# EDGAR Filing Document

**Accession Number:** 0000276776
**File Stem:** 0001752724-23-035885
**Filing Date:** 2023-2
**Character Count:** 648028
**Document Hash:** 53534b8179ff64fbb9e68354d0b7cd8a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035885.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035885

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIONEER BOND FUND /DE/
- **CENTRAL INDEX KEY:** 0000276776
- **IRS NUMBER:** 042652279
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02864
- **FILM NUMBER:** 23657589

**BUSINESS ADDRESS:**
- **STREET 1:** 60 STATE ST 5TH FL
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 617-742-7825

**MAIL ADDRESS:**
- **STREET 1:** 60 STATE ST
- **STREET 2:** 5TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109-1820

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIONEER BOND FUND /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Pioneer Bond Fund (Series ID: S000003927)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000011026 | Pioneer Bond Fund: Class A | PIOBX           |
| C000011028 | Pioneer Bond Fund: Class C | PCYBX           |
| C000011029 | Pioneer Bond Fund: Class Y | PICYX           |
| C000011031 | Pioneer Bond Fund: Class R | PBFRX           |
| C000123839 | Pioneer Bond Fund: Class K | PBFKX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Pioneer Bond Fund /DE/

- **b. Investment Company Act file number:** 811-02864

- **c. CIK number of Registrant:** 0000276776

- **d. LEI of Registrant:** CS1V0EATB8V5FS5HQA74

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

  - **Street Address 1:** 60 State Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-422-4947

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

- **a. Name of Series:** Pioneer Bond Fund /DE/

- **b. EDGAR series identifier (if any):** S000003927

- **c. LEI of Series:** CS1V0EATB8V5FS5HQA74

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

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4392390840.38

**Total Liabilities:** $215522200.91

**Net Assets:** $4176868639.47

**Stand-by Commitments:** $192089517.25

**Cash Not Reported:** $77981589.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -43996.00000000 | **1-Year:** -6176.00000000 | **5-Year:** -621521.00000000 | **10-Year:** -863843.00000000 | **30-Year:** -890608.00000000

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

- **3-Month:** -1737.00000000 | **1-Year:** -9660.00000000 | **5-Year:** -152997.00000000 | **10-Year:** 99693.00000000 | **30-Year:** -248901.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000011028 | -2.70%               | 3.76%                | -0.45%               |
| Class ID C000011031 | -2.62%               | 3.84%                | -0.37%               |
| Class ID C000123839 | -2.70%               | 3.94%                | -0.47%               |
| Class ID C000011026 | -2.74%               | 3.90%                | -0.51%               |
| Class ID C000011029 | -2.74%               | 3.84%                | -0.53%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-26285522.85            | $-42290092.84                              |
| Month 2  | $-11025786.91            | $141316353.90                              |
| Month 3  | $-8043598.13             | $-27540974.77                              |

**Designated Index Information**

- **Index Name:** 20% Bloomberg Barclays US High Yield, 80% Bloomberg Barclays US Aggregate

