Golub Capital Partners CLO 34M Ltd                                               | CUSIP: 38172FAG3<br>LEI: 254900VU8TXTV5P0H178 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1522689.00   | 0.05%             | 2031-03-14      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                  | Goodgreen 2017-2 Trust                                                           | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3951483 | PA      | $3588966.43   | 0.12%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2004-AR2                                        | CUSIP: 45660NG90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6764557 | PA      | $6278706.31   | 0.21%             | 2034-06-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1849874 | PA      | $476551.57    | 0.02%             | 2046-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | GoodLeap Sustainable Home Solutions Trust 2021-3                                 | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1216364 | PA      | $973035.47    | 0.03%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER           | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1323352.50   | 0.04%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4370330 | PA      | $3726305.38   | 0.13%             | 2036-09-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru   | IndyMac INDA Mortgage Loan Trust 2007-AR2                                        | CUSIP: 456679AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387389 | PA      | $313084.69    | 0.01%             | 2037-06-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2007-AR13                                       | CUSIP: 456681AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3407495 | PA      | $2580662.81   | 0.09%             | 2037-07-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru   | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918520 | PA      | $761609.98    | 0.03%             | 2037-03-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| GRAY ESCROW II INC               | Gray Escrow II Inc                                                               | CUSIP: 389286AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3900000 | PA      | $2960480.25   | 0.10%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd              | Great Lakes CLO V Ltd                                                            | CUSIP: 39056LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9950000 | PA      | $8599436.75   | 0.29%             | 2033-04-15      | Floating      | 12.29%                | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15668381 | PA      | $316281.93    | 0.01%             | 2045-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22396893 | PA      | $1280676.75   | 0.04%             | 2045-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2007-AR9                                        | CUSIP: 45669YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3507049 | PA      | $2488833.34   | 0.08%             | 2037-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501471 | PA      | $1362206.52   | 0.05%             | 2047-04-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1383601 | PA      | $913972.49    | 0.03%             | 2045-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2007-1                                                | CUSIP: 452559AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4179951 | PA      | $3015955.71   | 0.10%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340138 | PA      | $294760.67    | 0.01%             | 2051-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A16                                  | CUSIP: 76114GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7893656 | PA      | $1856753.75   | 0.06%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975116 | PA      | $2191358.46   | 0.07%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8944178 | PA      | $6926380.64   | 0.24%             | 2051-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR6                                        | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2115576 | PA      | $1812363.30   | 0.06%             | 2035-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR5                                        | CUSIP: 45660LGR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998680 | PA      | $886251.68    | 0.03%             | 2035-05-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250414 | PA      | $3837291.69   | 0.13%             | 2051-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2915925 | PA      | $1849699.31   | 0.06%             | 2051-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2139058 | PA      | $1215778.39   | 0.04%             | 2051-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4448865 | PA      | $1658136.63   | 0.06%             | 2051-09-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A4                                   | CUSIP: 45660LHD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2831980 | PA      | $1523579.53   | 0.05%             | 2035-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR8                                        | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2302821 | PA      | $2049699.44   | 0.07%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6347684 | PA      | $5095907.77   | 0.17%             | 2051-08-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7435360 | PA      | $5765229.06   | 0.20%             | 2051-08-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR8                                        | CUSIP: 45660LJN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18340955 | PA      | $154247.43    | 0.01%             | 2035-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LK73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3945913 | PA      | $2155857.60   | 0.07%             | 2035-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UNIFY Auto Receivables Trust     | UNIFY Auto Receivables Trust 2021-1                                              | CUSIP: 90775QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4610380.00   | 0.16%             | 2026-11-16      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-4                                              | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4266538.50   | 0.15%             | 2031-09-20      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR12                                       | CUSIP: 45660LML0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45058645 | PA      | $86107.07     | 0.00%             | 2035-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3663928 | PA      | $3634206.31   | 0.12%             | 2057-10-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST8                                       | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $707457.39    | 0.02%             | 2029-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: BCC0H7063<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000 | PA      | $1.00         | 0.00%             | 2044-11-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1171499 | PA      | $1164727.70   | 0.04%             | 2057-10-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250047 | PA      | $2231403.48   | 0.08%             | 2057-10-25      | Floating      | 10.11%                | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: BCC0JHUY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | NS      | $496868.99    | 0.02%             | 2045-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                  | Allegro CLO II-S Ltd                                                             | CUSIP: BCC2HJW35<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $280000.00    | 0.01%             | 2028-10-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2482435 | PA      | $2066438.84   | 0.07%             | 2050-02-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    992852 | PA      | $807070.14    | 0.03%             | 2050-02-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| COPPER MOUNTAIN MINING C         | Copper Mountain Mining Corp                                                      | CUSIP: BO8204600<br>LEI: 5493006C53WJSL5MMV91 | Long             | DBT              | CORP              | CA        |   2301441 | PA      | $2278426.59   | 0.08%             | 2026-04-09      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                              | 7y Eris Swp Fut   Mar22                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -2528 | NC      | $22775368.00  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159000 | PA      | $1768197.25   | 0.06%             | 2050-02-25      | Floating      | 10.81%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  55860317 | PA      | $273827.28    | 0.01%             | 2050-03-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| N/A                              | 3y Eris Swp Fut   Dec21                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       674 | NC      | $-4981062.20  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                              | 10y Eris Swp Fut  Dec20                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -600 | NC      | $7830960.00   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| REVREPO05377REP5                 | REVREPO05377REP5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2302650 | PA      | $-2302650.00  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO05377REQ3                 | REVREPO05377REQ3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2146725 | PA      | $-2146725.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV1                                               | CUSIP: 46591NBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2859640 | PA      | $2517226.62   | 0.09%             | 2050-06-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV1                                               | CUSIP: 46591NCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9374522 | PA      | $7524750.36   | 0.26%             | 2050-06-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| REVREPO105690AB7                 | REVREPO105690AB7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1255373 | PA      | $-1255373.02  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO12659TAJ4                 | REVREPO12659TAJ4                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -6750579 | PA      | $-6750578.84  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO12659TBP9                 | REVREPO12659TBP9                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2794467 | PA      | $-2794467.25  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO14686KAF4                 | REVREPO14686KAF4                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        | -12877575 | PA      | $-12877575.00 | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-2                                                  | CUSIP: 46591TBY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294019 | PA      | $234151.03    | 0.01%             | 2050-07-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ABZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211110 | PA      | $167233.82    | 0.01%             | 2050-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| REVREPO14687TAG2                 | REVREPO14687TAG2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2000000 | PA      | $-2000000.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO23344QAE9                 | REVREPO23344QAE9                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2159062 | PA      | $-2159062.50  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2822635 | PA      | $643603.04    | 0.02%             | 2051-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3137145 | PA      | $1995914.18   | 0.07%             | 2051-12-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| REVREPO30165JAG1                 | REVREPO30165JAG1                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3227625 | PA      | $-3227625.00  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO3137G1CW5                 | REVREPO3137G1CW5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1790187 | PA      | $-1790187.24  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240405 | PA      | $1007135.91   | 0.03%             | 2051-12-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3172877 | PA      | $733838.87    | 0.02%             | 2051-12-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| REVREPO3137G1DF1                 | REVREPO3137G1DF1                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3641158 | PA      | $-3641157.60  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO3137G1DQ7                 | REVREPO3137G1DQ7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -7562729 | PA      | $-7562728.89  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO33845XAE7                 | REVREPO33845XAE7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4627215 | PA      | $-4627215.00  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO33851GBR5                 | REVREPO33851GBR5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4268683 | PA      | $-4268682.59  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2005-S3                                                 | CUSIP: 466247A37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155779 | PA      | $956617.51    | 0.03%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2005-A6                                                 | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4911 | PA      | $4006.88      | 0.00%             | 2035-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| REVREPO33851RBF7                 | REVREPO33851RBF7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2935100 | PA      | $-2935099.64  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO35041LAB6                 | REVREPO35041LAB6                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2069500 | PA      | $-2069500.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6042148 | PA      | $4970978.22   | 0.17%             | 2035-10-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST9                                       | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1629000 | PA      | $510523.24    | 0.02%             | 2029-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2022-ST1                                       | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $838326.76    | 0.03%             | 2030-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-8                                                | CUSIP: 924922AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    689042 | PA      | $691606.17    | 0.02%             | 2067-09-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| REVREPO35105JAG3                 | REVREPO35105JAG3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1921500 | PA      | $-1921500.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO35105WAN9                 | REVREPO35105WAN9                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2176517 | PA      | $-2176516.75  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Automobile Receivables Trust 2020-1                                        | CUSIP: 92511FAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6755000 | PA      | $6315972.29   | 0.21%             | 2027-02-16      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2022-1                                              | CUSIP: 92512VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $471159.00    | 0.02%             | 2029-07-16      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| REVREPO36179XLJ3                 | REVREPO36179XLJ3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -5044571 | PA      | $-5044571.46  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36260AAJ5                 | REVREPO36260AAJ5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2377448 | PA      | $-2377448.00  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1994550.00   | 0.07%             | 2067-02-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-7                                                | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $662874.75    | 0.02%             | 2067-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| REVREPO36262CBK5                 | REVREPO36262CBK5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3051248 | PA      | $-3051247.56  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36262CBL3                 | REVREPO36262CBL3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4562607 | PA      | $-4562607.28  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36263DAE7                 | REVREPO36263DAE7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2050000 | PA      | $-2050000.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36264PBH1                 | REVREPO36264PBH1                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2747518 | PA      | $-2747518.45  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2019-1 Ltd                                                              | CUSIP: 92917QAC5<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $2646000.00   | 0.09%             | 2031-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                   | CUSIP: 92922F8L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11701284 | PA      | $11191974.11  | 0.38%             | 2036-01-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| REVREPO36266TCE7                 | REVREPO36266TCE7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3861556 | PA      | $-3861555.90  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36266VAR5                 | REVREPO36266VAR5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        | -20160214 | PA      | $-20160213.75 | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                    | CUSIP: 92922FJ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16852605 | PA      | $338551.99    | 0.01%             | 2045-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust                    | CUSIP: 92922FNL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560262 | PA      | $532129.11    | 0.02%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2004-AR10 Trust                   | CUSIP: 92922FXD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9329097 | PA      | $54127.42     | 0.00%             | 2044-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust                    | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1894583 | PA      | $1704414.16   | 0.06%             | 2037-06-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,    | Wachovia Mortgage Loan Trust Series 2006-ALT1                                    | CUSIP: 92978GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6664072 | PA      | $2736401.37   | 0.09%             | 2037-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  72142837 | PA      | $30877.13     | 0.00%             | 2047-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage   | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust   | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       241 | PA      | $177.92       | 0.00%             | 2033-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3445110 | PA      | $2934417.23   | 0.10%             | 2035-07-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-AR1 Trust | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2833438 | PA      | $1971573.86   | 0.07%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6231839 | PA      | $5596459.77   | 0.19%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503996 | PA      | $306896.67    | 0.01%             | 2036-07-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3313659 | PA      | $2347482.04   | 0.08%             | 2047-04-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2006-AR11 Trust                           | CUSIP: 94984CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145071 | PA      | $113481.15    | 0.00%             | 2036-08-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2007-17 Trust                             | CUSIP: 94986QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16741 | PA      | $11193.72     | 0.00%             | 2038-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Loan Trus   | Wells Fargo Mortgage Loan 2010-RR2 Trust                                         | CUSIP: 94986XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3934246 | PA      | $3292534.76   | 0.11%             | 2035-09-27      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                | Generate CLO 4 Ltd                                                               | CUSIP: 98625WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $2585000.00   | 0.09%             | 2032-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ZAIS GROUP LLC                   | ZAIS Group LLC                                                                   | CUSIP: 98888AAA6<br>LEI: E0MBPPLOD7ILISPPA045 | Long             | DBT              | CORP              | US        |    263200 | PA      | $262213.00    | 0.01%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ZeroDown LLC                     | ZeroDown 2021-SFR1 LLC                                                           | CUSIP: 989490AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13637142 | PA      | $13241119.07  | 0.45%             | 2024-09-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| ZeroDown LLC                     | ZeroDown 2021-SFR1 LLC                                                           | CUSIP: 989490AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3636532 | PA      | $3453519.54   | 0.12%             | 2024-09-25      | Fixed         | 7.68%                 | No            |                  2 | On Loan: No      |
| N/A                              | 10y Eris Swp Fut  Mar22                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -559 | NC      | $5794035.00   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| REVREPO36266VBL7                 | REVREPO36266VBL7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4615345 | PA      | $-4615344.94  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO42806MAD1                 | REVREPO42806MAD1                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -7965000 | PA      | $-7965000.00  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO46591HAB6                 | REVREPO46591HAB6                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1897778 | PA      | $-1897778.25  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO85573QAC4                 | REVREPO85573QAC4                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3648498 | PA      | $-3648498.06  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO90354TBD0                 | REVREPO90354TBD0                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3194371 | PA      | $-3194370.89  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO91681NAC8                 | REVREPO91681NAC8                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1629000 | PA      | $-1629000.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO27580XAG3                 | REVREPO27580XAG3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2300500 | PA      | $-2300500.00  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO39056LAA2                 | REVREPO39056LAA2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4108852 | PA      | $-4108852.50  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO83607GAA5                 | REVREPO83607GAA5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1623600 | PA      | $-1623600.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO83611FAA1                 | REVREPO83611FAA1                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1412080 | PA      | $-1412080.00  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO87240GAG6                 | REVREPO87240GAG6                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -1727200 | PA      | $-1727200.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO85209FAF3                 | REVREPO85209FAF3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -163380 | PA      | $-163380.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO12665EAD2                 | REVREPO12665EAD2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2093229 | PA      | $-2093229.24  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36179XLK0                 | REVREPO36179XLK0                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -5073035 | PA      | $-5073035.37  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2022-1 Ltd                                                         | CUSIP: 078774AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2500000 | PA      | $2362182.50   | 0.08%             | 2032-01-26      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2022-1 Ltd                                                         | CUSIP: 078774AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3750000 | PA      | $3289938.75   | 0.11%             | 2032-01-26      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade RE 2021-3 Ltd                                                         | CUSIP: 078777AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2641363.50   | 0.09%             | 2031-09-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2019-2 Ltd                                                         | CUSIP: 07877BAJ9<br>LEI: 254900I4ZKD8IMM1O953 | Long             | ABS-MBS          | CORP              | BM        |   9180000 | PA      | $8687979.54   | 0.30%             | 2029-04-25      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2021-B                                                  | CUSIP: 08862BAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $961750.53    | 0.03%             | 2034-10-17      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| SAVANNAH GRAND                   | SAVANNAH GRAND                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   4600000 | PA      | $4597091.65   | 0.16%             | 2023-02-06      | Floating      | 9.11%                 | No            |                  3 | On Loan: No      |
| Boston Lending Trust 2021-1      | Boston Lending Trust 2021-1                                                      | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4060977 | PA      | $3529918.59   | 0.12%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 72108PAP9<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    684200 | PA      | $549305.15    | 0.02%             | 2026-07-24      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    198537 | PA      | $159579.62    | 0.01%             | 2037-04-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    248051 | PA      | $200982.04    | 0.01%             | 2037-08-24      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     80480 | PA      | $64499.08     | 0.00%             | 2037-08-13      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    484277 | PA      | $391606.32    | 0.01%             | 2037-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2021-NQM3                                        | CUSIP: 105690AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2744656 | PA      | $2583468.06   | 0.09%             | 2060-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2021-A                                           | CUSIP: 105693AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3099073 | PA      | $2974006.73   | 0.10%             | 2059-10-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-12                                          | CUSIP: 125432AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15343095 | PA      | $84172.22     | 0.00%             | 2036-07-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1877909 | PA      | $1111992.78   | 0.04%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338659 | PA      | $963015.10    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7963784 | PA      | $6064127.22   | 0.21%             | 2051-09-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2675625 | PA      | $1277265.83   | 0.04%             | 2051-09-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244000 | PA      | $363080.06    | 0.01%             | 2051-09-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2474328 | PA      | $535842.96    | 0.02%             | 2051-09-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6525268 | PA      | $5516455.06   | 0.19%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10636020 | PA      | $7951839.76   | 0.27%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4350832 | PA      | $3068941.99   | 0.10%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| REVREPO36266TCC1                 | REVREPO36266TCC1                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2409688 | PA      | $-2409687.81  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO90354TBC2                 | REVREPO90354TBC2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -459398 | PA      | $-459398.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3866753 | PA      | $2800054.99   | 0.10%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1208238 | PA      | $733104.32    | 0.02%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| REVREPO36179XLH7                 | REVREPO36179XLH7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -6891313 | PA      | $-6891312.70  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5561561 | PA      | $1908277.29   | 0.06%             | 2052-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  59557500 | PA      | $48275224.99  | 1.64%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15124766 | PA      | $653964.63    | 0.02%             | 2052-06-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 269231689 | PA      | $1429081.80   | 0.05%             | 2052-06-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 209054025 | PA      | $2193603.88   | 0.07%             | 2052-06-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WCF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11895826 | PA      | $239117.99    | 0.01%             | 2045-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2006-AR3                                       | CUSIP: 39538WHJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22422390 | PA      | $459815.95    | 0.02%             | 2036-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation        | HSI Asset Loan Obligation Trust 2007-AR1                                         | CUSIP: 40431LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418988 | PA      | $298117.92    | 0.01%             | 2037-01-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| HANMI FINANCIAL CORP             | Hanmi Financial Corp                                                             | CUSIP: 410495AB1<br>LEI: 549300MSZ7RCG7EA6587 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $2963189.03   | 0.10%             | 2031-09-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-7                                            | CUSIP: 41161PGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1633439 | PA      | $12543.18     | 0.00%             | 2034-11-19      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT         | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd             | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1300000 | PA      | $1243118.50   | 0.04%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAD1<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |  18000000 | PA      | $16550118.00  | 0.56%             | 2025-12-26      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing III LP                                                   | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4185000 | PA      | $3610516.68   | 0.12%             | 2027-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2006-1                                                   | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3613021 | PA      | $3354689.62   | 0.11%             | 2037-04-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                   | ICG US Clo 2021-1 Ltd                                                            | CUSIP: 449289AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1783960.00   | 0.06%             | 2034-04-17      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1372612 | PA      | $1275518.97   | 0.04%             | 2035-09-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2004-15                                    | CUSIP: 576433WR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5432 | PA      | $4430.60      | 0.00%             | 2034-12-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2005-2                                     | CUSIP: 576433XY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14651 | PA      | $12635.10     | 0.00%             | 2035-03-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2004-6                                              | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79672 | PA      | $70675.83     | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2005-2                                          | CUSIP: 57643MLN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11396 | PA      | $7883.09      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MED Trust                        | Med Trust 2021-MDLN                                                              | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3489633 | PA      | $3305320.87   | 0.11%             | 2038-11-15      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance                                                | CUSIP: 585494CJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1678280 | PA      | $1009950.31   | 0.03%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance                                                | CUSIP: 585494CK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349000 | PA      | $102838.09    | 0.00%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance                                                | CUSIP: 585494CL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1209493 | PA      | $266549.22    | 0.01%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499000 | PA      | $1183186.18   | 0.04%             | 2048-03-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG3                                      | CUSIP: 58549RCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488000 | PA      | $152754.25    | 0.01%             | 2051-07-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG3                                      | CUSIP: 58549RCK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1137709 | PA      | $266625.52    | 0.01%             | 2051-07-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc      | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B                        | CUSIP: 589929K56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974561 | PA      | $796845.57    | 0.03%             | 2028-04-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2007-MLN1                          | CUSIP: 59024UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24016231 | PA      | $20448547.90  | 0.70%             | 2037-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MIDLAND STATES BANCORP           | Midland States Bancorp Inc                                                       | CUSIP: 597742AL9<br>LEI: 5493006RHXW9TTBWYC94 | Long             | DBT              | CORP              | US        |    750000 | PA      | $712381.86    | 0.02%             | 2029-09-30      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO VII Ltd   | Monroe Capital MML CLO VII Ltd                                                   | CUSIP: 61033VAA2<br>LEI: 5493004UIYL54X2JJA03 | Long             | ABS-CBDO         | CORP              | KY        |   5150000 | PA      | $4797080.80   | 0.16%             | 2030-11-22      | Floating      | 11.91%                | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST7                                       | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $656275.37    | 0.02%             | 2029-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62359729 | PA      | $5051.14      | 0.00%             | 2047-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-4 Trust                              | CUSIP: 95002FBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124000 | PA      | $1520361.32   | 0.05%             | 2049-09-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818000 | PA      | $754400.92    | 0.03%             | 2050-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1542691 | PA      | $350942.24    | 0.01%             | 2050-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Mortgage Reference Notes Series 2021-CL2                                 | CUSIP: 95763PES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7932045 | PA      | $7666654.99   | 0.26%             | 2059-07-25      | Floating      | 10.81%                | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Mortgage Reference Notes Series 2021-CL2                                 | CUSIP: 95763PET4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6600000 | PA      | $6152757.60   | 0.21%             | 2059-07-25      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable   | Westlake Automobile Receivables Trust 2021-1                                     | CUSIP: 96043FAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3371496.00   | 0.11%             | 2027-09-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-2                                              | CUSIP: 97652QBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938000 | PA      | $1426162.57   | 0.05%             | 2044-09-20      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2015-A                                              | CUSIP: 97653BCD1<br>LEI: 549300XEB1FUZ3CHE748 | Long             | ABS-MBS          | CORP              | US        |   3901122 | PA      | $2134323.42   | 0.07%             | 2045-06-20      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98370NAC9<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |    165000 | PA      | $156640.44    | 0.01%             | 2026-01-06      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98372NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1943376.00   | 0.07%             | 2024-06-06      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAC4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    300000 | PA      | $270687.11    | 0.01%             | 2024-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAD2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3604076.00   | 0.12%             | 2024-09-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAK6<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $1625585.68   | 0.06%             | 2024-11-01      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAN0<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3621300 | PA      | $3419180.54   | 0.12%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98373XAQ3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   1788000 | PA      | $1789008.43   | 0.06%             | 2026-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF35 Mortgage Trust                                                   | CUSIP: 30305CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2063287 | PA      | $1998870.83   | 0.07%             | 2024-08-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAU4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   4532394 | PA      | $4450906.09   | 0.15%             | 2024-03-01      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAV2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    849824 | PA      | $836675.52    | 0.03%             | 2024-03-01      | Floating      | 12.31%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G1DF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |  10185056 | PA      | $7619328.53   | 0.26%             | 2048-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G1DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |  22418049 | PA      | $15981558.24  | 0.54%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2922135.00   | 0.10%             | 2023-10-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6699980.00   | 0.23%             | 2023-10-15      | Floating      | 12.69%                | No            |                  2 | On Loan: No      |
| XCAL 2021-CT-2 Mortgage Trust    | XCAL 2021-CT-2 MORTGAGE TRUST                                                    | CUSIP: 98401WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237000 | PA      | $1205487.43   | 0.04%             | 2023-04-06      | Floating      | 11.19%                | No            |                  2 | On Loan: No      |
| XCAL 2021-GA5                    | X-Caliber Funding LLC                                                            | CUSIP: 98402AAB1<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $1004018.25   | 0.03%             | 2023-06-06      | Floating      | 11.44%                | No            |                  2 | On Loan: No      |
| XCAL 2021-WY4                    | XCAL 2021-WY4 Mortgage Trust                                                     | CUSIP: 98402DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020000 | PA      | $1959450.50   | 0.07%             | 2024-02-15      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3475267 | PA      | $3431805.07   | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY BANK ATLANTA            | Fidelity Bank/Atlanta GA                                                         | CUSIP: 316041CP5<br>LEI: 549300VEKCSSF6IT9X67 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $965628.25    | 0.03%             | 2030-05-31      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3071461 | PA      | $1794264.85   | 0.06%             | 2051-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10564264 | PA      | $4240062.43   | 0.14%             | 2051-08-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2849187 | PA      | $2212955.26   | 0.08%             | 2048-04-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 244706826 | PA      | $3700701.33   | 0.13%             | 2041-09-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557124 | PA      | $416265.11    | 0.01%             | 2041-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393244 | PA      | $651196.77    | 0.02%             | 2041-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1827125 | PA      | $548323.87    | 0.02%             | 2041-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-10INV                                               | CUSIP: 33851RBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8957819 | PA      | $5835759.26   | 0.20%             | 2051-10-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-10INV                                               | CUSIP: 33851RBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235657 | PA      | $697483.88    | 0.02%             | 2051-10-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-10INV                                               | CUSIP: 33851RBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13900063 | PA      | $6298174.15   | 0.21%             | 2051-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2786498 | PA      | $1821059.89   | 0.06%             | 2051-02-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1222000 | PA      | $403649.82    | 0.01%             | 2051-02-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340188 | PA      | $548059.22    | 0.02%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2020-1                            | CUSIP: 35105FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1228646.25   | 0.04%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2022-1                            | CUSIP: 35105JAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $3814722.00   | 0.13%             | 2029-08-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2021-2                            | CUSIP: 35105UAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2072465.00   | 0.07%             | 2027-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2021-2                            | CUSIP: 35105UAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $755480.70    | 0.03%             | 2029-02-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2021-1                            | CUSIP: 35105WAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5105000 | PA      | $4336100.22   | 0.15%             | 2027-04-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR REMIC Trust 2021-DNA6                                          | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $4650562.50   | 0.16%             | 2041-10-25      | Floating      | 11.81%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR REMIC Trust 2022-DNA1                                          | CUSIP: 35564KQY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1895000.00   | 0.06%             | 2042-01-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                | FREED ABS Trust 2022-3FP                                                         | CUSIP: 35634EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502934.00    | 0.02%             | 2029-08-20      | Fixed         | 7.36%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP            | Freedom Mortgage Corp                                                            | CUSIP: 35640YAF4<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1673781.73   | 0.06%             | 2026-05-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2018-KF50 Mortgage Trust                                                   | CUSIP: 35709BAC9<br>LEI: 549300LI8XT0ZWPV2P54 | Long             | ABS-MBS          | CORP              | US        |   1860398 | PA      | $1609892.02   | 0.05%             | 2028-07-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF64 Mortgage Trust                                                   | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487563 | PA      | $2340142.83   | 0.08%             | 2026-06-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2020-NQM2 Trust                                                             | CUSIP: 36166RAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1276521.00   | 0.04%             | 2065-04-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24892790 | PA      | $25042371.03  | 0.85%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9964873 | PA      | $10120514.55  | 0.34%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9966598 | PA      | $10212971.79  | 0.35%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan   | GMACM Mortgage Loan Trust 2006-AR1                                               | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    719807 | PA      | $581133.55    | 0.02%             | 2036-04-19      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-16                                                   | CUSIP: 362256AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1451917 | PA      | $639476.55    | 0.02%             | 2036-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2007-AR1                                                 | CUSIP: 362290AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5221116 | PA      | $3856096.68   | 0.13%             | 2047-03-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-5                                                    | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2166863 | PA      | $1850702.31   | 0.06%             | 2047-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-5                                                    | CUSIP: 3622ECAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4677934 | PA      | $2562894.99   | 0.09%             | 2037-05-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6304484 | PA      | $2198612.97   | 0.07%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-1                                                    | CUSIP: 3622EQAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1823983 | PA      | $726671.29    | 0.02%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR14                                       | CUSIP: 45660LSB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21455410 | PA      | $253152.38    | 0.01%             | 2035-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                 | StoneX Group Inc                                                                 | CUSIP: 46116VAE5<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2717199.00   | 0.09%             | 2025-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4055497 | PA      | $3768015.25   | 0.13%             | 2047-04-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495EU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548596 | PA      | $250891.21    | 0.01%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A16                                  | CUSIP: 76114GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21194584 | PA      | $5396882.87   | 0.18%             | 2037-02-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus   | Residential Mortgage Loan Trust 2020-1                                           | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $911816.08    | 0.03%             | 2060-01-26      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S4 Trust                                                       | CUSIP: 762010AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116008 | PA      | $86639.24     | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd           | Rockford Tower CLO 2019-1 Ltd                                                    | CUSIP: 77342NAE4<br>LEI: 549300GGUAM1ZV2SKK63 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $3845905.00   | 0.13%             | 2034-04-20      | Floating      | 11.13%                | No            |                  2 | On Loan: No      |
| RR Ltd                           | RR 6 Ltd                                                                         | CUSIP: 78110LAA4<br>LEI: 549300KSO6EE9C4GF767 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1767932.00   | 0.06%             | 2036-04-15      | Floating      | 10.64%                | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8860113 | PA      | $7629974.92   | 0.26%             | 2061-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                 | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $420724.50    | 0.01%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-FIG1                                | CUSIP: 795811AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2299337 | PA      | $2274566.04   | 0.08%             | 2050-09-25      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-FIG1                                | CUSIP: 795811AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15056668 | PA      | $14470948.91  | 0.49%             | 2050-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5610338 | PA      | $5410160.66   | 0.18%             | 2050-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7318000 | PA      | $7380393.27   | 0.25%             | 2050-05-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39778851 | PA      | $1429254.10   | 0.05%             | 2050-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13565075 | PA      | $13246757.42  | 0.45%             | 2052-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5213750 | PA      | $5031524.22   | 0.17%             | 2052-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3153250 | PA      | $2947796.84   | 0.10%             | 2052-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011000 | PA      | $1862304.65   | 0.06%             | 2052-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2309200 | PA      | $2095437.36   | 0.07%             | 2052-02-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 147868709 | PA      | $6020474.48   | 0.20%             | 2052-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449524 | PA      | $1722599.60   | 0.06%             | 2051-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159619 | PA      | $1379146.29   | 0.05%             | 2051-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149483 | PA      | $671036.29    | 0.02%             | 2051-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-MF1                                 | CUSIP: 79582KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14000000 | PA      | $13283172.00  | 0.45%             | 2029-11-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Fund Trust 2022-SG2                                                 | CUSIP: 79583QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $14529030.00  | 0.49%             | 2052-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79584QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38061600 | PA      | $35740755.88  | 1.22%             | 2055-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receiv   | Santander Consumer Auto Receivables Trust 2021-A                                 | CUSIP: 80282YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1582927.50   | 0.05%             | 2027-03-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receiv   | Santander Consumer Auto Receivables Trust 2021-A                                 | CUSIP: 80282YAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $429245.88    | 0.01%             | 2028-08-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2022-A                            | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1079486 | PA      | $1052693.77   | 0.04%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2022-C                            | CUSIP: 80290CBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1820238 | PA      | $1837617.82   | 0.06%             | 2032-12-15      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2022-C                            | CUSIP: 80290CBH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1341228 | PA      | $1358902.84   | 0.05%             | 2032-12-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                  | Saranac Clo VIII Ltd                                                             | CUSIP: 80316RAA9<br>LEI: 5493002KTJG5M0SYTB50 | Long             | ABS-CBDO         | CORP              | JE        |   5250000 | PA      | $4415197.50   | 0.15%             | 2033-02-20      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| SEASPAN CORP                     | Seaspan Corp                                                                     | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |   1350000 | PA      | $1027660.50   | 0.03%             | 2029-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2004-4                                                    | CUSIP: 81744FBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659675 | PA      | $555752.07    | 0.02%             | 2034-05-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2004-7                                                    | CUSIP: 81744FDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29923 | PA      | $22774.48     | 0.00%             | 2034-08-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2005-2                                                    | CUSIP: 81744FHD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5626783 | PA      | $39950.16     | 0.00%             | 2035-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2007-1                                                    | CUSIP: 81744HAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2213018 | PA      | $1661985.22   | 0.06%             | 2046-10-20      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2021-1                                                    | CUSIP: 81747KCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2516099 | PA      | $1277607.09   | 0.04%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2020-3                                                    | CUSIP: 81748ACF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385146 | PA      | $1670418.18   | 0.06%             | 2050-04-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2021-7                                                    | CUSIP: 81748TCG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1624858 | PA      | $684698.97    | 0.02%             | 2051-11-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust   | Shellpoint Asset Funding Trust 2013-1                                            | CUSIP: 822804AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782566 | PA      | $729433.07    | 0.02%             | 2043-07-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| TRINITAS CAPITAL MGMT            | Trinitas Capital Management LLC                                                  | CUSIP: 89642CAC4<br>LEI: 254900JU042545A6UD08 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1799366.02   | 0.06%             | 2026-07-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-1                                              | CUSIP: 91681NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3349216.80   | 0.11%             | 2031-03-20      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                 | CIFC Funding 2015-II Ltd                                                         | CUSIP: BCC2942B2<br>LEI: 549300RWVPXQ5M3BFY62 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $50000.00     | 0.00%             | 2030-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Jay Park CLO, Ltd.               | Jay Park CLO Ltd                                                                 | CUSIP: BCC2BRQH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $1120000.00   | 0.04%             | 2027-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1               | CUSIP: 16678RFB8<br>LEI: 549300Z98E6LMOBBGK17 | Long             | ABS-MBS          | CORP              | US        |   3247059 | PA      | $2273999.64   | 0.08%             | 2046-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,    | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973R35<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     35713 | PA      | $22181.41     | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2279036 | PA      | $1181329.02   | 0.04%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18907487 | PA      | $16928667.50  | 0.58%             | 2045-02-19      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: 23332UDE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435221 | PA      | $1272812.91   | 0.04%             | 2045-03-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR4                                                | CUSIP: 23332UEL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144302 | PA      | $109542.31    | 0.00%             | 2045-08-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR4                                                | CUSIP: 23332UEM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1155726 | PA      | $979148.37    | 0.03%             | 2045-08-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR5                                                | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9380687 | PA      | $5057194.29   | 0.17%             | 2045-09-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2006-AR1                                                | CUSIP: 23332UGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8450812 | PA      | $6233284.76   | 0.21%             | 2046-03-19      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2007-AR1                                                | CUSIP: 23333YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34372197 | PA      | $27791261.50  | 0.94%             | 2047-04-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust              | DT Auto Owner Trust 2021-3                                                       | CUSIP: 23344QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4356334.50   | 0.15%             | 2028-09-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust              | DT Auto Owner Trust 2022-2                                                       | CUSIP: 23345AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $684894.70    | 0.02%             | 2028-03-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust              | DT Auto Owner Trust 2023-1                                                       | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $747657.00    | 0.03%             | 2028-11-15      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA2                    | CUSIP: 25150UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669536 | PA      | $600922.14    | 0.02%             | 2047-04-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5/DE                 | CUSIP: 25150XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343067 | PA      | $1119835.98   | 0.04%             | 2047-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3564236 | PA      | $2344230.25   | 0.08%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510JA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232711 | PA      | $178993.03    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510JZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380529 | PA      | $353644.01    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2006-AR1                | CUSIP: 251510LF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393657 | PA      | $308309.38    | 0.01%             | 2036-02-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1                    | CUSIP: 251510MH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3677810 | PA      | $3487233.36   | 0.12%             | 2036-02-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1                    | CUSIP: 251510MK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3664553 | PA      | $3430706.75   | 0.12%             | 2036-02-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC    | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350023 | PA      | $324052.48    | 0.01%             | 2036-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC    | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1557341 | PA      | $1438998.97   | 0.05%             | 2036-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC    | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340773 | PA      | $307226.93    | 0.01%             | 2036-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC    | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2904641 | PA      | $2669559.40   | 0.09%             | 2036-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1952688 | PA      | $1576676.83   | 0.05%             | 2036-07-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189400 | PA      | $165944.87    | 0.01%             | 2036-07-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5833439 | PA      | $5008433.03   | 0.17%             | 2047-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1013126 | PA      | $722367.91    | 0.02%             | 2047-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-BAR1                   | CUSIP: 25151TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  76432950 | PA      | $5194612.58   | 0.18%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2007-AB1                    | CUSIP: 25151WAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464705 | PA      | $276897.07    | 0.01%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,    | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2009-RS6        | CUSIP: 25158HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7844396 | PA      | $7501933.36   | 0.26%             | 2037-08-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1723832.00   | 0.06%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust              | DT Auto Owner Trust 2021-4                                                       | CUSIP: 26253WAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2536398.00   | 0.09%             | 2028-07-17      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| DYNEX CAPITAL INC                | Dynex Capital Inc                                                                | CUSIP: 26817Q878<br>LEI: 5CIJ4S9HAEBWILA19B65 | Long             | EP               | CORP              | US        |    173425 | NS      | $3980103.75   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2019-1 Ltd                                                              | CUSIP: 269822AC6<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |  10903000 | PA      | $10916519.72  | 0.37%             | 2029-04-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2019-1 Ltd                                                              | CUSIP: 269822AD4<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |   7909125 | PA      | $7897403.68   | 0.27%             | 2029-04-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2021-2 Ltd                                                              | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3000000 | PA      | $2940696.00   | 0.10%             | 2034-04-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2020-1 Ltd                                                              | CUSIP: 26982LAD2<br>LEI: 254900SAV74IHXQ8XY35 | Long             | ABS-MBS          | CORP              | BM        |  23461850 | PA      | $22826831.57  | 0.78%             | 2030-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2020-1 Ltd                                                              | CUSIP: 26982LAH3<br>LEI: 254900SAV74IHXQ8XY35 | Long             | ABS-MBS          | CORP              | BM        |   3600000 | PA      | $3322828.80   | 0.11%             | 2030-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-6                                       | CUSIP: 64828GCH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15155010 | PA      | $1566770.42   | 0.05%             | 2059-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-6                                       | CUSIP: 64828GCT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20373248 | PA      | $12299349.94  | 0.42%             | 2059-09-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp               | Rithm Capital Corp                                                               | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               | CORP              | US        |    258870 | NS      | $2435966.70   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-1                                       | CUSIP: 64830CBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5949139 | PA      | $5177065.70   | 0.18%             | 2057-09-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554000 | PA      | $2212129.22   | 0.08%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Tru   | Newtek Small Business Loan Trust 2018-1                                          | CUSIP: 65252MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090303 | PA      | $1097728.60   | 0.04%             | 2044-02-25      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor   | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AP1              | CUSIP: 65535VSK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3403219 | PA      | $1358217.76   | 0.05%             | 2036-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor   | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR3              | CUSIP: 65537EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    777738 | PA      | $646833.36    | 0.02%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor   | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR4              | CUSIP: 65538DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115514 | PA      | $84431.15     | 0.00%             | 2036-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2014-3R                                            | CUSIP: 65540LCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4229388 | PA      | $3252987.49   | 0.11%             | 2037-03-26      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2014-6R                                            | CUSIP: 65540PAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1994703 | PA      | $1336365.32   | 0.05%             | 2036-01-26      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2015-2R                                            | CUSIP: 65540UAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    779981 | PA      | $784582.09    | 0.03%             | 2036-11-26      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| NORTHERN BANCORP INC             | Northern Bancorp Inc                                                             | CUSIP: 664764AC1<br>LEI: B1FAJLO8GSZ6XQQJ5U05 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $938600.05    | 0.03%             | 2029-12-30      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd           | Northwoods Capital XVII Ltd                                                      | CUSIP: 66860LAC7<br>LEI: 549300VSNJNLNM3KF997 | Long             | ABS-CBDO         | CORP              | KY        |   2650000 | PA      | $1298500.00   | 0.04%             | 2031-04-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc      | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1428793.50   | 0.05%             | 2028-12-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc      | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1377384.00   | 0.05%             | 2028-12-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc      | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1556547.20   | 0.05%             | 2028-12-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                         | OZLM XVII Ltd                                                                    | CUSIP: 67111MAC0<br>LEI: 549300EERMFPZ487P195 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $1400000.00   | 0.05%             | 2030-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-INV3 Trust                                                              | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340791 | PA      | $1105076.05   | 0.04%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8106734 | PA      | $145021.37    | 0.00%             | 2056-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5715887 | PA      | $4660471.17   | 0.16%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4318387 | PA      | $3222000.00   | 0.11%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA6 Trust                                                       | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677277 | PA      | $541038.31    | 0.02%             | 2036-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA10 Trust                                                      | CUSIP: 74922NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5712543 | PA      | $4638048.05   | 0.16%             | 2036-12-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2412787 | PA      | $1582708.35   | 0.05%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651094 | PA      | $794879.60    | 0.03%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1323281 | PA      | $331111.37    | 0.01%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM7                                                                   | CUSIP: 12662QAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2930537 | PA      | $2526216.89   | 0.09%             | 2066-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM5 Trust                                                             | CUSIP: 12663DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $414865.00    | 0.01%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE         | CVR Partners LP / CVR Nitrogen Finance Corp                                      | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1533365.32   | 0.05%             | 2028-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2023-A                                                | CUSIP: 12664LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001450.00   | 0.03%             | 2029-04-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM4 Trust                                                             | CUSIP: 12665EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4330071 | PA      | $4086829.16   | 0.14%             | 2067-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM4 Trust                                                             | CUSIP: 12665EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2886714 | PA      | $2665597.42   | 0.09%             | 2067-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-14                                                   | CUSIP: 12667GCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17953543 | PA      | $416863.32    | 0.01%             | 2035-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563948 | PA      | $469805.60    | 0.02%             | 2035-08-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GM34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483627 | PA      | $461091.01    | 0.02%             | 2035-08-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S7 Trust                                                       | CUSIP: 74958AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56712 | PA      | $50945.41     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor RE 2021-2 Ltd                                                             | CUSIP: 75049GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3214672 | PA      | $3024070.88   | 0.10%             | 2031-11-25      | Floating      | 9.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-16                                                   | CUSIP: 12667GMK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18109038 | PA      | $304865.65    | 0.01%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GN82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22459308 | PA      | $163458.85    | 0.01%             | 2035-08-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor RE 2022-1 Ltd                                                             | CUSIP: 75049XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006778.00   | 0.03%             | 2032-09-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA3 Trust                                                       | CUSIP: 75114RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18965619 | PA      | $13978002.77  | 0.48%             | 2036-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8030155 | PA      | $101187.98    | 0.00%             | 2035-07-20      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GNV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452662 | PA      | $325274.28    | 0.01%             | 2035-07-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J9                                                   | CUSIP: 12667GT86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624188 | PA      | $484173.41    | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-26CB                                                 | CUSIP: 12667GTT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4321112 | PA      | $3068646.37   | 0.10%             | 2035-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    877189 | PA      | $769241.17    | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1253267 | PA      | $1099071.39   | 0.04%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-38                                                   | CUSIP: 12667GZ71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44348959 | PA      | $514714.02    | 0.02%             | 2035-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-70CB                                                 | CUSIP: 12668A2N4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3418530 | PA      | $2428332.25   | 0.08%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16069651 | PA      | $1026336.46   | 0.03%             | 2035-11-20      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ADC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12268445 | PA      | $209459.15    | 0.01%             | 2035-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-75CB                                                 | CUSIP: 12668AF83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1273681 | PA      | $957097.42    | 0.03%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AGW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14648 | PA      | $15150.81     | 0.00%             | 2035-11-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2675484 | PA      | $1385288.21   | 0.05%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-58R                                 | CUSIP: 12668AP66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40289763 | PA      | $2722903.06   | 0.09%             | 2035-12-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J14                                                  | CUSIP: 12668AQ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1572267 | PA      | $1069836.41   | 0.04%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-59R                                 | CUSIP: 12668AR98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10867621 | PA      | $288893.97    | 0.01%             | 2035-12-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-61                                                   | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1297293 | PA      | $996843.65    | 0.03%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-HY10                                                 | CUSIP: 12668BA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923180 | PA      | $37185.77     | 0.00%             | 2036-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA3                                                  | CUSIP: 12668BC27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15909034 | PA      | $285789.88    | 0.01%             | 2036-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-85CB                                                 | CUSIP: 12668BEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1354392 | PA      | $1031596.97   | 0.04%             | 2036-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30965 | PA      | $18898.21     | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QO7 Trust                                                       | CUSIP: 751150AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14582095 | PA      | $407759.12    | 0.01%             | 2046-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2963101 | PA      | $2604550.70   | 0.09%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2873918 | PA      | $1966762.89   | 0.07%             | 2036-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293384 | PA      | $254977.01    | 0.01%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83381 | PA      | $51729.09     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-8                                           | CUSIP: 1266943B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1266174 | PA      | $870892.29    | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA1                                                  | CUSIP: 126694A24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11622962 | PA      | $223660.66    | 0.01%             | 2046-03-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA7 Trust                                                       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5279621 | PA      | $4292416.47   | 0.15%             | 2036-08-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS10 Trust                                                      | CUSIP: 751155AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1335383 | PA      | $1169850.48   | 0.04%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS10 Trust                                                      | CUSIP: 751155AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191437 | PA      | $164073.16    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-HYB1                                        | CUSIP: 126694WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4733784 | PA      | $4380402.67   | 0.15%             | 2036-03-20      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-20                                          | CUSIP: 12669F2R3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6333705 | PA      | $246488.81    | 0.01%             | 2034-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3202658 | PA      | $37941.89     | 0.00%             | 2035-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-25                                          | CUSIP: 12669GKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13247805 | PA      | $146242.52    | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-25                                          | CUSIP: 12669GKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370963 | PA      | $1198989.13   | 0.04%             | 2035-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974654 | PA      | $34477.40     | 0.00%             | 2035-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3593877 | PA      | $2878263.94   | 0.10%             | 2035-03-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671716 | PA      | $489498.78    | 0.02%             | 2035-03-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686184 | PA      | $378111.92    | 0.01%             | 2036-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-27CB                                                 | CUSIP: 02147YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646305 | PA      | $531648.84    | 0.02%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-B Trust                                             | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2948785 | PA      | $2206626.18   | 0.08%             | 2047-04-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-8 Trust                                             | CUSIP: 05953LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3812878 | PA      | $2952280.58   | 0.10%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANC OF CALIFORNIA INC           | Banc of California Inc                                                           | CUSIP: 05990KAC0<br>LEI: 549300ZKWUJDP6LJ1X87 | Long             | DBT              | CORP              | US        |   4650000 | PA      | $4548362.16   | 0.15%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2014-R1 Trust                                            | CUSIP: 05990MAB8<br>LEI: 549300JQM1BUDI007938 | Long             | ABS-MBS          | CORP              | US        |   4475561 | PA      | $3602347.74   | 0.12%             | 2037-06-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2015-R8 Trust                                            | CUSIP: 05991BAH8<br>LEI: 549300VTFF2GUILXKF77 | Long             | ABS-MBS          | CORP              | US        |   1849945 | PA      | $1438151.32   | 0.05%             | 2035-08-26      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| COLUMBIA BANKING SYSTEM          | Columbia Banking System Inc                                                      | CUSIP: 061591AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2502377.63   | 0.09%             | 2025-12-10      | Variable      | 9.87%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                   | Barings Clo Ltd 2015-II                                                          | CUSIP: 06759FAG1<br>LEI: 549300Y5E22C3P2S6J52 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1183907.50   | 0.04%             | 2030-10-20      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO Ltd 2021-I                                             | CUSIP: 06761EAA3<br>LEI: 549300NSFWDKJE15UK02 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $924006.00    | 0.03%             | 2033-07-20      | Floating      | 13.46%                | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8515235 | PA      | $165425.47    | 0.01%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-1                                           | CUSIP: 12669GRP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3311782 | PA      | $94210.25     | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO Ltd 2018-I                                             | CUSIP: 06761NAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1231837.50   | 0.04%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                   | Barings CLO Ltd 2019-III                                                         | CUSIP: 06761PAE0<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2756223.00   | 0.09%             | 2031-04-20      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition    | Bayview Financial Mortgage Pass-Through Trust 2005-D                             | CUSIP: 07325NBX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274022 | PA      | $215742.96    | 0.01%             | 2035-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust         | Bear Stearns ALT-A Trust 2004-5                                                  | CUSIP: 07386HJH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488407 | PA      | $469980.31    | 0.02%             | 2034-06-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-11                                          | CUSIP: 12669GUT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4957701 | PA      | $42373.47     | 0.00%             | 2035-04-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CAL Receivables LLC              | CAL Receivables 2022-1 LLC                                                       | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |   8080000 | PA      | $7915992.16   | 0.27%             | 2026-10-15      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO              | Capital Four US CLO III Ltd                                                      | CUSIP: 14016LAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $987500.00    | 0.03%             | 2035-01-21      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Capital Funding Mortgage Trust   | Capital Funding Mortgage Trust 2020-9                                            | CUSIP: 14020FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4607500 | PA      | $4544349.61   | 0.15%             | 2023-11-15      | Floating      | 19.27%                | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi   | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314GAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5525000 | PA      | $1491750.00   | 0.05%             | 2029-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-P2                                           | CUSIP: 14687TAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4253425.00   | 0.14%             | 2028-05-10      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust           | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2346417.00   | 0.08%             | 2046-02-25      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761571 | PA      | $366752.68    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Trust Series 2006-A1                                      | CUSIP: 16163CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985055 | PA      | $872330.02    | 0.03%             | 2036-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                  | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411653 | PA      | $894756.25    | 0.03%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                  | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2303390 | PA      | $619455.25    | 0.02%             | 2037-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3               | CUSIP: 16678RBU0<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |   1381802 | PA      | $1035616.30   | 0.04%             | 2035-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4               | CUSIP: 16678RCD7<br>LEI: 549300BO65N44G8TZI31 | Long             | ABS-MBS          | CORP              | US        |   2382136 | PA      | $1887683.34   | 0.06%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-1               | CUSIP: 16678RCT2<br>LEI: 549300IPR6D6ZFC6NF33 | Long             | ABS-MBS          | CORP              | US        |   1757440 | PA      | $1426464.82   | 0.05%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-1               | CUSIP: 16678RCU9<br>LEI: 549300IPR6D6ZFC6NF33 | Long             | ABS-MBS          | CORP              | US        |   1959931 | PA      | $1598649.41   | 0.05%             | 2036-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-A               | CUSIP: 16678RDB0<br>LEI: 549300VJ603C97L1MC67 | Long             | ABS-MBS          | CORP              | US        |   1258152 | PA      | $845519.76    | 0.03%             | 2036-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-C               | CUSIP: 16678REK9<br>LEI: 549300FD9K7Y5ALOZO79 | Long             | ABS-MBS          | CORP              | US        |    252310 | PA      | $182002.28    | 0.01%             | 2046-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225458F45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7791601 | PA      | $4703890.85   | 0.16%             | 2035-08-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| East West Investment Managemen   | CIFC Falcon 2020 Ltd                                                             | CUSIP: 27580XAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4908090.00   | 0.17%             | 2033-01-20      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                    | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3248217.00   | 0.11%             | 2031-04-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6247789 | PA      | $4756997.82   | 0.16%             | 2051-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NBY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4396091 | PA      | $3163611.45   | 0.11%             | 2051-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2082919 | PA      | $1054806.75   | 0.04%             | 2051-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956000 | PA      | $305444.87    | 0.01%             | 2051-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NCE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1196715 | PA      | $287054.83    | 0.01%             | 2051-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                 | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8771109 | PA      | $84158.79     | 0.00%             | 2036-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1245122 | PA      | $1116054.14   | 0.04%             | 2043-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2021-2                                                   | CUSIP: 61946RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029750 | PA      | $762722.61    | 0.03%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP              | Medline Borrower LP                                                              | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    900000 | PA      | $764442.00    | 0.03%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1355421.00   | 0.05%             | 2049-10-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAD1<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2032760.00   | 0.07%             | 2049-10-25      | Floating      | 13.26%                | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE   | Multifamily Connecticut Avenue Securities Trust 2020-01                          | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7626984.00   | 0.26%             | 2050-03-25      | Floating      | 12.01%                | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD              | NCL Corp Ltd                                                                     | CUSIP: 62886HBL4<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    300000 | PA      | $305217.00    | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| NMI HOLDINGS                     | NMI Holdings Inc                                                                 | CUSIP: 629209AA5<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1931920.00   | 0.07%             | 2025-06-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC           | Nationstar Mortgage Holdings Inc                                                 | CUSIP: 63861CAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2187225.00   | 0.07%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC            | NESCO Holdings II Inc                                                            | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1529039.50   | 0.05%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE           | Brundage-Bone