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| VIRGINIA ST CMWLTH TRANSPRTN B              | Virginia Commonwealth Transportation Board                                       | CUSIP: 927793XY0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2335000 | PA      | $2364374.30   | 0.06%             | 2032-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1906000 | PA      | $1403672.94   | 0.03%             | 2046-02-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUC50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2098760 | PA      | $1953057.90   | 0.05%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust              | ILPT Trust 2019-SURF                                                             | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8216000 | PA      | $7407811.80   | 0.18%             | 2041-02-11      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213DZU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6622 | PA      | $6630.51      | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYWG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1495709 | PA      | $1208671.21   | 0.03%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2021-HB7 LLC                                                                | CUSIP: 12530BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600000 | PA      | $6905854.00   | 0.17%             | 2031-10-27      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ABS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 114948330 | PA      | $621571.60    | 0.01%             | 2051-12-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200R6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2019 | PA      | $2075.31      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31388UGC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11031 | PA      | $11026.12     | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YDZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319996 | PA      | $289664.04    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANZ BANK NEW ZEALAND LTD                    | ANZ Bank New Zealand Ltd                                                         | CUSIP: 00182YAA3<br>LEI: HZSN7FQBPO5IEWYIGC72 | Long             | DBT              | CORP              | NZ        |   3800000 | PA      | $3689269.86   | 0.09%             | 2032-08-11      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                          | CUSIP: 05578QAH6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   5625000 | PA      | $4203190.69   | 0.10%             | 2037-01-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-HRP1                                                | CUSIP: 35564RBF0<br>LEI: 549300RWLR7W4OBRM426 | Long             | ABS-MBS          | CORP              | US        |   6940000 | PA      | $6463561.37   | 0.15%             | 2049-02-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                 | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4265000 | PA      | $4226546.12   | 0.10%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209PNZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1223 | PA      | $1256.73      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31407QPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69808 | PA      | $70866.87     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-2                                          | CUSIP: 74388JAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3451150 | PA      | $2236965.62   | 0.05%             | 2051-04-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213FBX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52909 | PA      | $54254.17     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance                                                | CUSIP: 585494CB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4674551 | PA      | $3332064.27   | 0.08%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER CHILE                       | Banco Santander Chile                                                            | CUSIP: 05970FAC5<br>LEI: 3YJP8HORPAEXJ80D6368 | Long             | DBT              | CORP              | CL        |   9413000 | PA      | $8929237.97   | 0.21%             | 2025-01-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                            | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |  11220000 | PA      | $11195127.50  | 0.27%             | 2047-02-25      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Harambee Re 2019, 12/31/22                  | Harambee Re 2019, 12/31/22                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   5000000 | PA      | $6000.00      | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-4                                                   | CUSIP: 33852FBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 173297900 | PA      | $1653019.34   | 0.04%             | 2051-06-01      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MPGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561194 | PA      | $510413.23    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1232 | NC      | $530819.52    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2018-3 Ltd                                                         | CUSIP: 07877TAC5<br>LEI: 2549009SOTYJD2MZFC61 | Long             | ABS-MBS          | CORP              | BM        |   7010000 | PA      | $6947096.47   | 0.17%             | 2028-10-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210ARN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59870 | PA      | $62099.64     | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10056148 | PA      | $8647454.44   | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV1                                                | CUSIP: 44590HBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  60760030 | PA      | $619187.24    | 0.01%             | 2051-07-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36205VU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5126 | PA      | $5269.23      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oasis Securitisation                        | Libra Solutions 2022-2 LLC                                                       | CUSIP: 53161MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4332851 | PA      | $4277040.96   | 0.10%             | 2034-10-15      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                    | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7440000 | PA      | $5785856.24   | 0.14%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| LANCASTER CNTY NE SCH DIST #1               | Lancaster County School District 001                                             | CUSIP: 514014TU3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1100000 | PA      | $698082.00    | 0.02%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290V4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36177 | PA      | $37096.52     | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                           | La Hipotecaria Panamanian Mortgage Trust 2010-1                                  | CUSIP: 50346RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    422721 | PA      | $402642.03    | 0.01%             | 2039-09-08      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31403DJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55499 | PA      | $57516.65     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ABW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5779768 | PA      | $4247355.50   | 0.10%             | 2051-12-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED              | Regents of the University of California Medical Center Pooled Revenue            | CUSIP: 913366KT6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1395000 | PA      | $1319098.05   | 0.03%             | 2053-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | Cascade Funding Mortgage Trust 2018-RM2                                          | CUSIP: 14727QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3234695 | PA      | $3044704.07   | 0.07%             | 2068-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YD4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116002 | PA      | $100014.82    | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                    | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   3640000 | PA      | $3361021.30   | 0.08%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201JGG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1734 | PA      | $1782.81      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138LVQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30961 | PA      | $29836.21     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DAP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       592 | PA      | $606.96       | 0.00%             | 2029-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3620AR2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36571 | PA      | $36863.02     | 0.00%             | 2037-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 180000000 | PA      | $125170311.60 | 3.00%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ROSAPENNA RE 2022                           | ROSAPENNA RE 2022                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $2023248.81   | 0.05%             | 2028-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2019-GS1                                           | CUSIP: 59981BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7800000 | PA      | $5665682.10   | 0.14%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BADN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    586499 | PA      | $534533.01    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1684424 | PA      | $1584232.81   | 0.04%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Woburn Re 2019, 12/31/22                    | Woburn Re 2019, 12/31/22                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4979452 | PA      | $946701.85    | 0.02%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| MARICOPA CNTY AZ INDL DEV AUTH              | Maricopa County Industrial Development Authority                                 | CUSIP: 56682HDB2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2710000 | PA      | $1919194.90   | 0.05%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2950 | PA      | $3077.05      | 0.00%             | 2031-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                              | Halliburton Co                                                                   | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $1932237.41   | 0.05%             | 2096-08-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| ALAMO RE II PTE LTD                         | Alamo Re II Pte Ltd                                                              | CUSIP: 011396AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |   3250000 | PA      | $3243500.00   | 0.08%             | 2023-06-08      | Floating      | 9.86%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8785831 | PA      | $6502713.89   | 0.16%             | 2051-03-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2982057 | PA      | $1909698.53   | 0.05%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FOUR LAKES RE LTD                           | Four Lakes Re Ltd                                                                | CUSIP: 35087TAD0<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $2999700.00   | 0.07%             | 2026-01-07      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201TFG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27690 | PA      | $28395.33     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fort Washington CLO 2019-1                  | Fort Washington CLO 2019-1                                                       | CUSIP: 34919EAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $817747.00    | 0.02%             | 2032-10-20      | Floating      | 10.99%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291LDU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86731 | PA      | $89148.77     | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5973993 | PA      | $5796154.22   | 0.14%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HERBIE RE LTD                               | Herbie Re Ltd                                                                    | CUSIP: 42703VAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $425000.00    | 0.01%             | 2025-01-08      | Floating      | 14.14%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9QF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353376 | PA      | $321331.01    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290TWK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28997 | PA      | $30096.02     | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                    | Banque Ouest Africaine de Developpement                                          | CUSIP: 06675QAC7<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | N/A       |   6560000 | PA      | $5573376.00   | 0.13%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201GTL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6032 | PA      | $6203.78      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MLMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574650 | PA      | $522236.08    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3846011 | PA      | $2533750.50   | 0.06%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Multifamily Structured Credit Risk                                   | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6790000 | PA      | $5959405.10   | 0.14%             | 2051-11-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2960000 | PA      | $2608768.35   | 0.06%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176UCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1200 | PA      | $1149.35      | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100785 | PA      | $102855.81    | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                        | Garda World Security Corp                                                        | CUSIP: 36485MAK5<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |   6660000 | PA      | $5880646.80   | 0.14%             | 2027-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2021-NQM2                                           | CUSIP: 452761AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2065000 | PA      | $1114743.99   | 0.03%             | 2056-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QHLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574319 | PA      | $540591.15    | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9010000 | PA      | $8072001.34   | 0.19%             | 2031-12-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290TC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14766 | PA      | $15083.65     | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-3 Ltd                                                         | CUSIP: 07877KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4910000 | PA      | $4812691.66   | 0.12%             | 2030-10-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                            | Welk Resorts 2019-A LLC                                                          | CUSIP: 94946DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822149 | PA      | $788248.99    | 0.02%             | 2038-06-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BNR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8892 | PA      | $9348.69      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                        | LXP Industrial Trust                                                             | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |   7870000 | PA      | $5966336.56   | 0.14%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MAVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6706559 | PA      | $5681799.75   | 0.14%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $5341090.56   | 0.13%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201VGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65391 | PA      | $67053.61     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAKURA RE LTD                               | Sakura RE Ltd                                                                    | CUSIP: 79381MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $749925.00    | 0.02%             | 2026-01-05      | Floating      | 17.92%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA4                                          | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8723692 | PA      | $9275113.32   | 0.22%             | 2050-08-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LYWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124170 | PA      | $112892.14    | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2018-COR3 Mortgage Trust                                                    | CUSIP: 12595VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1197208.93   | 0.03%             | 2051-05-10      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Thopas Re 2021, 12/31/24                    | Thopas Re 2021, 12/31/24                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   7000000 | PA      | $112700.00    | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    629952 | PA      | $564851.78    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335ACR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2370878 | PA      | $2211453.36   | 0.05%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2018-C9                                            | CUSIP: 90291JBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774000 | PA      | $1495257.59   | 0.04%             | 2051-03-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| PG Receivables Finance LP                   | PG Receivables Finance                                                           | CUSIP: 69356JAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   5000000 | PA      | $4800000.00   | 0.11%             | 2025-07-20      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NQU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4198 | PA      | $4306.97      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210AMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       365 | PA      | $373.17       | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2981149 | PA      | $1913756.51   | 0.05%             | 2052-02-26      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402Q2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2592 | PA      | $2680.68      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3125018 | PA      | $2907176.07   | 0.07%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1310635 | PA      | $1219266.70   | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2021-4                                                    | CUSIP: 81748WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1379760 | PA      | $1109251.34   | 0.03%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31389FZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12324 | PA      | $12626.77     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 465973BX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6014385 | PA      | $4309067.52   | 0.10%             | 2052-03-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| EASTON RE PTE LTD                           | Easton Re Pte Ltd                                                                | CUSIP: 27777RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    250000 | PA      | $233700.00    | 0.01%             | 2024-01-08      | Floating      | 8.34%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                             | CUSIP: 060505682<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |      2798 | NS      | $3245680.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405QSE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32558 | PA      | $33062.01     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1654000 | PA      | $1268370.99   | 0.03%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183XL57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358451 | PA      | $347233.46    | 0.01%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436714 | PA      | $420087.70    | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183XDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125382 | PA      | $119964.84    | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                        | Commercial Metals Co                                                             | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |   2136000 | PA      | $1858163.05   | 0.04%             | 2032-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51425 | PA      | $44338.40     | 0.00%             | 2045-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2021-KG05 Mortgage Trust                                                   | CUSIP: 30318WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 110999571 | PA      | $634784.35    | 0.02%             | 2031-01-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5530000 | PA      | $5178474.49   | 0.12%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10649649 | PA      | $7920693.29   | 0.19%             | 2051-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36194REE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    637017 | PA      | $594449.02    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                              | Eden Re II Ltd                                                                   | CUSIP: 27955KAB9<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |   5200000 | PA      | $4837040.00   | 0.12%             | 2026-03-20      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| United Wholesale Mortgage LLC               | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307BG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7942321 | PA      | $5700839.95   | 0.14%             | 2051-12-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5590000 | PA      | $5523662.91   | 0.13%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36181CGT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474730 | PA      | $454852.08    | 0.01%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184CDG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129193 | PA      | $117489.32    | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36209PLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24702 | PA      | $24874.92     | 0.00%             | 2028-07-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DLF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3485 | PA      | $3640.00      | 0.00%             | 2031-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-RPL2                                    | CUSIP: 64830HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10950000 | PA      | $9150853.68   | 0.22%             | 2059-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12425000 | PA      | $11891930.23  | 0.28%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296SQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3236 | PA      | $3330.92      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420315 | PA      | $391013.66    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card               | Mercury Financial Credit Card Master Trust                                       | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6930000 | PA      | $6611601.84   | 0.16%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                         | LSF11 A5 HoldCo LLC                                                              | CUSIP: 50216YAB6<br>LEI: 254900FPK7P5WNA66Y10 | Long             | LON              | CORP              | US        |   1407925 | PA      | $1362167.44   | 0.03%             | 2028-10-13      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FRF91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2656585 | PA      | $2466123.08   | 0.06%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213ACG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14512 | PA      | $14916.71     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust                    | FWDSecuritization Trust 2019-INV1                                                | CUSIP: 302980AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1548238 | PA      | $1422240.87   | 0.03%             | 2049-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209JS51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2299 | PA      | $2359.93      | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KLYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635552 | PA      | $550713.33    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-2                                            | CUSIP: 07325XAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2444409 | PA      | $0.24         | 0.00%             | 2037-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31288D7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32714 | PA      | $33397.55     | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                           | La Hipotecaria Panamanian Mortgage Trust 2021-1                                  | CUSIP: 50347JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |   7774482 | PA      | $7210831.79   | 0.17%             | 2052-07-13      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3380429.36   | 0.08%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4125000 | PA      | $3847031.93   | 0.09%             | 2052-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EJLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1297910 | PA      | $1286656.99   | 0.03%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9XS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1169925 | PA      | $1063722.25   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 312938NF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2074 | PA      | $2091.14      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138LUJZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82620 | PA      | $79343.92     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WE3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439258 | PA      | $411830.92    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3855000 | PA      | $3610665.86   | 0.09%             | 2051-07-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $4070578.46   | 0.10%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $11023382.64  | 0.26%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213JS97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27242 | PA      | $28012.45     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31386FL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2856 | PA      | $2874.78      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31401NN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43055 | PA      | $43721.80     | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2022-B34 Mortgage Trust                                                | CUSIP: 08161YBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3030000 | PA      | $2592308.02   | 0.06%             | 2055-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176UA88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4775 | PA      | $4582.53      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                             | SBA Tower Trust                                                                  | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6975000 | PA      | $6664542.75   | 0.16%             | 2049-10-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| B3 SA-BRASIL BOLSA BALCA                    | B3 SA - Brasil Bolsa Balcao                                                      | CUSIP: 11778EAA4<br>LEI: 4GTK5S46E6H318LMDS44 | Long             | DBT              | CORP              | BR        |   6515000 | PA      | $5489822.27   | 0.13%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FCI Funding, LLC                            | FCI Funding 2019-1 LLC                                                           | CUSIP: 30259MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84291 | PA      | $84180.84     | 0.00%             | 2031-02-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1491 | NC      | $-2367743.77  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36208PYY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2631 | PA      | $2704.68      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                             | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   7360000 | PA      | $8056089.44   | 0.19%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371KR29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1098 | PA      | $1135.83      | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138XZSU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628897 | PA      | $542226.70    | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36182LCZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5852 | PA      | $5648.59      | 0.00%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36207KLU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1012 | PA      | $1039.75      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oakmont Re 2020, 4/30/24                    | Oakmont Re 2020, 4/30/24                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   7255240 | PA      | $0.00         | 0.00%             | 2024-04-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140JNVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14103 | PA      | $13429.65     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 150000000 | PA      | $149894485.50 | 3.59%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2930000 | PA      | $2646867.92   | 0.06%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NEU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3347 | PA      | $3281.49      | 0.00%             | 2034-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355178 | PA      | $325840.29    | 0.01%             | 2058-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140Q7EN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2174163 | PA      | $2150253.82   | 0.05%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                          | Sanders Re III Ltd                                                               | CUSIP: 80000YAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $998500.00    | 0.02%             | 2027-04-07      | Floating      | 10.59%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202X4K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12867 | PA      | $13149.23     | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31390YPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       143 | PA      | $147.89       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5646117 | PA      | $4977479.10   | 0.12%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DV4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2043541 | PA      | $2047292.72   | 0.05%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210A4T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13311 | PA      | $13749.05     | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2740821 | PA      | $1975425.39   | 0.05%             | 2051-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200E3X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25092 | PA      | $25421.59     | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGJW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272481 | PA      | $247824.41    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37076 | PA      | $36866.67     | 0.00%             | 2025-05-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176W3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1455 | PA      | $1400.86      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2020-1 Ltd                                            | CUSIP: 69701EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3931980.00   | 0.09%             | 2028-02-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| ROCKINGHAM CNTY VA ECON DEV AU              | Rockingham County Economic Development Authority                                 | CUSIP: 77345QAA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    