Concrete Pumping Holdings Inc                                      | CUSIP: 66981QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1336433.00   | 0.05%             | 2026-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                  | Oaktree CLO 2019-4 Ltd                                                           | CUSIP: 67400JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $2345000.00   | 0.08%             | 2032-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                   | Oaktown Re III Ltd                                                               | CUSIP: 67400KAE0<br>LEI: 2549008N2FD0KB1Y5E03 | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1574998.02   | 0.05%             | 2029-07-25      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP             | OneMain Finance Corp                                                             | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    800000 | PA      | $638976.00    | 0.02%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2022-3                                                    | CUSIP: 68378NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $381623.20    | 0.01%             | 2031-06-09      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4137844 | PA      | $3123331.89   | 0.11%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13078 | PA      | $9780.12      | 0.00%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Trust 2022-1                                                      | CUSIP: 69546MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7099061 | PA      | $6035990.93   | 0.21%             | 2029-10-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-3                                            | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3299820 | PA      | $2869982.48   | 0.10%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-1                                            | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8596456 | PA      | $7502411.15   | 0.26%             | 2027-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | PAGAYA AI Debt Trust 2022-3                                                      | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1205370.00   | 0.04%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| PennyMac Mortgage Investment T   | PennyMac Mortgage Investment Trust                                               | CUSIP: 70931T103<br>LEI: 549300BSSOQO1ZWDUJ97 | Long             | EC               | CORP              | US        |     81182 | NS      | $1238025.50   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    900000 | PA      | $741078.00    | 0.03%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PFCA Home Equity Investment Tr   | PFCA Home Equity Investment Trust                                                | CUSIP: 717060AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3666990 | PA      | $3487619.44   | 0.12%             | 2033-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848634 | PA      | $735866.15    | 0.03%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863299 | PA      | $747891.27    | 0.03%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1644523 | PA      | $916850.92    | 0.03%             | 2036-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5611171 | PA      | $5040475.68   | 0.17%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608862 | PA      | $1424458.62   | 0.05%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7059321 | PA      | $5519154.01   | 0.19%             | 2036-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105021 | PA      | $51829.65     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALM Loan Funding                 | ALM 2020 Ltd                                                                     | CUSIP: 00166DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $3300000.00   | 0.11%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust   | Accredited Mortgage Loan Trust 2005-4                                            | CUSIP: 004375EK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22156 | PA      | $22096.70     | 0.00%             | 2035-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2005-3                                            | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308486 | PA      | $256906.17    | 0.01%             | 2035-07-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11117 | PA      | $3136.20      | 0.00%             | 2036-01-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2005-11                                           | CUSIP: 007036VC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5874166 | PA      | $4863826.95   | 0.17%             | 2036-02-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2007-1                                            | CUSIP: 007037AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2897594 | PA      | $2614478.75   | 0.09%             | 2037-03-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2007-1                                            | CUSIP: 007037BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289194 | PA      | $237882.11    | 0.01%             | 2037-03-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2007-2                                            | CUSIP: 00703AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1684115 | PA      | $1383396.04   | 0.05%             | 2037-06-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2007-3                                       | CUSIP: 026935AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290423 | PA      | $277688.10    | 0.01%             | 2037-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak High Yield Opportuni   | Angel Oak High Yield Opportunities Fund                                          | CUSIP: 03463K885<br>LEI: 549300T7PJMTQIW8KW05 | Long             | EC               | RF                | US        |   3336241 | NS      | $35297428.95  | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Annaly Capital Management Inc    | Annaly Capital Management Inc                                                    | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |     84833 | NS      | $1991030.51   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Aqua Finance Trust               | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1327341.30   | 0.05%             | 2046-07-17      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC           | Arbor Realty Trust Inc                                                           | CUSIP: 038923AJ7<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2923781.07   | 0.10%             | 2024-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC           | Arbor Realty Trust Inc                                                           | CUSIP: 038923AQ1<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4249668.40   | 0.14%             | 2027-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                     | Ares XXXVII CLO Ltd                                                              | CUSIP: 04015QAD9<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $900000.00    | 0.03%             | 2030-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2022-1                                                     | CUSIP: 042855AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1575212.00   | 0.05%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust   | Avant Credit Card Master Trust                                                   | CUSIP: 05351KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2291520.00   | 0.08%             | 2027-04-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust        | Avant Loans Funding Trust 2021-REV1                                              | CUSIP: 05353LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1793000 | PA      | $1691824.60   | 0.06%             | 2030-07-15      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Tr   | Avid Automobile Receivables Trust 2021-1                                         | CUSIP: 05369LAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1570000 | PA      | $1442233.40   | 0.05%             | 2028-04-17      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REP5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4822671.00   | 0.16%             | 2025-09-22      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REQ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4634217.00   | 0.16%             | 2026-08-20      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RGE8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $707928.90    | 0.02%             | 2029-04-20      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2013-RR1 Trust                                                          | CUSIP: 05490BBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3044326 | PA      | $2304673.40   | 0.08%             | 2036-05-26      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo   | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10264556 | PA      | $3550335.31   | 0.12%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2005-F Trust                                             | CUSIP: 05946XYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1652762 | PA      | $1305823.98   | 0.04%             | 2035-09-20      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo   | Banc of America Alternative Loan Trust 2005-10                                   | CUSIP: 05948KR35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333311 | PA      | $317252.88    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo   | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152023 | PA      | $85626.98     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2327170 | PA      | $1548650.46   | 0.05%             | 2037-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2152208 | PA      | $1848288.53   | 0.06%             | 2047-05-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-A Trust                                             | CUSIP: 05952DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1063940 | PA      | $820604.17    | 0.03%             | 2047-02-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur   | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    855418 | PA      | $765856.24    | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4392204 | PA      | $2898551.71   | 0.10%             | 2056-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2864595 | PA      | $1643968.21   | 0.06%             | 2056-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2364325 | PA      | $629411.60    | 0.02%             | 2056-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATI         | Consolidated Communications Inc                                                  | CUSIP: 20903XAF0<br>LEI: 549300WW675Y48HDVX34 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $1960510.66   | 0.07%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc      | Continental Credit Card ABS 2019-1 LLC                                           | CUSIP: 21134LAB4<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3455999.80   | 0.12%             | 2026-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae                                                                       | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | DBT              | USGA              | US        |  30000000 | PA      | $29756070.00  | 1.01%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae                                                                       | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 119750000 | PA      | $120469577.75 | 4.10%             | 2041-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae                                                                       | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  65000000 | PA      | $66015235.00  | 2.24%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2368299 | PA      | $1352523.79   | 0.05%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617818 | PA      | $549696.56    | 0.02%             | 2035-05-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3048332 | PA      | $2715677.09   | 0.09%             | 2037-02-26      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $4507342.94   | 0.15%             | 2037-02-26      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ5                                | CUSIP: 36260DBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1767480 | PA      | $1127896.45   | 0.04%             | 2051-03-27      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2018-1                                                  | CUSIP: 46648RAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2656518 | PA      | $2427930.27   | 0.08%             | 2048-06-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-1                                                  | CUSIP: 46651XBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3949734 | PA      | $3049016.89   | 0.10%             | 2050-06-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| KINGSTONE COMPANIES INC WARRANTS | KINGSTONE COMPANIES INC WARRANTS                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |     90000 | NS      | $45000.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust 2007-9                                                           | CUSIP: 52524MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18143423 | PA      | $51073.74     | 0.00%             | 2037-04-25      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-1                                      | CUSIP: 52604L104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    932340 | PA      | $4927344.45   | 0.17%             | 2045-07-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2022-A Asset Securitization Trust                                   | CUSIP: 52605AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3320000 | PA      | $1923900.16   | 0.07%             | 2029-06-15      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-7                                      | CUSIP: 52605F106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8702377 | PA      | $1436334.98   | 0.05%             | 2027-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-7                                      | CUSIP: 52605F205<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1779730 | PA      | $293746.00    | 0.01%             | 2027-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2020-6                                      | CUSIP: 52606PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173761 | PA      | $173487.06    | 0.01%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2022-B Asset Securitization Trust                                   | CUSIP: 52606WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1667732.40   | 0.06%             | 2029-10-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2021-B Asset Securitization Trust                                   | CUSIP: 52607HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1820302.00   | 0.06%             | 2029-02-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-2                                                   | CUSIP: 550279BD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31532772 | PA      | $114810.82    | 0.00%             | 2046-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-5                                                   | CUSIP: 55027XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27783491 | PA      | $45537.14     | 0.00%             | 2036-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LUTHER BURBANK CORP              | Luther Burbank Corp                                                              | CUSIP: 550550AC1<br>LEI: 5493007YRUZ4ZDZM0J48 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3291009.38   | 0.11%             | 2024-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                | MFA Financial Inc                                                                | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     92942 | NS      | $1816086.68   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2913 | PA      | $927.61       | 0.00%             | 2033-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MCF CLO LLC                      | MCF CLO VII LLC                                                                  | CUSIP: 55281FAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2845074.00   | 0.10%             | 2033-07-20      | Floating      | 13.96%                | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4106000 | PA      | $3291513.31   | 0.11%             | 2060-07-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $522864.60    | 0.02%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QA2 Trust                                                       | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5329643 | PA      | $4562451.85   | 0.16%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA8 Trust                                                       | CUSIP: 74922QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385707 | PA      | $334265.92    | 0.01%             | 2036-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS18 Trust                                                      | CUSIP: 74922RAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4931504 | PA      | $3427326.12   | 0.12%             | 2036-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4477057 | PA      | $3945084.17   | 0.13%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS8 Trust                                                       | CUSIP: 74922UAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1786063 | PA      | $1627145.89   | 0.06%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100713 | PA      | $1004353.16   | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123744 | PA      | $63865.84     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust     | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7651231 | PA      | $6835203.96   | 0.23%             | 2035-12-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2509174 | PA      | $1320568.34   | 0.04%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RCA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566000 | PA      | $448298.82    | 0.02%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RCB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870254 | PA      | $183832.45    | 0.01%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VBW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9391315 | PA      | $6101781.56   | 0.21%             | 2051-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VBX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7984024 | PA      | $3919980.18   | 0.13%             | 2051-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6294411 | PA      | $1539782.88   | 0.05%             | 2051-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-6                                                       | CUSIP: 74939KCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4746679 | PA      | $2682300.62   | 0.09%             | 2051-12-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-6                                                       | CUSIP: 74939KCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1948000 | PA      | $595764.63    | 0.02%             | 2051-12-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-6                                                       | CUSIP: 74939KCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1947847 | PA      | $443737.08    | 0.02%             | 2051-12-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S9 Trust                                                       | CUSIP: 749577AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4198850 | PA      | $3794824.40   | 0.13%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34552 | PA      | $20892.46     | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    668231 | PA      | $614746.07    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514826 | PA      | $480865.14    | 0.02%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR3                          | CUSIP: 86359LKC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11148659 | PA      | $154230.55    | 0.01%             | 2035-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35797820 | PA      | $1256038.10   | 0.04%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                 | Taseko Mines Ltd                                                                 | CUSIP: 876511AF3<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |   2300000 | PA      | $2182573.50   | 0.07%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co   | Triangle Re 2021-3 Ltd                                                           | CUSIP: 89600HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2200000 | PA      | $2029150.20   | 0.07%             | 2034-02-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T   | Tricolor Auto Securitization Trust 2022-1                                        | CUSIP: 89616BAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2520000 | PA      | $2463473.88   | 0.08%             | 2029-07-16      | Fixed         | 9.80%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2005-2                                   | CUSIP: 02660TFK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000483 | PA      | $2822324.72   | 0.10%             | 2035-09-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1586659 | PA      | $1272008.74   | 0.04%             | 2046-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2007-5                                       | CUSIP: 026936AU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17169235 | PA      | $892233.65    | 0.03%             | 2047-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.    | Anchorage Credit Funding 11 Ltd                                                  | CUSIP: 03330CAA6<br>LEI: 549300ZAIYJSUVDZF802 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $2842819.00   | 0.10%             | 2038-04-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Angel Oak Financials Income Im   | Angel Oak Financials Income Impact Fund                                          | CUSIP: 03463K208<br>LEI: 549300BXI7M64OGENR88 | Long             | EC               | RF                | US        |   5147772 | NS      | $41799908.20  | 1.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Ultrashort Income ET   | Angel Oak Ultrashort Income ETF                                                  | CUSIP: 03463K752<br>LEI: 549300AEKI5OUZTQ9F54 | Long             | EC               | RF                | US        |     95900 | NS      | $4849663.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-41                                                   | CUSIP: 12667GS46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3672580 | PA      | $119696.74    | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668AQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17779991 | PA      | $334832.79    | 0.01%             | 2035-11-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust          | CarMax Auto Owner Trust 2023-1                                                   | CUSIP: 14318DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1751666.00   | 0.06%             | 2029-11-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2022-N1                                           | CUSIP: 14686GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1480196.85   | 0.05%             | 2028-12-11      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2022-P2                                           | CUSIP: 14686JAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1502491.50   | 0.05%             | 2029-05-10      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N2                                           | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30900000 | PA      | $26635985.40  | 0.91%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N1                                           | CUSIP: 14687DAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $2958357.60   | 0.10%             | 2028-01-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N1                                           | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2183440.00   | 0.07%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Angel Oak Income ETF             | Angel Oak Income ETF                                                             | CUSIP: 03463K760<br>LEI: 549300KQXNQVK1DNGE47 | Long             | EC               | RF                | US        |    480700 | NS      | $9806280.00   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak Total Return Bond Fu   | Angel Oak Total Return Bond Fund                                                 | CUSIP: 03463K786<br>LEI: 5493000Z7TVQ74Q1G508 | Long             | EC               | RF                | US        |   3985110 | NS      | $34710309.19  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N3                                           | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7310000 | PA      | $6202023.30   | 0.21%             | 2028-06-12      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N4                                           | CUSIP: 14687HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6870000 | PA      | $5992309.41   | 0.20%             | 2028-09-11      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4               | CUSIP: 16678RFZ5<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-MBS          | CORP              | US        |  17200387 | PA      | $187295.01    | 0.01%             | 2037-04-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAA4<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   8317083 | PA      | $7448987.89   | 0.25%             | 2047-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAB2<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   4182045 | PA      | $3168606.08   | 0.11%             | 2047-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAA2<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |    894246 | PA      | $701112.22    | 0.02%             | 2047-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |   3709537 | PA      | $2852931.08   | 0.10%             | 2047-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2007-1               | CUSIP: 16679AAA1<br>LEI: 549300MCHROZ5RJLEL07 | Long             | ABS-MBS          | CORP              | US        |   7446447 | PA      | $6270392.54   | 0.21%             | 2048-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust    | Citigroup Mortgage Loan Trust 2006-4                                             | CUSIP: 172981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405755 | PA      | $392047.83    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust    | Citigroup Mortgage Loan Trust Inc Mortgage Pass-Through Ctfs Series 2005-7       | CUSIP: 17307GB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1709813 | PA      | $1151156.97   | 0.04%             | 2035-09-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust    | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GL97<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1363039 | PA      | $1142981.75   | 0.04%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust    | Citigroup Mortgage Loan Trust 2005-3                                             | CUSIP: 17307GTH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291193 | PA      | $273427.39    | 0.01%             | 2035-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust    | Citigroup Mortgage Loan Trust 2005-12                                            | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1317529 | PA      | $1148181.93   | 0.04%             | 2035-08-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000045 | PA      | $2816226.23   | 0.10%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1605662 | PA      | $1258083.05   | 0.04%             | 2036-09-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP            | Clearwater Paper Corp                                                            | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1244381.60   | 0.04%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A6                               | CUSIP: 18976GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1685571 | PA      | $1299096.84   | 0.04%             | 2037-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT Funding LLC                                                                 | CUSIP: 19688DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2862000 | PA      | $2224990.35   | 0.08%             | 2064-12-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                 | Connecticut Avenue Securities Trust 2019-R07                                     | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570899 | PA      | $571612.36    | 0.02%             | 2039-10-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                 | Connecticut Avenue Securities Trust 2019-HRP1                                    | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2412907.50   | 0.08%             | 2039-11-25      | Floating      | 13.76%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                 | Connecticut Avenue Securities Trust 2022-R08                                     | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734340 | PA      | $742611.35    | 0.03%             | 2042-07-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P             | Conn's Receivables Funding 2022-A LLC                                            | CUSIP: 20825YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500790.50    | 0.02%             | 2026-12-15      | Fixed         | 9.52%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2006-1                                            | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762691 | PA      | $441924.00    | 0.02%             | 2036-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2005-12                                           | CUSIP: 2254W0MF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1455376 | PA      | $1122238.62   | 0.04%             | 2036-03-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| CUSTOMERS BANK                   | Customers Bank                                                                   | CUSIP: 23204HBM9<br>LEI: 6UHRKD73G36IZYN3FC43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $965362.78    | 0.03%             | 2029-06-26      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-J8                                                   | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2753100 | PA      | $1310979.24   | 0.04%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2006-AR2                                                | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19578847 | PA      | $15954821.67  | 0.54%             | 2036-10-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR1                                                | CUSIP: 23332UAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13611218 | PA      | $157481.79    | 0.01%             | 2044-09-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: 23332UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13551571 | PA      | $150015.89    | 0.01%             | 2044-11-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR4                                                | CUSIP: 23332UBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7694300 | PA      | $6014195.71   | 0.20%             | 2045-01-19      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR4                                                | CUSIP: 23332UCG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11504083 | PA      | $70577.55     | 0.00%             | 2045-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21473338 | PA      | $233565.50    | 0.01%             | 2045-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $10000.00     | 0.00%             | 2045-02-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR5                    | CUSIP: 25150NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7439716 | PA      | $2452591.56   | 0.08%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4683846 | PA      | $4291948.56   | 0.15%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6301762 | PA      | $5721187.20   | 0.19%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $216539.94    | 0.01%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12957051 | PA      | $10569196.41  | 0.36%             | 2051-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC          | New Fortress Energy Inc                                                          | CUSIP: 644393AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $184302.20    | 0.01%             | 2026-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910304 | PA      | $712356.33    | 0.02%             | 2037-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265003 | PA      | $1056654.61   | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642340 | PA      | $1150948.34   | 0.04%             | 2037-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                    | PRA Group Inc                                                                    | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2236223.76   | 0.08%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE CORP                | PHH Mortgage Corp                                                                | CUSIP: 69356NAA2<br>LEI: PAOOWF3GUFM46FBSP561 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2284375.00   | 0.08%             | 2026-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2021-3 LLC                                                                  | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    616370 | PA      | $579307.91    | 0.02%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag   | PRPM 2021-RPL1 LLC                                                               | CUSIP: 69360GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6167000 | PA      | $5220704.69   | 0.18%             | 2051-07-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Trust 2022-1                                                      | CUSIP: 69546MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6999074 | PA      | $6401633.37   | 0.22%             | 2029-10-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Trust 2022-5                                                      | CUSIP: 69548HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1434721.40   | 0.05%             | 2030-06-17      | Fixed         | 10.31%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA6 Trust                                                       | CUSIP: 74922MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1498283 | PA      | $1425933.83   | 0.05%             | 2036-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA10 Trust                                                      | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423634 | PA      | $346405.12    | 0.01%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175840 | PA      | $90617.61     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189109 | PA      | $96220.38     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509360 | PA      | $352791.95    | 0.01%             | 2037-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29585673 | PA      | $12262551.36  | 0.42%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QA3 Trust                                                       | CUSIP: 74923XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11432217 | PA      | $9362653.89   | 0.32%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QO5 Trust                                                       | CUSIP: 74924AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23595566 | PA      | $4513407.05   | 0.15%             | 2047-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS10 Trust                                                      | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6748685 | PA      | $6039735.54   | 0.21%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust     | RBSSP Resecuritization Trust 2009-3                                              | CUSIP: 74928FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1583493 | PA      | $1395440.60   | 0.05%             | 2035-09-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193172 | PA      | $128127.87    | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2007-S1 Trust                                                       | CUSIP: 749581AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322918 | PA      | $1202644.66   | 0.04%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425911 | PA      | $386119.08    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12073 | PA      | $7090.07      | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor RE 2020-1 Ltd                                                             | CUSIP: 750493AD0<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |  11731174 | PA      | $11279336.10  | 0.38%             | 2030-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor RE 2021-2 Ltd                                                             | CUSIP: 75049GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    850541 | PA      | $805368.77    | 0.03%             | 2031-11-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS10 Trust                                                      | CUSIP: 751155AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249884 | PA      | $214400.82    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA5 Trust                                                       | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112655 | PA      | $58987.51     | 0.00%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA5 Trust                                                       | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6091242 | PA      | $2818978.22   | 0.10%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA5 Trust                                                       | CUSIP: 75115BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587820 | PA      | $270750.28    | 0.01%             | 2036-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040421 | PA      | $620626.90    | 0.02%             | 2036-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1496325 | PA      | $1339026.78   | 0.05%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36846 | PA      | $22334.22     | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14951 | PA      | $4260.98      | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3347897 | PA      | $3026722.87   | 0.10%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360203 | PA      | $2146918.84   | 0.07%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2351469 | PA      | $2093176.94   | 0.07%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA9 Trust                                                       | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1551598 | PA      | $851879.86    | 0.03%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2645930 | PA      | $1511733.56   | 0.05%             | 2038-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-J2                                          | CUSIP: 12545EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4503269 | PA      | $876101.99    | 0.03%             | 2037-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10686005 | PA      | $8582154.65   | 0.29%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425251 | PA      | $206168.29    | 0.01%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust         | Bear Stearns ALT-A Trust 2005-5                                                  | CUSIP: 07386HUG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446318 | PA      | $412034.43    | 0.01%             | 2035-07-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust         | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2624917 | PA      | $2320726.18   | 0.08%             | 2035-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3132768 | PA      | $1979705.64   | 0.07%             | 2037-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CEW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351628 | PA      | $170987.73    | 0.01%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941667 | PA      | $421469.23    | 0.01%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor RE 2021-1 Ltd                                                             | CUSIP: 75279YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3250000 | PA      | $3009035.25   | 0.10%             | 2033-12-27      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2021-J1                                                      | CUSIP: 75409JDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1291000 | PA      | $514662.31    | 0.02%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2021-J1                                                      | CUSIP: 75409JDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922000 | PA      | $272468.52    | 0.01%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu   | Bear Stearns Asset Backed Securities I Trust 2005-AC5                            | CUSIP: 073879ZX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1482869 | PA      | $962196.94    | 0.03%             | 2035-08-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M   | Bear Stearns ARM Trust 2005-6                                                    | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1562912 | PA      | $1335515.71   | 0.05%             | 2035-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu   | Bear Stearns Asset Backed Securities Trust 2007-SD3                              | CUSIP: 07387LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21512 | PA      | $19284.92     | 0.00%             | 2037-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu   | Bear Stearns Asset Backed Securities I Trust 2007-AC6                            | CUSIP: 07387TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2162270 | PA      | $1194623.70   | 0.04%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M   | Bear Stearns ARM Trust 2006-2                                                    | CUSIP: 07388DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414001 | PA      | $330992.76    | 0.01%             | 2036-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding    | Bear Stearns Mortgage Funding Trust 2006-AR1                                     | CUSIP: 07401LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    473767 | PA      | $347098.81    | 0.01%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 07876AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   8250000 | PA      | $7588432.50   | 0.26%             | 2031-06-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714020 | PA      | $440806.06    | 0.01%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128100 | PA      | $821092.08    | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2021-B                                                | CUSIP: 12656QAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $6689218.75   | 0.23%             | 2028-06-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736448 | PA      | $625120.26    | 0.02%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031450 | PA      | $2291676.16   | 0.08%             | 2056-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539950 | PA      | $1246358.53   | 0.04%             | 2056-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1847678 | PA      | $1584237.79   | 0.05%             | 2066-10-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20185226 | PA      | $136169.53    | 0.00%             | 2056-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341DU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555280 | PA      | $438803.57    | 0.01%             | 2035-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341DZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1840014 | PA      | $1554512.16   | 0.05%             | 2035-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $4815903.31   | 0.16%             | 2037-02-26      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $447771.50    | 0.02%             | 2031-07-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1703244 | PA      | $1027560.07   | 0.03%             | 2050-03-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35607177 | PA      | $315408.37    | 0.01%             | 2050-03-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1269546.00   | 0.04%             | 2049-08-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577000 | PA      | $458956.19    | 0.02%             | 2049-08-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2020-RPL1                                    | CUSIP: 36260AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6323000 | PA      | $5278522.60   | 0.18%             | 2059-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ5                                | CUSIP: 36260DBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2160887 | PA      | $1579206.77   | 0.05%             | 2051-03-27      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1547161 | PA      | $848919.44    | 0.03%             | 2051-05-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | CUSIP: 36261HBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1194000 | PA      | $345733.45    | 0.01%             | 2051-10-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-1                                                  | CUSIP: 46650HBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1711835 | PA      | $1329239.53   | 0.05%             | 2049-05-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818801 | PA      | $1583473.39   | 0.05%             | 2050-03-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3545342 | PA      | $2772322.98   | 0.09%             | 2050-12-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1771726 | PA      | $1359810.16   | 0.05%             | 2050-12-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4062829 | PA      | $2504141.16   | 0.09%             | 2050-12-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8969948 | PA      | $6543164.63   | 0.22%             | 2052-06-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| MED Trust                        | Med Trust 2021-MDLN                                                              | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2148617 | PA      | $2003875.20   | 0.07%             | 2038-11-15      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495EW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1514186 | PA      | $331680.84    | 0.01%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799000 | PA      | $1548539.62   | 0.05%             | 2048-03-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10124150 | PA      | $8108988.56   | 0.28%             | 2060-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10125738 | PA      | $7163301.46   | 0.24%             | 2060-01-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO           | Monroe Capital MML CLO IX Ltd                                                    | CUSIP: 61033WAN2<br>LEI: 549300GARKU58L8MSR11 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $674060.10    | 0.02%             | 2031-10-22      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO           | Monroe Capital Mml Clo XI Ltd                                                    | CUSIP: 61034PAA4<br>LEI: 549300JM3KC77XXZOT62 | Long             | ABS-CBDO         | CORP              | KY        |   3486461 | PA      | $3221873.47   | 0.11%             | 2033-05-20      | Floating      | 13.22%                | No            |                  2 | On Loan: No      |
| Monroe Capital MML CLO           | MONROE CAPITAL MML CLO VIII LTD                                                  | CUSIP: 61034TAE8<br>LEI: 254900CN59JSSABI7X69 | Long             | ABS-CBDO         | CORP              | KY        |   4440000 | PA      | $4020899.52   | 0.14%             | 2033-11-22      | Floating      | 13.02%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2005-3AR                                      | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    746954 | PA      | $661515.13    | 0.02%             | 2035-07-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2005-1                                        | CUSIP: 61748HJH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723803 | PA      | $624901.96    | 0.02%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2005-6AR                                      | CUSIP: 61748HMR9<br>LEI: 5493009TSYV65TPO7151 | Long             | ABS-MBS          | CORP              | US        |   2138258 | PA      | $1255023.02   | 0.04%             | 2035-11-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 199165223 | PA      | $8208395.52   | 0.28%             | 2060-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2014-3R                                                              | CUSIP: 12648GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391142 | PA      | $320029.25    | 0.01%             | 2036-03-27      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2005-9AR                                      | CUSIP: 61748HQW4<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |   1617128 | PA      | $1108511.92   | 0.04%             | 2035-12-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWM9<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |   1992550 | PA      | $1295922.84   | 0.04%             | 2036-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWT4<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |   2882946 | PA      | $2133472.22   | 0.07%             | 2036-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   5734070 | PA      | $2859380.23   | 0.10%             | 2047-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-8XS                                      | CUSIP: 61754PAC8<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |  17592403 | PA      | $6975669.09   | 0.24%             | 2037-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-8XS                                      | CUSIP: 61754PAF1<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |  17107262 | PA      | $6042370.53   | 0.21%             | 2037-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-8XS                                      | CUSIP: 61754PAX2<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |  17107262 | PA      | $5960666.24   | 0.20%             | 2037-04-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |   4866369 | PA      | $4416468.23   | 0.15%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |  14133738 | PA      | $12741112.15  | 0.43%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAD4<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |   2035258 | PA      | $1807903.59   | 0.06%             | 2037-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-12                                       | CUSIP: 61755GBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2564515 | PA      | $1518752.01   | 0.05%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-15AR                                     | CUSIP: 61756XAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5489732 | PA      | $4368316.77   | 0.15%             | 2037-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988000 | PA      | $314623.66    | 0.01%             | 2051-03-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1124310 | PA      | $267803.83    | 0.01%             | 2051-03-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-3                            | CUSIP: 61772CBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093000 | PA      | $444966.86    | 0.02%             | 2051-06-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-3                            | CUSIP: 61772CBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781000 | PA      | $236286.08    | 0.01%             | 2051-06-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-3                            | CUSIP: 61772CBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938058 | PA      | $211942.95    | 0.01%             | 2051-06-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-5                                       | CUSIP: 85573QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8901678 | PA      | $7760393.61   | 0.26%             | 2066-09-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd             | Steele Creek CLO 2016-1 Ltd                                                      | CUSIP: 858102AZ9<br>LEI: 5493003PZ3HX9NW9PS65 | Long             | ABS-CBDO         | CORP              | KY        |  17756577 | PA      | $16627791.40  | 0.57%             | 2031-06-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| STERLING BANCORP/MI              | Sterling Bancorp Inc/MI                                                          | CUSIP: 85917WAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2050000 | PA      | $2031103.10   | 0.07%             | 2026-04-15      | Variable      | 10.65%                | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11074874 | PA      | $426460.16    | 0.01%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor   | Structured Adjustable Rate Mortgage Loan Trust Series 2007-8                     | CUSIP: 86362NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915343 | PA      | $672840.44    | 0.02%             | 2037-09-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor   | Structured Adjustable Rate Mortgage Loan Trust Series 2007-5                     | CUSIP: 86363XAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3486400 | PA      | $2789995.42   | 0.09%             | 2037-06-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC               | SunCoke Energy Inc                                                               | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2242860.33   | 0.08%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Helios Issuer VI, LLC            | SUNNOVA HELIOS II ISSUER LLC 2021-B                                              | CUSIP: 86744TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385077 | PA      | $1961120.06   | 0.07%             | 2048-07-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage   | Sutherland Commercial Mortgage Loans 2017-SBC6                                   | CUSIP: 86933YAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5810578 | PA      | $5646801.28   | 0.19%             | 2037-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| SYLVAMO CORP                     | Sylvamo Corp                                                                     | CUSIP: 87133LAA8<br>LEI: 5493001AOYU1ZOWOC971 | Long             | DBT              | CORP              | US        |   8750000 | PA      | $8380356.25   | 0.28%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TCP Whitney CLO LTD              | TCP Waterman Clo LLC                                                             | CUSIP: 87240GAG6<br>LEI: 549300YFKQJL35BDIM44 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3662464.00   | 0.12%             | 2033-08-20      | Floating      | 12.84%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2015-6R                                                              | CUSIP: 12650EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6829178 | PA      | $5226622.25   | 0.18%             | 2035-07-27      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10048129 | PA      | $8973070.05   | 0.31%             | 2057-08-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CSMCM 2018-RPL3 C                | CSMCM 2018-RPL3 C                                                                | CUSIP: 12655AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10303488 | PA      | $8943190.86   | 0.30%             | 2050-07-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2020-2R Mortgage Loan Trust                                                 | CUSIP: 12656GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3605000 | PA      | $2965873.16   | 0.10%             | 2065-10-26      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19210526 | PA      | $12980610.05  | 0.44%             | 2056-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21996829 | PA      | $994784.59    | 0.03%             | 2056-11-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 313476279 | PA      | $1945120.31   | 0.07%             | 2056-11-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| COVANTA HOLDING CORP             | Covanta Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |    200000 | PA      | $174721.00    | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2007-3F                                                  | CUSIP: 3622MWAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4599501 | PA      | $1109063.96   | 0.04%             | 2037-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292163 | PA      | $178146.72    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-4                                                    | CUSIP: 362334FK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5369555 | PA      | $3322562.36   | 0.11%             | 2036-03-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2006-1F                                                  | CUSIP: 3623417D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    902388 | PA      | $505440.28    | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2005-15                                                   | CUSIP: 362341D71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1815763 | PA      | $883083.43    | 0.03%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-AR5                                                 | CUSIP: 362341MC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859696 | PA      | $625236.87    | 0.02%             | 2035-10-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2678374 | PA      | $2179941.89   | 0.07%             | 2035-12-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-8                                                    | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3707788 | PA      | $860974.26    | 0.03%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-20                                                   | CUSIP: 362351AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10428036 | PA      | $4189797.12   | 0.14%             | 2046-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-20                                                   | CUSIP: 362351AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2449036 | PA      | $1157174.41   | 0.04%             | 2046-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5276832 | PA      | $1411426.00   | 0.05%             | 2036-06-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-AR3                                                 | CUSIP: 36242D4V2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990715 | PA      | $894280.67    | 0.03%             | 2035-05-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5709149 | PA      | $4039319.97   | 0.14%             | 2037-02-26      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 342575810 | PA      | $325447.02    | 0.01%             | 2051-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1803754 | PA      | $1219658.71   | 0.04%             | 2051-05-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1704942 | PA      | $649697.12    | 0.02%             | 2051-05-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | CUSIP: 36261HBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3719291 | PA      | $2040692.93   | 0.07%             | 2051-10-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | CUSIP: 36261HBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2987778 | PA      | $639127.54    | 0.02%             | 2051-10-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2369213 | PA      | $1386989.40   | 0.05%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039000 | PA      | $317483.07    | 0.01%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ2                                     | CUSIP: 36264DAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4062620 | PA      | $2917651.78   | 0.10%             | 2051-07-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5472695 | PA      | $3392961.15   | 0.12%             | 2037-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                       | CUSIP: 61690KAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $63242.00     | 0.00%             | 2046-02-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust     | Morgan Stanley Resecuritization Trust 2015-R4                                    | CUSIP: 61690WBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010309 | PA      | $697715.35    | 0.02%             | 2047-08-26      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2005-3AR                                      | CUSIP: 61745M4M2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7522461 | PA      | $4599217.47   | 0.16%             | 2035-07-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWP2<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |   1203968 | PA      | $782259.91    | 0.03%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWQ0<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |  14973257 | PA      | $1266662.64   | 0.04%             | 2036-03-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWR8<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |   5672045 | PA      | $4212792.00   | 0.14%             | 2036-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2315553 | PA      | $1300810.41   | 0.04%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-6XS                                      | CUSIP: 61751JAL5<br>LEI: 54930082QRSQQM7E0E88 | Long             | ABS-MBS          | CORP              | US        |   2572046 | PA      | $1163022.82   | 0.04%             | 2047-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAJ1<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   1517061 | PA      | $878103.45    | 0.03%             | 2047-01-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810060 | PA      | $387165.69    | 0.01%             | 2051-03-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7552550 | PA      | $6159452.11   | 0.21%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3578232 | PA      | $2699300.25   | 0.09%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827000 | PA      | $195155.46    | 0.01%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9279922 | PA      | $5853728.45   | 0.20%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5197193 | PA      | $3113206.97   | 0.11%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245000 | PA      | $785098.95    | 0.03%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2244537 | PA      | $462902.09    | 0.02%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8208066 | PA      | $6297006.31   | 0.21%             | 2051-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7513634 | PA      | $5446963.86   | 0.19%             | 2051-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD              | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAS5<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $371502.80    | 0.01%             | 2031-01-26      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD              | SOUND POINT CLO XVII                                                             | CUSIP: 83611FAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $2896413.20   | 0.10%             | 2030-10-20      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP         | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                 | CUSIP: 84859BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    400000 | PA      | $409518.00    | 0.01%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS   | Spruce Hill Mortgage Loan Trust 2020-SH1                                         | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5015454.00   | 0.17%             | 2050-01-28      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET         | Smyrna Ready Mix Concrete LLC                                                    | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182197.50    | 0.01%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Strata CLO, Ltd                  | Strata CLO II Ltd                                                                | CUSIP: 86271WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $1590000.00   | 0.05%             | 2121-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor   | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579L63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307234 | PA      | $254965.96    | 0.01%             | 2036-01-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor   | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18                    | CUSIP: 863579XC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1977286 | PA      | $1695706.95   | 0.06%             | 2035-09-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co   | Structured Asset Securities Corp Mor Pas Thr Cer Ser 2003-6A                     | CUSIP: 86359AMR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14092 | PA      | $13616.93     | 0.00%             | 2033-03-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR1                          | CUSIP: 86359LAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5481963 | PA      | $20321.64     | 0.00%             | 2034-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR7                          | CUSIP: 86359LFQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8030507 | PA      | $140582.05    | 0.00%             | 2035-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR2                          | CUSIP: 86359LHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7656954 | PA      | $103774.69    | 0.00%             | 2045-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR8                          | CUSIP: 86361WAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  81203491 | PA      | $1435921.34   | 0.05%             | 2036-10-25      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| TH MSR ISSUER TRUST              | TH MSR issuer Trust                                                              | CUSIP: 87271AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1803606.00   | 0.06%             | 2024-06-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu   | TBW Mortgage-Backed Trust Series 2006-3                                          | CUSIP: 87804AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3158008 | PA      | $1293466.37   | 0.04%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust            | Terwin Mortgage Trust Series TMTS 2005-18ALT                                     | CUSIP: 881561L51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23877800 | PA      | $1260962.74   | 0.04%             | 2037-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust            | Theorem Funding Trust 2022-2                                                     | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3795944.70   | 0.13%             | 2028-12-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| TOWNSQUARE MEDIA INC             | Townsquare Media Inc                                                             | CUSIP: 892231AB7<br>LEI: 549300XBA8C68H0DR538 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $938665.85    | 0.03%             | 2026-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co   | Traingle Re 2021-1 Ltd                                                           | CUSIP: 89600FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1500000 | PA      | $1509808.50   | 0.05%             | 2033-08-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co   | Triangle Re 2021-3 Ltd                                                           | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   8400000 | PA      | $7958756.40   | 0.27%             | 2034-02-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534686 | PA      | $437524.19    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2007-22                                                   | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8778558 | PA      | $3669946.22   | 0.12%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2007-20                                                   | CUSIP: 02151LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3248532 | PA      | $1234906.65   | 0.04%             | 2047-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC          | American Axle & Manufacturing Inc                                                | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1568060.99   | 0.05%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACC Trust                        | ACC Trust 2022-1                                                                 | CUSIP: 00091HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1434528.00   | 0.05%             | 2028-10-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP             | AGNC Investment Corp                                                             | CUSIP: 00123Q807<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     66529 | NS      | $1490249.60   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2007-2                                            | CUSIP: 00703AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774849 | PA      | $1333421.32   | 0.05%             | 2037-06-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2006-3                                            | CUSIP: 00703QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1442621 | PA      | $720232.81    | 0.02%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2021-B                                         | CUSIP: 00834DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $3984907.50   | 0.14%             | 2026-08-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2021-B                                         | CUSIP: 00834DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2519720.10   | 0.09%             | 2026-08-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust    | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842ACF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2018000 | PA      | $1648211.59   | 0.06%             | 2045-06-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62397599 | PA      | $1242086.61   | 0.04%             | 2046-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21791193 | PA      | $182283.33    | 0.01%             | 2046-08-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13176676 | PA      | $77017.67     | 0.00%             | 2046-08-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22979540 | PA      | $370039.54    | 0.01%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6613400 | PA      | $2983410.41   | 0.10%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1585838 | PA      | $778391.32    | 0.03%             | 2036-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15970314 | PA      | $475164.75    | 0.02%             | 2046-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-2                                       | CUSIP: 02660XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011566 | PA      | $823096.37    | 0.03%             | 2046-09-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3909309 | PA      | $3291536.70   | 0.11%             | 2036-12-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6279834 | PA      | $2523927.94   | 0.09%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2007-A                                   | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2211292 | PA      | $925485.26    | 0.03%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec   | American Credit Acceptance Receivables Trust 2021-1                              | CUSIP: 02528BAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $612810.25    | 0.02%             | 2027-11-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec   | American Credit Acceptance Receivables Trust 2021-4                              | CUSIP: 02530TAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $853644.00    | 0.03%             | 2028-02-14      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2007-1                                   | CUSIP: 026932AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17751083 | PA      | $10444630.73  | 0.36%             | 2047-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2007-1                                   | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10788700 | PA      | $5954758.45   | 0.20%             | 2047-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC Trust 2007-AA3                                                          | CUSIP: 05530VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1002719 | PA      | $862638.89    | 0.03%             | 2037-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2010-RR6 Trust                                                          | CUSIP: 05533CGX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4680580 | PA      | $3701393.16   | 0.13%             | 2035-12-26      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2010-RR7 Trust                                                          | CUSIP: 05533DEJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    964262 | PA      | $623167.01    | 0.02%             | 2036-05-26      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2010-RR9 Trust                                                          | CUSIP: 05533GCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5904426 | PA      | $5447789.26   | 0.19%             | 2037-01-27      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2012-RR1 Trust                                                          | CUSIP: 05534DAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558141 | PA      | $1277156.85   | 0.04%             | 2035-10-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2012-RR4 Trust                                                          | CUSIP: 05540XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921725 | PA      | $1188942.38   | 0.04%             | 2036-02-26      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2012-RR11-I Trust                                                       | CUSIP: 05542AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943390 | PA      | $819389.68    | 0.03%             | 2037-01-26      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| BNC Mortgage Loan Trust          | BNC Mortgage Loan Trust 2006-2                                                   | CUSIP: 055683AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33000000 | PA      | $16640976.00  | 0.57%             | 2036-11-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec   | American Credit Acceptance Receivables Trust 2023-1                              | CUSIP: 02530UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $750939.75    | 0.03%             | 2029-04-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec   | American Credit Acceptance Receivables Trust 2022-1                              | CUSIP: 02530WAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540000 | PA      | $1278554.20   | 0.04%             | 2028-11-13      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| B RILEY FINANCIAL INC            | B Riley Financial Inc                                                            | CUSIP: 05580M868<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    280000 | NS      | $6672400.00   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc of America Alternative Lo   | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3488311 | PA      | $1101315.46   | 0.04%             | 2036-10-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2007-2                                   | CUSIP: 02660CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3861783 | PA      | $1671028.12   | 0.06%             | 2047-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2005-2                                   | CUSIP: 02660TEN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425356 | PA      | $331086.81    | 0.01%             | 2045-09-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2020-4 Ltd                                                         | CUSIP: 07876UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2500000 | PA      | $2405985.00   | 0.08%             | 2030-06-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond    | CLUB Credit Trust 2017-P2                                                        | CUSIP: 21051C107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $43822.99     | 0.00%             | 2024-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2624611 | PA      | $1900071.57   | 0.06%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5770740 | PA      | $3845863.40   | 0.13%             | 2052-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2009-R14 Trust                                           | CUSIP: 05955MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299746 | PA      | $291110.17    | 0.01%             | 2035-07-26      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2019-J1                                                                | CUSIP: 12556MCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613000 | PA      | $401576.30    | 0.01%             | 2049-08-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J2                                                                | CUSIP: 12564ECJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1602688 | PA      | $727777.46    | 0.02%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J2                                                                | CUSIP: 12564ECK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718000 | PA      | $212223.57    | 0.01%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4990114 | PA      | $3163138.45   | 0.11%             | 2052-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    779644 | PA      | $446644.76    | 0.02%             | 2052-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                  | Impac CMB Trust Series 2005-7                                                    | CUSIP: 45254NQY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1372287 | PA      | $1083335.66   | 0.04%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Corp Series 2005-2                                          | CUSIP: 45254TSS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541640 | PA      | $437122.82    | 0.01%             | 2036-03-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J2                                                                | CUSIP: 12564ECL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1438139 | PA      | $316005.16    | 0.01%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J1                                                                | CUSIP: 12564KCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1349893 | PA      | $608449.20    | 0.02%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1834999 | PA      | $1310378.38   | 0.04%             | 2050-03-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555114 | PA      | $1552737.80   | 0.05%             | 2050-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J1                                                                | CUSIP: 12564KCK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $238679.46    | 0.01%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J1                                                                | CUSIP: 12564KCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1416978 | PA      | $312642.03    | 0.01%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J3                                                                | CUSIP: 12565VDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281000 | PA      | $502280.10    | 0.02%             | 2051-06-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J3                                                                | CUSIP: 12565VDK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481000 | PA      | $139116.74    | 0.00%             | 2051-06-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ACA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1675737 | PA      | $1321402.17   | 0.04%             | 2050-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-9                                                  | CUSIP: 46592DBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075745 | PA      | $458578.26    | 0.02%             | 2051-05-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2102317 | PA      | $1365679.92   | 0.05%             | 2051-07-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-1                                                  | CUSIP: 46651XCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2189543 | PA      | $1642772.40   | 0.06%             | 2050-06-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-1                                                  | CUSIP: 46651XCB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3545901 | PA      | $2215993.25   | 0.08%             | 2050-06-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2881871 | PA      | $2337799.77   | 0.08%             | 2050-05-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2562081 | PA      | $2010406.21   | 0.07%             | 2050-05-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4917839 | PA      | $2878165.13   | 0.10%             | 2050-05-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL   | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 48128U2Q1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    503415 | PA      | $483759.31    | 0.02%             | 2028-12-26      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| KINGSTONE COS INC                | Kingstone Cos Inc                                                                | CUSIP: 496719AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1852000 | PA      | $1852000.00   | 0.06%             | 2024-12-30      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| LMST 2019-1 CERT                 | LMST 2019-1 CERT                                                                 | CUSIP: 510861AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4112464 | PA      | $4101710.18   | 0.14%             | 2049-08-15      | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| LSALT 2019-1B PT                 | LSALT 2019-1B PT                                                                 | CUSIP: 510861AB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 147021684 | PA      | $143556089.08 | 4.88%             | 2049-08-28      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| LSALT SERIES C                   | LSALT SERIES C                                                                   | CUSIP: 510861AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1480000 | PA      | $1401232.92   | 0.05%             | 2051-06-25      | Variable      | 7.85%                 | No            |                  2 | On Loan: No      |
| LD HOLDINGS GROUP LLC            | LD Holdings Group LLC                                                            | CUSIP: 521088AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $522912.00    | 0.02%             | 2028-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust      | Legacy Mortgage Asset Trust 2020-GS3                                             | CUSIP: 52474NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4816084 | PA      | $4808812.10   | 0.16%             | 2060-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2006-GP4                                                  | CUSIP: 525161AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3501621 | PA      | $2180273.54   | 0.07%             | 2046-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17667 | PA      | $12752.85     | 0.00%             | 2037-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2005-3                                                    | CUSIP: 525221AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115247 | PA      | $1032146.67   | 0.04%             | 2035-09-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2006-10N                                                  | CUSIP: 525229AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1412150 | PA      | $1305729.31   | 0.04%             | 2046-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-9                                                     | CUSIP: 52522XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14907 | PA      | $11128.89     | 0.00%             | 2037-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus   | LendingPoint Pass-Through Trust Series 2022-ST3                                  | CUSIP: 52607TAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576000 | PA      | $1006691.71   | 0.03%             | 2028-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3780101 | PA      | $3294595.96   | 0.11%             | 2036-04-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J3                                                                | CUSIP: 12565VDL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800773 | PA      | $172071.70    | 0.01%             | 2051-06-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A6                               | CUSIP: 12566RAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74882 | PA      | $36904.23     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26557428 | PA      | $310243.88    | 0.01%             | 2036-04-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-3                                                   | CUSIP: 55027AAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8415365 | PA      | $194529.57    | 0.01%             | 2036-05-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3382924.50   | 0.12%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-AEINV2 Trust                                                            | CUSIP: 55284CBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3213950 | PA      | $2591668.48   | 0.09%             | 2051-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-AEINV2 Trust                                                            | CUSIP: 55284CBV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5895667 | PA      | $4582778.27   | 0.16%             | 2051-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-AEINV2 Trust                                                            | CUSIP: 55284CBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2841191 | PA      | $1776553.98   | 0.06%             | 2051-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-AEINV2 Trust                                                            | CUSIP: 55284CBY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050667 | PA      | $1166226.42   | 0.04%             | 2051-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-AEINV2 Trust                                                            | CUSIP: 55284CBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4104268 | PA      | $1407538.32   | 0.05%             | 2051-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-HF1                                            | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9655770 | PA      | $4982763.40   | 0.17%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403 | PA      | $320.46       | 0.00%             | 2037-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust     | Mastr Resecuritization Trust 2008-4                                              | CUSIP: 55292FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459949 | PA      | $1265439.75   | 0.04%             | 2036-06-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495ES9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1098148 | PA      | $670225.25    | 0.02%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2119829 | PA      | $1436209.29   | 0.05%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Stone Street Receivables Fundi   | Stone Street Receivables Funding 2015-1 LLC                                      | CUSIP: 86175EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648024 | PA      | $563496.49    | 0.02%             | 2054-12-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,    | Wachovia Mortgage Loan Trust Series 2006-ALT1                                    | CUSIP: 92978GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146246 | PA      | $1110875.60   | 0.04%             | 2037-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1767427 | PA      | $1097648.22   | 0.04%             | 2035-11-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR8 Trust | CUSIP: 93935LAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12189500 | PA      | $247032.41    | 0.01%             | 2046-10-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA4 Trust | CUSIP: 93936MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22283086 | PA      | $84831.71     | 0.00%             | 2047-04-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                | Wellfleet CLO 2015-1 Ltd                                                         | CUSIP: 94949QAE9<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $931000.00    | 0.03%             | 2029-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-3 Trust                              | CUSIP: 949831BL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627000 | PA      | $1248735.52   | 0.04%             | 2049-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2006-AR14 Trust                           | CUSIP: 94984MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396934 | PA      | $296860.81    | 0.01%             | 2036-10-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T   | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3115876 | PA      | $2065694.87   | 0.07%             | 2037-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T   | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    864084 | PA      | $804520.20    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T   | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1574084 | PA      | $1349009.23   | 0.05%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T   | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1726766 | PA      | $1479859.45   | 0.05%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2128521 | PA      | $1767170.82   | 0.06%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4089598 | PA      | $3186590.45   | 0.11%             | 2036-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1521223 | PA      | $1177002.41   | 0.04%             | 2037-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105674 | PA      | $50904.38     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3963662 | PA      | $3111450.93   | 0.11%             | 2037-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2375094 | PA      | $1895462.50   | 0.06%             | 2037-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121736 | PA      | $56705.87     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates         | CSMCM 2018-RPL1 Trust                                                            | CUSIP: 12595RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12727369 | PA      | $11256733.90  | 0.38%             | 2057-07-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2013-CCRE8 Mortgage Trust                                                   | CUSIP: 12625KAG0<br>LEI: 549300NGGFIEJ2ER3D22 | Long             | ABS-MBS          | CORP              | US        |    206774 | PA      | $207734.57    | 0.01%             | 2046-06-10      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1725869 | PA      | $862608.29    | 0.03%             | 2036-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7830262 | PA      | $5850599.61   | 0.20%             | 2056-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 348497402 | PA      | $649599.16    | 0.02%             | 2056-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 180413289 | PA      | $4043963.88   | 0.14%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13178884 | PA      | $295404.69    | 0.01%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2022-A                                                | CUSIP: 12659WAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $4597095.60   | 0.16%             | 2029-04-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 119568179 | PA      | $249658.36    | 0.01%             | 2056-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM2                                                                   | CUSIP: 12662EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $764194.00    | 0.03%             | 2066-02-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2004-32CB                                                 | CUSIP: 12667FP41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544716 | PA      | $368479.74    | 0.01%             | 2035-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-3CB                                                  | CUSIP: 12667FX26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370463 | PA      | $349281.02    | 0.01%             | 2035-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G4B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18696918 | PA      | $357578.56    | 0.01%             | 2035-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-42CB                                                 | CUSIP: 12667G4V2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134312 | PA      | $645008.52    | 0.02%             | 2035-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21916327 | PA      | $342880.94    | 0.01%             | 2035-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-1                                                  | CUSIP: 46650HBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3491723 | PA      | $2601124.43   | 0.09%             | 2049-05-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2019-LTV1                                             | CUSIP: 46650PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5415084 | PA      | $4784405.41   | 0.16%             | 2049-06-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2019-LTV1                                             | CUSIP: 46650PBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000096 | PA      | $1562553.26   | 0.05%             | 2049-06-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2019-LTV1                                             | CUSIP: 46650PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2823096 | PA      | $2044763.04   | 0.07%             | 2049-06-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-6                                                  | CUSIP: 46651BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1879931 | PA      | $1325729.50   | 0.05%             | 2049-12-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23849243 | PA      | $9658.94      | 0.00%             | 2050-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2955329 | PA      | $2263740.36   | 0.08%             | 2050-02-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199000 | PA      | $835032.76    | 0.03%             | 2050-02-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370924 | PA      | $754908.81    | 0.03%             | 2050-02-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV2                                               | CUSIP: 46653LCK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7587480 | PA      | $6281052.73   | 0.21%             | 2050-11-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV2                                               | CUSIP: 46653LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3112763 | PA      | $2675653.51   | 0.09%             | 2050-11-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV2                                               | CUSIP: 46653LCM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8560711 | PA      | $6146367.68   | 0.21%             | 2050-11-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-6                                                  | CUSIP: 46653PCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3752990 | PA      | $2381365.83   | 0.08%             | 2051-10-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-6                                                  | CUSIP: 46653PCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3002584 | PA      | $1653826.12   | 0.06%             | 2051-10-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-6                                                  | CUSIP: 46653PCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4624991 | PA      | $1069219.36   | 0.04%             | 2051-10-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2450689 | PA      | $1226910.56   | 0.04%             | 2051-12-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ACF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3977976 | PA      | $1038227.90   | 0.04%             | 2051-12-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-INV6                                               | CUSIP: 46654FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277890 | PA      | $1051705.93   | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5218541 | PA      | $3258196.27   | 0.11%             | 2052-06-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4173660 | PA      | $2288780.96   | 0.08%             | 2052-06-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8349373 | PA      | $2596805.26   | 0.09%             | 2052-06-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14180973 | PA      | $9473315.27   | 0.32%             | 2052-07-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6898149 | PA      | $3914720.16   | 0.13%             | 2052-07-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6033683 | PA      | $1454479.73   | 0.05%             | 2052-07-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| JAX BANCP STAT TRUST III         | Jacksonville Bancorp Inc Statutory Trust III                                     | CUSIP: 469249AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1199924.03   | 0.04%             | 2038-09-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                | Magnetite XIV-R LTD                                                              | CUSIP: 55954LAE3<br>LEI: 549300XD71H6EU9N2I97 | Long             | ABS-CBDO         | CORP              | KY        |   1710000 | PA      | $1679078.07   | 0.06%             | 2031-10-18      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXI Ltd.        | Marble Point CLO XXI Ltd                                                         | CUSIP: 56606PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $1770000.00   | 0.06%             | 2051-10-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2022-2                                                    | CUSIP: 57107LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $494223.50    | 0.02%             | 2032-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2022-3                                                    | CUSIP: 57109NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1008388.00   | 0.03%             | 2032-11-15      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-5AR                                      | CUSIP: 61748HYR6<br>LEI: 549300T1OKVUI6WNLP63 | Long             | ABS-MBS          | CORP              | US        |  16106778 | PA      | $339772.48    | 0.01%             | 2036-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-9AR                                      | CUSIP: 61748JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1947981 | PA      | $664384.23    | 0.02%             | 2036-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAG1<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |   3503449 | PA      | $1222843.98   | 0.04%             | 2036-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3322752 | PA      | $1157158.30   | 0.04%             | 2036-08-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2666433 | PA      | $930945.25    | 0.03%             | 2036-08-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust         | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1715000 | PA      | $623371.63    | 0.02%             | 2051-10-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust         | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734000 | PA      | $237294.86    | 0.01%             | 2051-10-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    900000 | PA      | $757712.65    | 0.03%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PFCA Home Equity Investment Tr   | PFCA Home Equity Investment Trust                                                | CUSIP: 717060AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2387417 | PA      | $2289616.66   | 0.08%             | 2034-10-22      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| PREFERRED BANK LA CALIF          | Preferred Bank/Los Angeles CA                                                    | CUSIP: 740367NL7<br>LEI: 5493007K6HGI9G0ECX16 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1321021.28   | 0.04%             | 2031-06-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| PPTT 2006-B BAC CLASS A          | Preferred Pass-Through Trust                                                     | CUSIP: 74039GAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $700000.00    | 0.02%             | 2023-02-27      | Variable      | 2.05%                 | No            |                  3 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2022-NPL3 LLC                                                               | CUSIP: 74143NAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $973239.00    | 0.03%             | 2052-06-25      | Variable      | 7.87%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust             | Prime Mortgage Trust 2007-2                                                      | CUSIP: 74162JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2788076 | PA      | $2222707.12   | 0.08%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213743 | PA      | $967960.13    | 0.03%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29609 | PA      | $16152.16     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    821383 | PA      | $435124.27    | 0.01%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548026 | PA      | $30426.94     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179790 | PA      | $135953.70    | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2605831 | PA      | $1414742.08   | 0.05%             | 2051-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-4                                       | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $987300.00    | 0.03%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-4                                       | CUSIP: 30166BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1114839.60   | 0.04%             | 2030-03-15      | Fixed         | 8.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-1                                       | CUSIP: 30167JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1662740.00   | 0.06%             | 2029-10-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2016-KF25 Mortgage Trust                                                   | CUSIP: 30295WAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130091 | PA      | $129640.55    | 0.00%             | 2023-10-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF58 Mortgage Trust                                                   | CUSIP: 302986AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182007 | PA      | $1089686.42   | 0.04%             | 2026-01-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF33 Mortgage Trust                                                   | CUSIP: 30303CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921939 | PA      | $851558.30    | 0.03%             | 2027-06-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF41 Mortgage Trust                                                   | CUSIP: 30306KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600479 | PA      | $554995.37    | 0.02%             | 2024-11-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec   | Arivo Acceptance Auto Loan Receivables Trust 2022-1                              | CUSIP: 04047EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $457295.00    | 0.02%             | 2029-09-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    309509 | PA      | $250508.51    | 0.01%             | 2037-05-24      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management              | CBAM 2018-6 Ltd                                                                  | CUSIP: 12481XAS9<br>LEI: 254900FSYLEH1VUJJF28 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4887525.00   | 0.17%             | 2031-01-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2021-1 Ltd                                                              | CUSIP: 26983BAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9900000 | PA      | $9944381.70   | 0.34%             | 2033-10-25      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd              | Eaton Vance CLO 2019-1 Ltd                                                       | CUSIP: 27830VAE0<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $3500000.00   | 0.12%             | 2031-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Inc          | Ellington Financial Inc                                                          | CUSIP: 28852N109<br>LEI: 60GS1D1R1YY5G1W7IT74 | Long             | EC               | CORP              | US        |    103500 | NS      | $1421055.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 502788591 | PA      | $312734.50    | 0.01%             | 2051-09-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5054914 | PA      | $4108371.62   | 0.14%             | 2051-09-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-9                                            | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245787 | PA      | $1674353.21   | 0.06%             | 2034-12-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-11                                           | CUSIP: 41161PKK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7051165 | PA      | $67691.19     | 0.00%             | 2035-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF61 Mortgage Trust                                                   | CUSIP: 30311LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921839 | PA      | $845541.33    | 0.03%             | 2029-04-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I,    | FAT Brands Fazoli's Native I LLC                                                 | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1755756.00   | 0.06%             | 2051-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-1                                            | CUSIP: 41161PLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5852284 | PA      | $211788.31    | 0.01%             | 2035-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-4                                            | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818693 | PA      | $585626.62    | 0.02%             | 2035-07-19      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort   | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GT70<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    213502 | PA      | $138145.13    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th   | First Horizon Mortgage Pass-Through Trust 2005-AR4                               | CUSIP: 32051GUC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40615 | PA      | $30706.27     | 0.00%             | 2035-09-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-3                                            | CUSIP: 41161PNK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43843738 | PA      | $332861.66    | 0.01%             | 2035-06-19      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2006-4                                            | CUSIP: 41161PP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4860830 | PA      | $2658164.60   | 0.09%             | 2046-05-19      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort   | First Horizon Alternative Mortgage Securities Trust 2006-AA2                     | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376041 | PA      | $315257.44    | 0.01%             | 2036-05-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort   | First Horizon Alternative Mortgage Securities Trust 2005-AA9                     | CUSIP: 32051GXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    864428 | PA      | $713642.59    | 0.02%             | 2035-11-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156791 | PA      | $973250.00    | 0.03%             | 2035-09-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22769902 | PA      | $1229.57      | 0.00%             | 2035-09-19      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-10                                           | CUSIP: 41161PTS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30553606 | PA      | $274.98       | 0.00%             | 2035-11-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-11                                           | CUSIP: 41161PUN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9026552 | PA      | $38642.67     | 0.00%             | 2045-08-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-12                                           | CUSIP: 41161PVT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8543612 | PA      | $49928.87     | 0.00%             | 2035-10-19      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-13                                           | CUSIP: 41161PWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14460623 | PA      | $163578.57    | 0.01%             | 2036-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-15                                           | CUSIP: 41161PXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2578581 | PA      | $1955229.54   | 0.07%             | 2045-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-15                                           | CUSIP: 41161PXM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2963839 | PA      | $2551826.87   | 0.09%             | 2045-10-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2006-9                                            | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661128 | PA      | $537637.88    | 0.02%             | 2036-11-19      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2006-14                                           | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15857729 | PA      | $12466014.66  | 0.42%             | 2047-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                  | Impac CMB Trust Series 2005-8                                                    | CUSIP: 45254NRK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1437782 | PA      | $1201714.38   | 0.04%             | 2036-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR10                                       | CUSIP: 45660LKZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28910019 | PA      | $179878.14    | 0.01%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort   | First Horizon Alternative Mortgage Securities Trust 2005-FA8                     | CUSIP: 32051GYY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6194 | PA      | $5057.97      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru   | First Investors Auto Owner Trust 2022-1                                          | CUSIP: 32057KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1533385.00   | 0.05%             | 2029-06-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LL31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940563 | PA      | $433678.54    | 0.01%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6746057 | PA      | $6656348.27   | 0.23%             | 2057-10-25      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru   | First Investors Auto Owner Trust 2021-1                                          | CUSIP: 32059FAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $861351.00    | 0.03%             | 2027-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FIRST NBC BANK HOLDING           | First NBC Bank Holding Co                                                        | CUSIP: 32115DAB2<br>LEI: 549300GOJWUWKLTNFL07 | Long             | DBT              | CORP              | US        |  13500000 | PA      | $1312200.00   | 0.04%             | 2025-02-18      | None          | 5.75%                 | No            |                  3 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL   | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 46591HAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128225 | PA      | $127208.22    | 0.00%             | 2028-01-25      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451265 | PA      | $384683.97    | 0.01%             | 2051-03-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $1029623.60   | 0.04%             | 2051-03-25      | Floating      | 11.21%                | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2399647 | PA      | $2007546.84   | 0.07%             | 2050-02-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KCB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2531771 | PA      | $993180.98    | 0.03%             | 2051-07-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3146493 | PA      | $822131.55    | 0.03%             | 2051-07-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                    | FirstCash Inc                                                                    | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1341911.13   | 0.05%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2020-1                                                | CUSIP: 33843FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839000 | PA      | $709563.28    | 0.02%             | 2027-06-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1840012 | PA      | $1167841.15   | 0.04%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1840012 | PA      | $736347.20    | 0.03%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2021-2                                                | CUSIP: 33844WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $3416796.50   | 0.12%             | 2028-09-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2021-4                                                | CUSIP: 33845AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3255068.00   | 0.11%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2005-A8                                                 | CUSIP: 466247YV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506574 | PA      | $1205470.44   | 0.04%             | 2035-11-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T   | JP Morgan Alternative Loan Trust 2007-A2                                         | CUSIP: 466278AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22714539 | PA      | $12239502.07  | 0.42%             | 2037-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2022-3                                                | CUSIP: 33845PAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1968634.00   | 0.07%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2022-1                                                | CUSIP: 33845VAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1297426.50   | 0.04%             | 2029-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T   | JP Morgan Alternative Loan Trust 2006-A7                                         | CUSIP: 466286AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173377 | PA      | $1041006.00   | 0.04%             | 2036-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1658043 | PA      | $1426942.90   | 0.05%             | 2036-10-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550977 | PA      | $432760.88    | 0.01%             | 2036-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516940 | PA      | $373329.64    | 0.01%             | 2036-10-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2006-A7                                                 | CUSIP: 46629DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128217 | PA      | $1034380.75   | 0.04%             | 2037-01-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T   | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46629EAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8602182 | PA      | $7208903.99   | 0.25%             | 2036-09-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1391995 | PA      | $1084652.12   | 0.04%             | 2037-06-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2006-1                                              | CUSIP: 576434Y40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2008892 | PA      | $558751.21    | 0.02%             | 2036-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2020-4                                                | CUSIP: 33845XAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10700000 | PA      | $10043940.20  | 0.34%             | 2028-07-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2017-2                                                   | CUSIP: 33850RBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1153000 | PA      | $799296.50    | 0.03%             | 2047-10-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2006-2                                     | CUSIP: 576438AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    708009 | PA      | $653946.93    | 0.02%             | 2036-01-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5674285 | PA      | $4550470.50   | 0.15%             | 2051-12-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9113601 | PA      | $7036857.55   | 0.24%             | 2051-12-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750281 | PA      | $2003640.54   | 0.07%             | 2051-12-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3095775 | PA      | $1928453.95   | 0.07%             | 2051-12-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1203370 | PA      | $680668.26    | 0.02%             | 2051-12-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3959186 | PA      | $1422163.54   | 0.05%             | 2051-12-25      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Mello Warehouse Securitization   | Mello Warehouse Securitization Trust 2021-3                                      | CUSIP: 58552FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18750000 | PA      | $17069831.25  | 0.58%             | 2055-11-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| MERCER INTL INC                  | Mercer International Inc                                                         | CUSIP: 588056AW1<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | US        |    650000 | PA      | $629544.50    | 0.02%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERCER INTL INC                  | Mercer International Inc                                                         | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1199513.00   | 0.04%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc      | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                        | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    673008 | PA      | $520000.04    | 0.02%             | 2029-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-A3                            | CUSIP: 59023CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469882 | PA      | $396399.91    | 0.01%             | 2036-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBT3<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2478000 | PA      | $1921832.72   | 0.07%             | 2048-10-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11944572 | PA      | $8972547.73   | 0.31%             | 2051-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5006497 | PA      | $3106741.74   | 0.11%             | 2037-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10048857 | PA      | $5249723.74   | 0.18%             | 2037-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed    | Merrill Lynch Mortgage Backed Securities Trust Series 2007-1                     | CUSIP: 59024NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600894 | PA      | $1410320.61   | 0.05%             | 2037-04-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2021-J1                                                      | CUSIP: 75409JDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737919 | PA      | $162519.28    | 0.01%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8530915 | PA      | $5712002.11   | 0.19%             | 2051-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2087018 | PA      | $850307.53    | 0.03%             | 2036-11-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $169725.05    | 0.01%             | 2051-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust                   | CUSIP: 933637AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326444 | PA      | $263520.57    | 0.01%             | 2037-01-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011000 | PA      | $304682.04    | 0.01%             | 2050-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| XCALI 2020-1 Mortgage Trust      | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98370AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193750 | PA      | $2181899.14   | 0.07%             | 2023-02-06      | Floating      | 11.87%                | No            |                  2 | On Loan: No      |