710000 | PA      | $535219.30    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFXA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20531 | PA      | $20352.95     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291AWU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36302 | PA      | $37225.89     | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16245000 | PA      | $11315620.45  | 0.27%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210UQ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6448 | PA      | $6444.56      | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K88 Mortgage Trust                                                    | CUSIP: 302971AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4590000 | PA      | $4070970.14   | 0.10%             | 2052-02-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                            | SpringCastle America Funding LLC                                                 | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5325684 | PA      | $4802587.21   | 0.11%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| EASTERN POWER LLC                           | Eastern Power LLC                                                                | CUSIP: 87264NAB3<br>LEI: 5493000R3E1L1VM1V279 | Long             | LON              | CORP              | US        |    332209 | PA      | $296184.50    | 0.01%             | 2025-10-02      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7200000 | PA      | $6317058.67   | 0.15%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97505 | PA      | $100397.61    | 0.00%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291QBM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129120 | PA      | $135405.42    | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XWYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258082 | PA      | $246637.35    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gleneagles Re 2021, 12/31/24                | Gleneagles Re 2021, 12/31/24                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $277857.00    | 0.01%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| MED Trust                                   | Med Trust 2021-MDLN                                                              | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12700000 | PA      | $11776511.88  | 0.28%             | 2038-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36209DLL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14212 | PA      | $14415.88     | 0.00%             | 2028-01-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                              | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2665178.65   | 0.06%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417BA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1927650 | PA      | $1851179.78   | 0.04%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31288GCW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7550 | PA      | $7671.24      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                              | CUSIP: 431282AT9<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1085276.90   | 0.03%             | 2031-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290XZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24125 | PA      | $24505.35     | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202C3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5070 | PA      | $5158.64      | 0.00%             | 2028-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31386DTM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $39.01        | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                     | United Airlines 2020-1 Class B Pass Through Trust                                | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2095500 | PA      | $1993627.90   | 0.05%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11943049 | PA      | $11302226.89  | 0.27%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176WYC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2458000 | PA      | $2312294.99   | 0.06%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137F8M83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3117618 | PA      | $606460.62    | 0.01%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                    | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   2845000 | PA      | $2654709.07   | 0.06%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16586 | PA      | $17348.71     | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt              | LSTAR Securities Investment Ltd 2019-3                                           | CUSIP: 50220XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4880823 | PA      | $4848167.12   | 0.12%             | 2024-04-01      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1800651 | PA      | $1732372.78   | 0.04%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                                | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10240000 | PA      | $8265534.16   | 0.20%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYV97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14742236 | PA      | $11912994.40  | 0.29%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE X LTD                           | Vitality Re X Ltd                                                                | CUSIP: 92850FAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   3000000 | PA      | $2999700.00   | 0.07%             | 2023-01-10      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225AQL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1426 | PA      | $1441.99      | 0.00%             | 2026-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                            | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |    627394 | PA      | $602886.73    | 0.01%             | 2027-03-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31414CP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $681.69       | 0.00%             | 2023-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7010000 | PA      | $6619156.75   | 0.16%             | 2051-06-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  78700000 | PA      | $66620676.20  | 1.59%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1803395 | PA      | $1549074.72   | 0.04%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XWP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1219089 | PA      | $1165598.90   | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2022-INV1                                      | CUSIP: 585490BZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4841497 | PA      | $3640791.46   | 0.09%             | 2052-03-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296QCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4568 | PA      | $4691.16      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132A5GX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1627543 | PA      | $1555207.72   | 0.04%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2022-FL8 LLC                                    | CUSIP: 75574PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6285000 | PA      | $5928326.88   | 0.14%             | 2037-01-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                     | International Bank for Reconstruction & Development                              | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |    250000 | PA      | $240400.00    | 0.01%             | 2024-03-13      | Floating      | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617GSGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1106911 | PA      | $1054385.64   | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31388FFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2027 | PA      | $2078.69      | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Newark BSL CLO 1 Ltd.                       | Newark BSL CLO 1 Ltd                                                             | CUSIP: 65023TAM4<br>LEI: 549300R0C043JWD1XY94 | Long             | ABS-CBDO         | CORP              | KY        |   2850000 | PA      | $2709406.65   | 0.06%             | 2029-12-21      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B7XN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488923 | PA      | $444332.35    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | ReadyCap Commercial Mortgage Trust 2019-6                                        | CUSIP: 75575QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280499 | PA      | $259756.89    | 0.01%             | 2052-10-25      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KDUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81268 | PA      | $76855.83     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112852 | PA      | $97307.33     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMG57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748333 | PA      | $715501.27    | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200KTF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14058 | PA      | $14415.26     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402DDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167864 | PA      | $173204.33    | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210AN86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44822 | PA      | $46002.51     | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36182AWB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3345 | PA      | $3222.74      | 0.00%             | 2043-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MATTERHORN RE LTD                           | Matterhorn Re Ltd                                                                | CUSIP: 577092AN9<br>LEI: 549300QRZ77PO1BYWT39 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $198475.00    | 0.00%             | 2025-12-08      | Floating      | 9.89%                 | Yes           |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast 2021-1818 Mortgage Trust                                                   | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6200000 | PA      | $5833870.78   | 0.14%             | 2036-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417GY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    891857 | PA      | $875313.86    | 0.02%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WF4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934839 | PA      | $894881.72    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100546 | PA      | $948775.28    | 0.02%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                      | American Airlines 2021-1 Class B Pass Through Trust                              | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1047337.90   | 0.03%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin              | Santander Bank NA - SBCLN                                                        | CUSIP: 80290CAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1925000 | PA      | $1770418.07   | 0.04%             | 2031-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382BHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14690740 | PA      | $2570497.48   | 0.06%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                      | J.G. Wentworth XLI LLC                                                           | CUSIP: 46651TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3219058 | PA      | $2662214.30   | 0.06%             | 2072-10-17      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas              | FRESB 2018-SB52 Mortgage Trust                                                   | CUSIP: 30297CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3367973 | PA      | $3234635.59   | 0.08%             | 2025-06-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Formby Re 2018, 2/28/22                     | Formby Re 2018, 2/28/22                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1500000 | PA      | $48035.38     | 0.00%             | 2023-02-28      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| LIMESTONE RE LTD                            | Limestone Re Ltd                                                                 | CUSIP: 000000000<br>LEI: 5493004PN8HGYC184A27 | Long             | DBT              | CORP              | BM        |    480000 | PA      | $7056.00      | 0.00%             | 2024-03-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                     | Air Canada 2017-1 Class AA Pass Through Trust                                    | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   5050315 | PA      | $4311335.88   | 0.10%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405SFS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43716 | PA      | $43108.31     | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QGS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22492 | PA      | $21246.95     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-C32                                   | CUSIP: 94989YAY9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |   6683498 | PA      | $6281006.54   | 0.15%             | 2059-01-15      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7335000 | PA      | $5854626.61   | 0.14%             | 2032-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200RG48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51637 | PA      | $53216.97     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417YSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2341 | PA      | $2284.76      | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AQ2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1604 | PA      | $1544.35      | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200JAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38939 | PA      | $41270.75     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Eagle BSL CLO LLC                     | First Eagle BSL CLO 2019-1 Ltd                                                   | CUSIP: 32010GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $861142.00    | 0.02%             | 2033-01-20      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                      | HAT Holdings I LLC / HAT Holdings II LLC                                         | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4748000 | PA      | $4125062.40   | 0.10%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BXX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108985 | PA      | $113444.40    | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213CXM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25740 | PA      | $25248.43     | 0.00%             | 2035-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Berwick Re 2019-1, 12/31/22                 | Berwick Re 2019-1, 12/31/22                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   7281734 | PA      | $1161436.57   | 0.03%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| NOVA CHEMICALS CORP                         | NOVA Chemicals Corp                                                              | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |   3208000 | PA      | $2881499.38   | 0.07%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140JN2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15016 | PA      | $14244.76     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2403470 | PA      | $2203919.31   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213M3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2823 | PA      | $2901.52      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MONTGOMERY CNTY PA HGR EDU & H              | Montgomery County Higher Education and Health Authority                          | CUSIP: 613603G78<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4175000 | PA      | $3436442.50   | 0.08%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418CG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33962 | PA      | $31543.30     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MATTERHORN RE LTD                           | Matterhorn Re Ltd                                                                | CUSIP: 577092AD1<br>LEI: 549300QRZ77PO1BYWT39 | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1050000.00   | 0.03%             | 2024-01-08      | Floating      | 9.42%                 | Yes           |                  2 | On Loan: No      |