| X-Caliber                        | X-Caliber Funding LLC                                                            | CUSIP: 98370JAC8<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   9375000 | PA      | $8900906.25   | 0.30%             | 2026-01-06      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| REVREPO12659WAJ7                 | REVREPO12659WAJ7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2295000 | PA      | $-2295000.00  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO46591HAD2                 | REVREPO46591HAD2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -702008 | PA      | $-702008.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO46591HAM2                 | REVREPO46591HAM2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3183975 | PA      | $-3183975.00  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3404199 | PA      | $720032.25    | 0.02%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341ZU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1425459 | PA      | $824931.65    | 0.03%             | 2035-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| REVREPO46654TCH9                 | REVREPO46654TCH9                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3023000 | PA      | $-3023000.29  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO46654WCL3                 | REVREPO46654WCL3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4415719 | PA      | $-4415719.04  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO58550NBV2                 | REVREPO58550NBV2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3309643 | PA      | $-3309643.13  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO61772MAY5                 | REVREPO61772MAY5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2724194 | PA      | $-2724193.72  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO61772NBU0                 | REVREPO61772NBU0                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -4797326 | PA      | $-4797325.89  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO64828GCT5                 | REVREPO64828GCT5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -5349260 | PA      | $-5349260.03  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO69546MAB3                 | REVREPO69546MAB3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3035849 | PA      | $-3035848.50  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO74938FBV9                 | REVREPO74938FBV9                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3048918 | PA      | $-3048918.40  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO74938VBU6                 | REVREPO74938VBU6                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2943863 | PA      | $-2943863.01  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO74938VBV4                 | REVREPO74938VBV4                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2592969 | PA      | $-2592968.74  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO74938VBW2                 | REVREPO74938VBW2                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2985454 | PA      | $-2985454.40  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO78432YAB5                 | REVREPO78432YAB5                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3702588 | PA      | $-3702587.94  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO79581RAA9                 | REVREPO79581RAA9                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -6788471 | PA      | $-6788470.61  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO85209FAF3                 | REVREPO85209FAF3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2287320 | PA      | $-2287320.00  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237000 | PA      | $377512.61    | 0.01%             | 2052-01-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2007-2F                                                  | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290746 | PA      | $172521.73    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REVREPO90355RBH4                 | REVREPO90355RBH4                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2975769 | PA      | $-2975768.88  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO91530PAA0                 | REVREPO91530PAA0                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        | -11214641 | PA      | $-11214641.46 | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO91679LAC6                 | REVREPO91679LAC6                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -6415920 | PA      | $-6415920.00  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO77342NAE4                 | REVREPO77342NAE4                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2071250 | PA      | $-2071250.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO80316RAA9                 | REVREPO80316RAA9                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2196600 | PA      | $-2196600.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO90354XBC3                 | REVREPO90354XBC3                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -2477214 | PA      | $-2477213.67  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| REVREPO36179XLH7                 | REVREPO36179XLH7                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3889135 | PA      | $-3889134.84  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | ERIS SOFR 10yr    Sep22                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1067 | NC      | $3072319.80   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2007-7                                            | CUSIP: 411640AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14245247 | PA      | $10704590.60  | 0.36%             | 2037-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12566705 | PA      | $9354227.85   | 0.32%             | 2037-08-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1596252 | PA      | $1435630.63   | 0.05%             | 2037-08-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust           | Harvest SBA Loan Trust 2018-1                                                    | CUSIP: 41755JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688024 | PA      | $667480.15    | 0.02%             | 2044-08-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAP4<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $580472.10    | 0.02%             | 2028-06-26      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MBG3<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3609775.80   | 0.12%             | 2026-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2021-1 Ltd                                                               | CUSIP: 437307AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3083042 | PA      | $2881219.90   | 0.10%             | 2033-07-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2022-1 Ltd                                                               | CUSIP: 43730GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $487213.00    | 0.02%             | 2034-10-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2022-1 Ltd                                                               | CUSIP: 43730GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $474530.00    | 0.02%             | 2034-10-25      | Floating      | 13.31%                | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2021-2 Ltd                                                               | CUSIP: 43730VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   8250000 | PA      | $7745512.50   | 0.26%             | 2034-01-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2019-1 Ltd                                                               | CUSIP: 43731AAB9<br>LEI: 254900GFKVQN72ENGJ20 | Long             | ABS-MBS          | CORP              | BM        |  20083000 | PA      | $20328193.35  | 0.69%             | 2029-05-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2005-1                                                   | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3970195 | PA      | $2933184.32   | 0.10%             | 2035-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2005-1                                                   | CUSIP: 43739EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    631292 | PA      | $466797.51    | 0.02%             | 2035-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2005-5                                                   | CUSIP: 43739ECB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474429 | PA      | $1248846.90   | 0.04%             | 2036-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                  | Impac CMB Trust Series 2005-6                                                    | CUSIP: 45254NQG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16659664 | PA      | $14274216.34  | 0.49%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                  | Impac CMB Trust Series 2005-7                                                    | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12322579 | PA      | $10429005.23  | 0.35%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR2                                        | CUSIP: 45660LCT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11035242 | PA      | $6157.66      | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR4                                        | CUSIP: 45660LEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13660444 | PA      | $237418.52    | 0.01%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2022-J1                                                      | CUSIP: 75410RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3699017 | PA      | $2032473.02   | 0.07%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2022-J1                                                      | CUSIP: 75410RDK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    632000 | PA      | $219127.67    | 0.01%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC                | Rent-A-Center Inc/TX                                                             | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1787541.00   | 0.06%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS7 Trust                                                       | CUSIP: 761118AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435525 | PA      | $1294292.49   | 0.04%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QA8 Trust                                                       | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482022 | PA      | $362406.77    | 0.01%             | 2035-07-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS11 Trust                                                      | CUSIP: 761118CF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224583 | PA      | $129841.34    | 0.00%             | 2035-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS10 Trust                                                      | CUSIP: 761118CZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786732 | PA      | $660669.14    | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453007 | PA      | $409122.15    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1868992 | PA      | $1722489.39   | 0.06%             | 2035-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215226 | PA      | $115198.87    | 0.00%             | 2035-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6278789 | PA      | $2828167.42   | 0.10%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5366830 | PA      | $5045769.75   | 0.17%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395216 | PA      | $261374.34    | 0.01%             | 2035-11-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QA13 Trust                                                      | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3880028 | PA      | $3528156.20   | 0.12%             | 2035-12-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2052460 | PA      | $1892889.11   | 0.06%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118QB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351424 | PA      | $214862.90    | 0.01%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QO5 Trust                                                       | CUSIP: 761118QQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23687318 | PA      | $1722020.61   | 0.06%             | 2046-01-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS1 Trust                                                       | CUSIP: 761118SD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3736096 | PA      | $2560776.27   | 0.09%             | 2036-01-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711795 | PA      | $454029.21    | 0.02%             | 2036-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS2 Trust                                                       | CUSIP: 761118UQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2896544 | PA      | $2451460.66   | 0.08%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2818915 | PA      | $1807857.36   | 0.06%             | 2036-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520842 | PA      | $946277.25    | 0.03%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527578 | PA      | $292600.33    | 0.01%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1634212 | PA      | $549778.28    | 0.02%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10400948 | PA      | $3562428.74   | 0.12%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6289015 | PA      | $1947821.19   | 0.07%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10330348 | PA      | $3400957.03   | 0.12%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2005-S7 Trust                                                       | CUSIP: 76111XA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28047 | PA      | $19462.07     | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-SA1 Trust                                                      | CUSIP: 76111XG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725484 | PA      | $552104.85    | 0.02%             | 2036-02-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro   | RAMP Series 2006-RS2 Trust                                                       | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605018 | PA      | $577357.35    | 0.02%             | 2036-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan   | GMACM Mortgage Loan Trust 2005-AR5                                               | CUSIP: 76112BYF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27722 | PA      | $22502.82     | 0.00%             | 2035-09-19      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3071444 | PA      | $1125459.93   | 0.04%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A6                                   | CUSIP: 76114CAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2191871 | PA      | $1734747.54   | 0.06%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust   | Shellpoint Asset Funding Trust 2013-1                                            | CUSIP: 822804AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2733914 | PA      | $1784543.04   | 0.06%             | 2043-07-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA - HIGH BALANCE 30 YR. FIXED | FNMA - HIGH BALANCE 30 YR. FIXED                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    487047 | PA      | $470922.23    | 0.02%             | 2048-05-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST    | Skopos Auto Receivables Trust 2019-1                                             | CUSIP: 83085DAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2650000 | PA      | $2608845.50   | 0.09%             | 2026-06-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4742364 | PA      | $3719094.33   | 0.13%             | 2051-08-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580138 | PA      | $1073055.65   | 0.04%             | 2051-08-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158000 | PA      | $484413.40    | 0.02%             | 2051-08-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1852327 | PA      | $435554.32    | 0.01%             | 2051-08-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Mortgage Reference Notes Series 2021-CL2                                 | CUSIP: 95763PER8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17969350 | PA      | $17342776.55  | 0.59%             | 2059-07-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable   | Westlake Automobile Receivables Trust 2023-1                                     | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1519834.50   | 0.05%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable   | Westlake Automobile Receivables Trust 2021-3                                     | CUSIP: 96043JAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2485800.00   | 0.08%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC              | White Cap Buyer LLC                                                              | CUSIP: 96350RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2826822.85   | 0.10%             | 2028-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd               | THL Credit Wind River 2019-3 Clo Ltd                                             | CUSIP: 97314GAC5<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1335097.50   | 0.05%             | 2031-04-15      | Floating      | 11.54%                | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-1                                              | CUSIP: 97652PAY7<br>LEI: 5493002CYMIHYUBDIR84 | Long             | ABS-MBS          | CORP              | US        |   2370000 | PA      | $1840700.79   | 0.06%             | 2044-06-20      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| X-Caliber                        | X-Caliber Funding LLC                                                            | CUSIP: 98370JAD6<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   2180000 | PA      | $2179234.82   | 0.07%             | 2026-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| XCAL 2019-IL-1 Mortgage Trust    | XCAL 2019-IL-1 MORTGAGE TRUST                                                    | CUSIP: 98370LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5129931 | PA      | $5135845.78   | 0.17%             | 2023-11-06      | Floating      | 18.58%                | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98370NAA3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   3950000 | PA      | $3815818.50   | 0.13%             | 2026-01-06      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| XCALI 2020-2 Mortgage Trust      | XCALI 2020-2 Mortgage Trust                                                      | CUSIP: 98400WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6765846 | PA      | $6562518.97   | 0.22%             | 2023-02-07      | Floating      | 11.87%                | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98402TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $1183351.68   | 0.04%             | 2024-03-01      | Floating      | 12.44%                | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                | Generate CLO 2 Ltd                                                               | CUSIP: 98625RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $1640000.00   | 0.06%             | 2031-01-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ENVIVA PARTNERS LP/FIN C         | Enviva Partners LP / Enviva Partners Finance Corp                                | CUSIP: 29413XAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $186910.00    | 0.01%             | 2026-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TIAA                             | TIAA                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3975000.00   | 0.14%             | 2035-01-07      | Variable      | 4.38%                 | No            |                  3 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2021-4                                       | CUSIP: 30165JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7550000 | PA      | $6673346.85   | 0.23%             | 2028-01-17      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| First American Government Obli   | First American Government Obligations Fund                                       | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        | 119722714 | NS      | $119722714.09 | 4.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BANCSHARES INC             | First Bancshares Inc/The                                                         | CUSIP: 318916AB9<br>LEI: 5493006DL5RXJODMAF36 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $969303.77    | 0.03%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort   | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GT39<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |   3606169 | PA      | $1498341.48   | 0.05%             | 2036-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100357 | PA      | $921880.10    | 0.03%             | 2037-03-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2079428 | PA      | $465190.92    | 0.02%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264648 | PA      | $804274.60    | 0.03%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7619889 | PA      | $4820753.15   | 0.16%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1792574 | PA      | $783471.57    | 0.03%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3252733 | PA      | $832602.07    | 0.03%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 860676208 | PA      | $811617.66    | 0.03%             | 2051-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5483199 | PA      | $3466056.01   | 0.12%             | 2051-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038000 | PA      | $309336.46    | 0.01%             | 2051-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4670429 | PA      | $1031459.57   | 0.04%             | 2051-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4632608 | PA      | $3911311.01   | 0.13%             | 2052-01-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3706671 | PA      | $2727453.53   | 0.09%             | 2052-01-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3706671 | PA      | $2429007.23   | 0.08%             | 2052-01-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1482863 | PA      | $846046.00    | 0.03%             | 2052-01-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4285203 | PA      | $1368329.62   | 0.05%             | 2052-01-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3879113 | PA      | $2263582.93   | 0.08%             | 2052-01-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3091101 | PA      | $700499.13    | 0.02%             | 2052-01-25      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3381066 | PA      | $2180733.60   | 0.07%             | 2052-02-26      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1268263 | PA      | $673400.51    | 0.02%             | 2052-02-26      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5673304 | PA      | $1355034.64   | 0.05%             | 2052-02-26      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2021-4                                         | CUSIP: 36263DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4211415.00   | 0.14%             | 2028-10-16      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4032700 | PA      | $3219513.74   | 0.11%             | 2051-12-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4032700 | PA      | $3112840.77   | 0.11%             | 2051-12-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4182524 | PA      | $3053376.48   | 0.10%             | 2051-12-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2987793 | PA      | $1910048.54   | 0.06%             | 2051-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1793063 | PA      | $985739.81    | 0.03%             | 2051-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2472259 | PA      | $517708.27    | 0.02%             | 2051-12-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2021-3                                         | CUSIP: 36263LAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $6554370.00   | 0.22%             | 2028-10-16      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1362810 | PA      | $1113385.38   | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $554243.30    | 0.02%             | 2052-04-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1606000 | PA      | $501451.02    | 0.02%             | 2052-04-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2938523 | PA      | $684496.50    | 0.02%             | 2052-04-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ2                                     | CUSIP: 36264DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6093930 | PA      | $4972238.55   | 0.17%             | 2051-07-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ2                                     | CUSIP: 36264DAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5484917 | PA      | $4140673.54   | 0.14%             | 2051-07-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2022-J1                                                      | CUSIP: 75410RDL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112723 | PA      | $230053.25    | 0.01%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL CORP               | Ready Capital Corp                                                               | CUSIP: 75574U408<br>LEI: 549300MYWGZUG7ZUYO87 | Long             | EP               | CORP              | US        |    320000 | NS      | $7385600.00   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Redwood Trust Inc                | Redwood Trust Inc                                                                | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               | CORP              | US        |    929117 | NS      | $7767418.12   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Regatta X Funding Ltd.           | Regatta X Funding Ltd                                                            | CUSIP: 75884CAC0<br>LEI: 549300E2FIIBY7XTJE98 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $1250000.00   | 0.04%             | 2031-01-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD              | Sound Point CLO V-R LTD                                                          | CUSIP: 83607GAA5<br>LEI: 549300UPX3H8ENJXHI23 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $3186778.50   | 0.11%             | 2031-07-18      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| TRINITY CAPITAL INC/MD           | Trinity Capital Inc                                                              | CUSIP: 896442506<br>LEI: 549300YGT4SBRQYDVU48 | Long             | EP               | CORP              | US        |    100000 | NS      | $2487500.00   | 0.08%             |  |  |  | No            |                  3 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6416201 | PA      | $5084563.37   | 0.17%             | 2051-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4351673 | PA      | $3190781.24   | 0.11%             | 2051-08-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176321 | PA      | $1380388.17   | 0.05%             | 2051-08-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631514 | PA      | $929654.45    | 0.03%             | 2051-08-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3438310 | PA      | $1016897.49   | 0.03%             | 2051-08-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1284936.90   | 0.04%             | 2025-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $982199.00    | 0.03%             | 2027-07-15      | Fixed         | 9.14%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8475934 | PA      | $6164783.83   | 0.21%             | 2051-11-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6054517 | PA      | $3797962.07   | 0.13%             | 2051-11-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4440239 | PA      | $2501617.31   | 0.09%             | 2051-11-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10091187 | PA      | $3893714.94   | 0.13%             | 2051-11-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Unison Trust                     | Unison Trust 2021-1                                                              | CUSIP: 90919VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8953616 | PA      | $8106979.82   | 0.28%             | 2050-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitizat   | United Auto Credit Securitization Trust                                          | CUSIP: 90943UAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035000 | PA      | $942301.26    | 0.03%             | 2027-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL         | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2411780.00   | 0.08%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2022-1                                                          | CUSIP: 91530PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23550879 | PA      | $23168860.61  | 0.79%             | 2035-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2022-1                                                          | CUSIP: 91530PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9555770.00   | 0.32%             | 2035-09-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust Series 2021-PT2                                   | CUSIP: 91531XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7753437 | PA      | $6833173.81   | 0.23%             | 2027-05-15      | Variable      | 14.68%                | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust Series 2019-ST3                                   | CUSIP: 91532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294576 | PA      | $294602.11    | 0.01%             | 2025-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust Series 2019-ST4                                   | CUSIP: 91532TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28862 | PA      | $28890.84     | 0.00%             | 2025-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST4                                       | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $549088.40    | 0.02%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-3                                              | CUSIP: 91678W109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17192 | PA      | $1614738.33   | 0.05%             | 2030-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-5                                              | CUSIP: 91679JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9400000 | PA      | $8048891.00   | 0.27%             | 2031-11-20      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-1                                              | CUSIP: 91679K104<br>LEI: 5493001JGB0VWKP2NJ75 | Long             | ABS-O            | CORP              | US        |     20143 | PA      | $1307839.85   | 0.04%             | 2026-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-3                                              | CUSIP: 91679LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15276000 | PA      | $13295741.57  | 0.45%             | 2031-07-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-2                                              | CUSIP: 91679TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1450605.00   | 0.05%             | 2032-05-20      | Fixed         | 8.43%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST4                                       | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $931314.82    | 0.03%             | 2026-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-1                                              | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1426154.40   | 0.05%             | 2032-03-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-2                                              | CUSIP: 91680FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $4898052.50   | 0.17%             | 2031-06-20      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series                                                | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $642826.08    | 0.02%             | 2030-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST6                                       | CUSIP: 91680VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5450000 | PA      | $2186427.87   | 0.07%             | 2027-08-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-07

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

**Signature:** /s/ Daniel Fazioli

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

**Title:** Principal Financial Officer