| OREGON ST HLTH & SCIENCE UNIV               | Oregon Health & Science University                                               | CUSIP: 685869HG7<br>LEI: 549300XTWOAGON8L2G98 | Long             | DBT              | MUN               | US        |   1950000 | PA      | $1446237.00   | 0.03%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201L2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35214 | PA      | $36110.48     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI              | Pennsylvania Turnpike Commission                                                 | CUSIP: 709225EU6<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |    930000 | PA      | $676072.80    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042418<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $16883985.03  | 0.40%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                     | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  10825000 | PA      | $10225962.47  | 0.24%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9138303 | PA      | $9011926.55   | 0.22%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6ZF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22180 | PA      | $22558.25     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                   | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2202136.80   | 0.05%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                      | Boardwalk Pipelines LP                                                           | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   2265000 | PA      | $1874279.57   | 0.04%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213EZ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1585 | PA      | $1629.56      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                               | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2800000 | PA      | $2144523.00   | 0.05%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202SVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15876 | PA      | $15650.54     | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B6DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3886105 | PA      | $3166464.66   | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31404SBE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10121 | PA      | $10497.90     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QG7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200190 | PA      | $188944.07    | 0.00%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3502052 | PA      | $3280127.09   | 0.08%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KN3N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1879832 | PA      | $1869935.66   | 0.04%             | 2050-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36206DXF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2981 | PA      | $2978.99      | 0.00%             | 2025-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AMVK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2725 | PA      | $2638.45      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Viribus Re 2019, 12/31/22                   | Viribus Re 2019, 12/31/22                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3650000 | PA      | $25915.00     | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| AILSA RE 2022                               | AILSA RE 2022                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1241343.32   | 0.03%             | 2028-05-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36241KKY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69552 | PA      | $73696.62     | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                   | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   7275000 | PA      | $5930735.18   | 0.14%             | 2029-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374LR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45008 | PA      | $44920.84     | 0.00%             | 2035-08-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                    | Farmers Exchange Capital III                                                     | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2720000 | PA      | $2481333.36   | 0.06%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210VVK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13952 | PA      | $14340.85     | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2067464 | PA      | $1926727.51   | 0.05%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140JUL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231280 | PA      | $221149.24    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43382 | PA      | $44330.95     | 0.00%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  19915000 | PA      | $13672818.70  | 0.33%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31389GP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4208 | PA      | $4343.08      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                             | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   5935000 | PA      | $4518867.57   | 0.11%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AKL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204704 | PA      | $192487.60    | 0.00%             | 2051-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MELM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7940888 | PA      | $6968234.74   | 0.17%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merion Re 2022-2                            | Merion Re 2022-2                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   6551154 | PA      | $6211224.46   | 0.15%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-13                                                 | CUSIP: 46592XBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3965454 | PA      | $3055743.79   | 0.07%             | 2052-04-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211YQX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1515 | PA      | $1515.02      | 0.00%             | 2030-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                              | CUSIP: 949930AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11105000 | PA      | $7423760.24   | 0.18%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                   | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9845000 | PA      | $9001862.68   | 0.22%             | 2037-04-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Sussex Re 2020-1, 12/31/22                  | Sussex Re 2020-1, 12/31/22                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3609700 | PA      | $5414.55      | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1316768 | PA      | $1198161.32   | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MATTERHORN RE LTD                           | Matterhorn Re Ltd                                                                | CUSIP: 577092AP4<br>LEI: 549300QRZ77PO1BYWT39 | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $1721400.00   | 0.04%             | 2025-03-24      | Floating      | 9.55%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYWD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10542695 | PA      | $8519507.11   | 0.20%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36177Q7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304688 | PA      | $286537.13    | 0.01%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200Q3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2288 | PA      | $2351.63      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131YBED6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1094469 | PA      | $1040845.47   | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HPR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2672052 | PA      | $2434132.12   | 0.06%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LONG POINT RE IV LTD                        | Long Point Re IV Ltd                                                             | CUSIP: 54279PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3500000 | PA      | $3316950.00   | 0.08%             | 2026-06-01      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-GR3                                     | CUSIP: 36263TBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2102692 | PA      | $1505753.57   | 0.04%             | 2052-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                  | Eaton Corp                                                                       | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   3210000 | PA      | $2904258.06   | 0.07%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust                                                         | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7114000 | PA      | $4372985.76   | 0.10%             | 2052-07-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KNKL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52440 | PA      | $47750.17     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                 | Staples Inc                                                                      | CUSIP: 855031AR1<br>LEI: XQM2JINI1UL7642TU573 | Long             | LON              | CORP              | US        |    345904 | PA      | $340553.46    | 0.01%             | 2024-09-12      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                              | Eden Re II Ltd                                                                   | CUSIP: 27954TAB1<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |     59061 | PA      | $49823.86     | 0.00%             | 2023-03-22      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31415CNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3603 | PA      | $3623.43      | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419FB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350329 | PA      | $336441.07    | 0.01%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QFUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1910805 | PA      | $1801758.58   | 0.04%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FMSE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1234566 | PA      | $1144780.77   | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL INSURANCE                    | Liberty Mutual Insurance Co                                                      | CUSIP: 53079QAD9<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |  16962000 | PA      | $18319732.62  | 0.44%             | 2097-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210PXH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4284 | PA      | $4403.61      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620A93H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109341 | PA      | $108544.11    | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                           | CUSIP: 03880XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11740000 | PA      | $10940373.34  | 0.26%             | 2037-01-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                       | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3571300.13   | 0.09%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213FEL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13812 | PA      | $14196.67     | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-4                                                | CUSIP: 46655GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6420000 | PA      | $4517656.42   | 0.11%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2012-6                                                    | CUSIP: 81744NAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541452 | PA      | $512930.07    | 0.01%             | 2042-12-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31390NN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22861 | PA      | $23422.14     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31283HVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13944 | PA      | $14435.44     | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210VNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11529 | PA      | $11569.87     | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIV OF NEBRASKA NE FACS CORP               | University of Nebraska Facilities Corp/The                                       | CUSIP: 914639LH0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4105000 | PA      | $2964056.30   | 0.07%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BUJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1859 | PA      | $1949.19      | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200FWD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20256 | PA      | $21022.58     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gullane Re 2022                             | Gullane Re 2022                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   6000000 | PA      | $6381951.26   | 0.15%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-J1                                         | CUSIP: 74387MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2888183 | PA      | $2130985.79   | 0.05%             | 2051-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2022-CRE6 Trust                                                            | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4360000 | PA      | $3989518.59   | 0.10%             | 2037-01-16      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435367 | PA      | $430342.41    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296R6G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27468 | PA      | $28019.12     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                            | Westgate Resorts 2022-1 LLC                                                      | CUSIP: 96034JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9984822 | PA      | $9372461.40   | 0.22%             | 2036-08-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC               | UWM Mortgage Trust 2021-INV5                                                     | CUSIP: 90355DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5024102 | PA      | $3828603.61   | 0.09%             | 2052-01-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2021-J2                                                                | CUSIP: 12564ECG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3332101 | PA      | $2354588.88   | 0.06%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DKX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       660 | PA      | $675.26       | 0.00%             | 2030-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202CW82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5935 | PA      | $6068.14      | 0.00%             | 2027-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183XDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348407 | PA      | $333349.20    | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                     | UDR Inc                                                                          | CUSIP: 90265EAP5<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   4865000 | PA      | $4547045.78   | 0.11%             | 2029-01-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378YHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338996 | PA      | $326989.85    | 0.01%             | 2027-04-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138A8PV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681027 | PA      | $686115.90    | 0.02%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225AF62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1219 | PA      | $1219.10      | 0.00%             | 2025-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                          | Race Point VIII CLO Ltd                                                          | CUSIP: 74982LBE9<br>LEI: 5493008ABAJEYBWITR69 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3766024.00   | 0.09%             | 2030-02-20      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213UQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7920 | PA      | $8143.41      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor              | Taubman Centers Commercial Mortgage Trust 2022-DPM                               | CUSIP: 87666YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18405000 | PA      | $17678298.82  | 0.42%             | 2037-05-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201AY51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4630 | PA      | $4747.37      | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WED66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2374005 | PA      | $2130879.77   | 0.05%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213FPJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175707 | PA      | $182716.52    | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416WH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180448 | PA      | $182731.62    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4083512 | PA      | $3326996.35   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGT43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246559 | PA      | $224225.62    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                | Upstart Securitization Trust 2020-1                                              | CUSIP: 91679UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3876002 | PA      | $3798890.58   | 0.09%             | 2030-04-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KS12 Mortgage Trust                                                   | CUSIP: 30311XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4490041.50   | 0.11%             | 2029-08-25      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     69689 | PA      | $69241.79     | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MBSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221149 | PA      | $201181.32    | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140M2NG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1078264 | PA      | $902817.05    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19050818 | PA      | $15584766.47  | 0.37%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL2Trust                                                              | CUSIP: 12656TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490163 | PA      | $1766416.30   | 0.04%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290SGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10310 | PA      | $10857.93     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEMPHIS TN WTR REVENUE                      | City of Memphis TN Water Revenue                                                 | CUSIP: 586226JU7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    305000 | PA      | $244362.95    | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                         | DataBank Issuer                                                                  | CUSIP: 23802WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2053778.88   | 0.05%             | 2051-02-27      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211SC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28047 | PA      | $28829.09     | 0.00%             | 2035-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lion Rock Re 2019, 1/31/22                  | Lion Rock Re 2019, 1/31/22                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $0.00         | 0.00%             | 2023-01-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36205UNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       318 | PA      | $318.14       | 0.00%             | 2024-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1595 | NC      | $360011.28    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209GSA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19695 | PA      | $20243.66     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                       | Entergy Louisiana LLC                                                            | CUSIP: 29364WBL1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $1906724.87   | 0.05%             | 2052-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210F7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3284 | PA      | $3311.48      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| KUEHG CORP                                  | KUEHG Corp                                                                       | CUSIP: 000000000<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |   1058219 | PA      | $1019032.10   | 0.02%             | 2025-02-21      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                           | CUSIP: 853254CH1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  17125000 | PA      | $12878012.67  | 0.31%             | 2033-01-12      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MQDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23031623 | PA      | $20945187.90  | 0.50%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5526985.73   | 0.13%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CSU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47582 | PA      | $46432.00     | 0.00%             | 2029-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140H6VG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049817 | PA      | $1001810.79   | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                              | Eden Re II Ltd                                                                   | CUSIP: 27954QAH4<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |    640000 | PA      | $247040.00    | 0.01%             | 2024-03-22      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YPZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197699 | PA      | $189366.23    | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YTJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1133047 | PA      | $1083829.25   | 0.03%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297NDR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12354 | PA      | $12553.38     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305413 | PA      | $277559.25    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XI LTD                          | Vitality Re XI Ltd                                                               | CUSIP: 92851AAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $947500.00    | 0.02%             | 2024-01-09      | Floating      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31382D3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14538 | PA      | $14490.15     | 0.00%             | 2029-06-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Viribus Re 2022                             | Viribus Re 2022                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $3060000.00   | 0.07%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WE3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387464 | PA      | $363298.28    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL2Trust                                                              | CUSIP: 12656TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2350000 | PA      | $1633339.54   | 0.04%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST HLTH CARE FACS F              | New Jersey Health Care Facilities Financing Authority                            | CUSIP: 645790PD2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1395000 | PA      | $990087.30    | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gleneagles Re 2022                          | Gleneagles Re 2022                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1289062.61   | 0.03%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MQBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6166536 | PA      | $5607883.45   | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ballybunion Re 2022-2                       | Ballybunion Re 2022-2                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $3046529.64   | 0.07%             | 2028-05-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAK8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   6235000 | PA      | $5166923.36   | 0.12%             | 2030-12-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                                | Bio-Rad Laboratories Inc                                                         | CUSIP: 090572AQ1<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |   2429000 | PA      | $2080489.36   | 0.05%             | 2032-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213R6S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19385 | PA      | $19698.99     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PHOENICIAN RE LIMITED                       | Phoenician Re Ltd                                                                | CUSIP: 71880VAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $914800.00    | 0.02%             | 2024-12-14      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4181 | PA      | $4384.00      | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335ABN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308783 | PA      | $320532.57    | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                      | FMG Resources August 2006 Pty Ltd                                                | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |   3959000 | PA      | $3292634.94   | 0.08%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL RE 2022 LTD                     | Residential Reinsurance 2022 Ltd                                                 | CUSIP: 76119YAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1750000 | PA      | $1743350.00   | 0.04%             | 2026-12-06      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                               | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |  11780000 | PA      | $11041582.24  | 0.26%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2022-1                                                    | CUSIP: 81749CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4725000 | PA      | $3137580.02   | 0.08%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140EWBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238953 | PA      | $1150397.07   | 0.03%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                           | CUSIP: 03880RAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9175000 | PA      | $8301806.08   | 0.20%             | 2036-11-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                       | Bread Financial Holdings Inc                                                     | CUSIP: 018581AL2<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |   8534000 | PA      | $7424580.00   | 0.18%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15664288 | PA      | $12659305.52  | 0.30%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                 | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   6870000 | PA      | $5845507.75   | 0.14%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200FTM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49176 | PA      | $50821.98     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KSW4 Mortgage Trust                                                   | CUSIP: 302960AH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2189712 | PA      | $2005805.32   | 0.05%             | 2028-10-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| KENNAMETAL INC                              | Kennametal Inc                                                                   | CUSIP: 489170AF7<br>LEI: 549300GZDSG25XUV0Y08 | Long             | DBT              | CORP              | US        |   3559000 | PA      | $2779733.10   | 0.07%             | 2031-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138MRBR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180549 | PA      | $169003.82    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLIII LLC                    | JG Wentworth XLIII LLC                                                           | CUSIP: 46650XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5085526 | PA      | $4291052.01   | 0.10%             | 2071-08-17      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Berwick Re 2020-1, 12/31/23                 | Berwick Re 2020-1, 12/31/23                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $300.00       | 0.00%             | 2023-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FHLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153450 | PA      | $142371.36    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                            | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   2490000 | PA      | $2340533.22   | 0.06%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149363 | PA      | $140364.74    | 0.00%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                         | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   3320000 | PA      | $3157147.13   | 0.08%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                     | Fannie Mae Grantor Trust 2004-T2                                                 | CUSIP: 31393X7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194324 | PA      | $191285.15    | 0.00%             | 2043-07-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140M8U31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3941371 | PA      | $3337564.25   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36241KLT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12399 | PA      | $12902.20     | 0.00%             | 2037-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617AVXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    806878 | PA      | $768592.63    | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gullane Re 2018, 12/31/21                   | Gullane Re 2018, 12/31/21                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2118314 | PA      | $131133.07    | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                     | CUSIP: 902613AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2615000 | PA      | $2420656.83   | 0.06%             | 2033-08-05      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620ARMD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162179 | PA      | $160997.96    | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138E4ZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565752 | PA      | $543315.29    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                              | CUSIP: 65535HBA6<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  14325000 | PA      | $11238760.55  | 0.27%             | 2032-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2020-R2                                                                | CUSIP: 12558WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5170000 | PA      | $3742315.87   | 0.09%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36181LT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243465 | PA      | $234489.53    | 0.01%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213CS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14295 | PA      | $14991.26     | 0.00%             | 2035-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202C4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12003 | PA      | $12134.16     | 0.00%             | 2028-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   6480000 | PA      | $6573902.52   | 0.16%             | 2033-11-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER MEXICO                      | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | CUSIP: 05969BAD5<br>LEI: SCRYQ25DTVRHYYMM6P89 | Long             | DBT              | CORP              | MX        |   3630000 | PA      | $3591885.00   | 0.09%             | 2025-04-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Alturas Re 2020-3, 9/30/24                  | Alturas Re 2020-3, 9/30/24                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    225450 | PA      | $0.00         | 0.00%             | 2024-09-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ADW9<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |   4199987 | PA      | $4491656.91   | 0.11%             | 2026-12-01      | Floating      | 4.42%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31388FFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2060 | PA      | $2112.89      | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4240480 | PA      | $3940919.68   | 0.09%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-3                                                       | CUSIP: 74938DBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3479274 | PA      | $2657973.62   | 0.06%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201LL85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10575 | PA      | $10758.86     | 0.00%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business              | Perimeter Master Note Business Trust                                             | CUSIP: 71384PAF8<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5348879.80   | 0.13%             | 2024-05-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371NPP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8520 | PA      | $8682.13      | 0.00%             | 2047-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213UH29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2832 | PA      | $2911.99      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Orange Lake Timeshare Trust                 | Orange Lake Timeshare Trust 2019-A                                               | CUSIP: 68504UAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2038864 | PA      | $1878357.26   | 0.04%             | 2038-04-09      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419JSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290788 | PA      | $272126.09    | 0.01%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10835 | PA      | $11278.40     | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4060391 | PA      | $3446896.18   | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GSJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651236 | PA      | $622165.13    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36206JBC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16928 | PA      | $17224.66     | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST HLTH FACS FING A              | California Health Facilities Financing Authority                                 | CUSIP: 13032UB31<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |   2785000 | PA      | $2127795.70   | 0.05%             | 2051-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201VYZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13981 | PA      | $14491.19     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                            | Welk Resorts 2019-A LLC                                                          | CUSIP: 94946DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394540 | PA      | $379540.83    | 0.01%             | 2038-06-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7667 | PA      | $8022.91      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416WYP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2667430 | PA      | $2605335.00   | 0.06%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                                    | CUSIP: 29278GBB3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   3090000 | PA      | $3301003.89   | 0.08%             | 2052-10-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405HR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10704 | PA      | $10985.04     | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201DJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3592 | PA      | $3691.90      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                    | Teachers Insurance & Annuity Association of America                              | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    635000 | PA      | $698918.29    | 0.02%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138ABKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342341 | PA      | $328768.75    | 0.01%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | CCUBS Commercial Mortgage Trust 2017-C1                                          | CUSIP: 12508GAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385000 | PA      | $2128350.87   | 0.05%             | 2050-11-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YVEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39804 | PA      | $34316.72     | 0.00%             | 2046-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280751 | PA      | $259685.58    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417DJQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106298 | PA      | $100448.49    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Berwick Re 2022, 12/31/27                   | Berwick Re 2022, 12/31/27                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4500000 | PA      | $4506300.00   | 0.11%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DA68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       216 | PA      | $218.50       | 0.00%             | 2029-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFG88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1240885 | PA      | $1002841.55   | 0.02%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ALTA WIND HOLDINGS LLC                      | Alta Wind Holdings LLC                                                           | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    256811 | PA      | $253803.90    | 0.01%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                    | Penske Truck Leasing Co Lp / PTL Finance Corp                                    | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6820000 | PA      | $6471797.81   | 0.15%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWCR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2455112 | PA      | $2303939.50   | 0.06%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DUW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14073 | PA      | $14444.66     | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140HBSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144921 | PA      | $143631.47    | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE18 Mortgage Trust                                                  | CUSIP: 12632QAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  49545896 | PA      | $555280.67    | 0.01%             | 2047-07-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6559 | PA      | $6905.83      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTURAS RE 2019-1, 3/10/23 (144A)           | ALTURAS RE 2019-1, 3/10/23 (144A)                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2200 | PA      | $10060.82     | 0.00%             | 2023-03-10      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJHU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21793 | PA      | $22653.24     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2016-C2                               | CUSIP: 46590LAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $2862249.72   | 0.07%             | 2049-06-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184NEC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461434 | PA      | $430562.90    | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BWW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18813 | PA      | $19402.10     | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209YWT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25024 | PA      | $25723.33     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26809720 | PA      | $26011618.68  | 0.62%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410LK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218374 | PA      | $220276.12    | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                              | Eden Re II Ltd                                                                   | CUSIP: 27954QAG6<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |    210000 | PA      | $98700.00     | 0.00%             | 2024-03-22      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11563266 | PA      | $9422930.62   | 0.23%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GRPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423289 | PA      | $405444.63    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128KCHU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25885 | PA      | $26310.31     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36292CFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10658 | PA      | $10866.45     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1884 | PA      | $1924.53      | 0.00%             | 2029-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                            | Williams Cos Inc/The                                                             | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2270000 | PA      | $2503088.48   | 0.06%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405JVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37075 | PA      | $37643.05     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                    | Nationwide Mutual Insurance Co                                                   | CUSIP: 638671AN7<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |  14190000 | PA      | $10598750.24  | 0.25%             | 2050-04-30      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2021-J4                                                      | CUSIP: 75410JDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4030599 | PA      | $2540272.82   | 0.06%             | 2051-11-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15870684 | PA      | $14106558.26  | 0.34%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alturas Re 2019-2, 3/10/22                  | Alturas Re 2019-2, 3/10/22                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     34018 | PA      | $10239.42     | 0.00%             | 2023-03-10      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178GJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212382 | PA      | $204538.83    | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2475 | PA      | $2537.62      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YPCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100924 | PA      | $87012.50     | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183E3W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172331 | PA      | $166817.36    | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9XD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267990 | PA      | $244294.09    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merion Re 2022-1                            | Merion Re 2022-1                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $253650.00    | 0.01%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183B7G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54250 | PA      | $52552.36     | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                              | CUSIP: 949930AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2810000 | PA      | $1981043.26   | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C51                                   | CUSIP: 95001VAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2795000 | PA      | $2484467.12   | 0.06%             | 2052-06-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41145 | PA      | $35166.53     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31406H7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106715 | PA      | $108216.19    | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                     | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  12330000 | PA      | $9529222.13   | 0.23%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264166 | PA      | $240232.62    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lion Rock Re 2021, 12/31/24                 | Lion Rock Re 2021, 12/31/24                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $104650.00    | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Finance of America HECM Buyout              | Finance of America HECM Buyout 2022-HB1                                          | CUSIP: 31735JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12575000 | PA      | $11694034.48  | 0.28%             | 2032-02-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2019-1 Trust                                            | CUSIP: 43731QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3035501 | PA      | $2610324.77   | 0.06%             | 2039-09-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297QUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46157 | PA      | $46101.20     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9081213 | PA      | $8277644.37   | 0.20%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FASST 2021-S2 A2 Mtge                       | FASST 2021-S2 A2 Mtge                                                            | CUSIP: 31740FAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5352664 | PA      | $4941468.12   | 0.12%             | 2051-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                            | CUSIP: 89788NAA8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |  15765000 | PA      | $14787451.76  | 0.35%             | 2033-07-28      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FCI Funding, LLC                            | FCI Funding 2019-1 LLC                                                           | CUSIP: 30259MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68558 | PA      | $68493.49     | 0.00%             | 2031-02-18      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                             | ExteNet LLC 2019-1                                                               | CUSIP: 30227XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3733078.80   | 0.09%             | 2049-07-26      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                                 | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2600000 | PA      | $1879627.13   | 0.05%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DG62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4014 | PA      | $4197.83      | 0.00%             | 2030-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418ELE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5875133 | PA      | $4976782.40   | 0.12%             | 2052-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27935355 | PA      | $24201159.14  | 0.58%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DV5B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3176262 | PA      | $3162475.44   | 0.08%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2018-CH3                                                  | CUSIP: 81746WAA6<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |     77805 | PA      | $75698.10     | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                        | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1553128 | PA      | $1380831.96   | 0.03%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36207ULV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2808 | PA      | $2805.77      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212YJX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4424 | PA      | $4438.74      | 0.00%             | 2031-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FOUR LAKES RE LTD                           | Four Lakes Re Ltd                                                                | CUSIP: 35087TAC2<br>LEI: 549300MG4RRU6DT7MN54 | Long             | SN               | CORP              | BM        |    500000 | PA      | $459700.00    | 0.01%             | 2025-01-07      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MJ6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25883735 | PA      | $21919847.12  | 0.52%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36216UV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8798 | PA      | $9043.53      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                            | Altice France SA/France                                                          | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   1945000 | PA      | $1458250.50   | 0.03%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GRINDING MEDIA INC                          | Grinding Media Inc                                                               | CUSIP: 39854KAB6<br>LEI: 254900IYFJ03EGFQ8C34 | Long             | LON              | CORP              | US        |   3480937 | PA      | $3254676.56   | 0.08%             | 2028-10-12      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2022-PJ4                                | CUSIP: 36264RBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4820000 | PA      | $3395353.08   | 0.08%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Vermillion Re 2022                          | Vermillion Re 2022                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $3042600.00   | 0.07%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140F9VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3379564 | PA      | $3135899.08   | 0.08%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439271 | PA      | $420135.18    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWFB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5841321 | PA      | $4947650.59   | 0.12%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tidewater Auto Receivables Tru              | Tidewater Auto Receivables Trust 2018-A                                          | CUSIP: 88642MAE0<br>LEI: 549300045J2AQZL8DT48 | Long             | ABS-O            | CORP              | US        |     38515 | PA      | $38451.67     | 0.00%             | 2024-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36296HAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11795 | PA      | $12146.42     | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417ACQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241902 | PA      | $226432.63    | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ST CLG BLDG AUTH EDUC              | Virginia College Building Authority                                              | CUSIP: 92778WPX8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2860000 | PA      | $2148660.80   | 0.05%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201RX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52383 | PA      | $51322.08     | 0.00%             | 2035-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417BZ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114728 | PA      | $1070502.89   | 0.03%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2021-FL7 LLC                                    | CUSIP: 75575WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6380000 | PA      | $5839999.35   | 0.14%             | 2036-11-25      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| MYSTIC RE IV LTD                            | Mystic Re IV Ltd                                                                 | CUSIP: 62865LAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3400000 | PA      | $3398300.00   | 0.08%             | 2026-01-08      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust              | RMF Proprietary Issuance Trust 2021-2                                            | CUSIP: 74969VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4751164 | PA      | $3783822.41   | 0.09%             | 2061-09-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4951535 | PA      | $3253406.69   | 0.08%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7797167.44   | 0.19%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QBUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2824835 | PA      | $2869189.26   | 0.07%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                              | Eden Re II Ltd                                                                   | CUSIP: 27955HAB6<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |    790856 | PA      | $449206.21    | 0.01%             | 2025-03-21      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| ISOSCELES RE 2022-A CLASS B                 | ISOSCELES RE 2022-A CLASS B                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $5200.00      | 0.00%             | 2028-04-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   7483000 | PA      | $6858110.76   | 0.16%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                 | Diamond Resorts Owner Trust 2019-1                                               | CUSIP: 252722AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396467 | PA      | $386729.36    | 0.01%             | 2032-02-20      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620ASPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39233 | PA      | $37789.28     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201GWG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30038 | PA      | $30844.03     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620ASVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90511 | PA      | $87188.71     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                      | Skyworks Solutions Inc                                                           | CUSIP: 83088MAL6<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   8577000 | PA      | $6727209.73   | 0.16%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YMN21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185773 | PA      | $160166.68    | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MUY79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304444 | PA      | $285674.18    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HJR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2217 | PA      | $2306.96      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WP6E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75106 | PA      | $63705.04     | 0.00%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201NLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4900 | PA      | $5039.29      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MPR52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174656 | PA      | $163844.83    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ISOSCELES RE 2022-A CLASS C                 | ISOSCELES RE 2022-A CLASS C                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $1200.00      | 0.00%             | 2028-04-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Alturas Re 2019-3, 9/12/23                  | Alturas Re 2019-3, 9/12/23                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     24550 | PA      | $304.42       | 0.00%             | 2023-09-12      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138A1L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115004 | PA      | $113676.65    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DNZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11341 | PA      | $11945.90     | 0.00%             | 2031-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   5400000 | PA      | $4958227.89   | 0.12%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X7JF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044688 | PA      | $1023835.51   | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2022-INV2                                      | CUSIP: 58549JCB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7115554 | PA      | $5121276.50   | 0.12%             | 2052-04-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B5D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256390 | PA      | $233824.12    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                             | CUSIP: 832248BB3<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    668000 | PA      | $610218.23    | 0.01%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290R6J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       656 | PA      | $674.78       | 0.00%             | 2033-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                             | Dollar Tree Inc                                                                  | CUSIP: 256746AJ7<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |  11070000 | PA      | $8953725.07   | 0.21%             | 2031-12-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MATTERHORN RE LTD                           | Matterhorn Re Ltd                                                                | CUSIP: 577092AQ2<br>LEI: 549300QRZ77PO1BYWT39 | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $853700.00    | 0.02%             | 2025-03-24      | Floating      | 12.05%                | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5693063 | PA      | $5324311.92   | 0.13%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1423422.60   | 0.03%             | 2049-12-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4550000 | PA      | $3686122.35   | 0.09%             | N/A             | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC               | 321 Henderson Receivables III LLC                                                | CUSIP: 88576RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $515962.10    | 0.01%             | 2046-01-15      | Fixed         | 8.37%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5095000 | PA      | $4049072.42   | 0.10%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AJK85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367168 | PA      | $345753.62    | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Tru              | Newtek Small Business Loan Trust 2017-1                                          | CUSIP: 65252WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    697898 | PA      | $695404.68    | 0.02%             | 2043-02-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Icon Brand Holdings LLC                     | Icon Brand Holdings LLC                                                          | CUSIP: 45112AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    666243 | PA      | $199896.39    | 0.00%             | 2043-01-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31374Q4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3414 | PA      | $3403.56      | 0.00%             | 2027-11-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YBWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216288 | PA      | $186474.67    | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36292DDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44128 | PA      | $45745.72     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620C2KQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7271 | PA      | $6977.43      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209KU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20275 | PA      | $21071.24     | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36204RN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       710 | PA      | $715.07       | 0.00%             | 2025-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                          | BSPRT 2022-FL8 Issuer Ltd                                                        | CUSIP: 055983AG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4980000 | PA      | $4678190.59   | 0.11%             | 2037-02-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YGW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641439 | PA      | $553046.63    | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MFKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380066 | PA      | $318221.86    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R03                                     | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168484 | PA      | $168073.37    | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2021-1 Ltd                                                               | CUSIP: 437307AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2780000 | PA      | $2592122.60   | 0.06%             | 2033-07-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31400ELK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4086 | PA      | $4147.15      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CSB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52122 | PA      | $51356.63     | 0.00%             | 2028-10-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FLOODSMART RE LTD                           | FloodSmart Re Ltd                                                                | CUSIP: 33975CAF2<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |    750000 | PA      | $675000.00    | 0.02%             | 2023-02-27      | Floating      | 19.50%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78906 | PA      | $74115.10     | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                       | Interpublic Group of Cos Inc/The                                                 | CUSIP: 460690BR0<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |  11894000 | PA      | $11220782.00  | 0.27%             | 2030-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2020-1 Ltd                                                               | CUSIP: 43731WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1731970 | PA      | $1732543.82   | 0.04%             | 2030-10-25      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T              | STWD 2022-FL3 Ltd                                                                | CUSIP: 78485KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  10345000 | PA      | $9764617.57   | 0.23%             | 2038-11-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                         | Ashtead Capital Inc                                                              | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4304111.45   | 0.10%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receiva              | Amur Equipment Finance Receivables VII LLC                                       | CUSIP: 03237MAF7<br>LEI: 5493008OAETJ1UTO4Q72 | Long             | ABS-O            | CORP              | US        |   2676000 | PA      | $2640070.69   | 0.06%             | 2025-03-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FXAJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5762326 | PA      | $1163362.23   | 0.03%             | 2050-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C43                                   | CUSIP: 95001LAU6<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |   2715000 | PA      | $2555371.30   | 0.06%             | 2051-03-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  13251000 | PA      | $12709591.44  | 0.30%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes              | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 46591HCH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1950000 | PA      | $1691000.22   | 0.04%             | 2029-02-26      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Berwick Re 2018-1, 12/31/21                 | Berwick Re 2018-1, 12/31/21                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |  10192268 | PA      | $787862.32    | 0.02%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36192S4A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584290 | PA      | $545064.23    | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                                     | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9260000 | PA      | $8725068.32   | 0.21%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Oakmont Re 2022                             | Oakmont Re 2022                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4500000 | PA      | $1415274.65   | 0.03%             | 2028-04-01      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                    | Teva Pharmaceutical Finance Netherlands III BV                                   | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   2720000 | PA      | $2458607.29   | 0.06%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2021-NQM2                                           | CUSIP: 452761AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $959046.84    | 0.02%             | 2056-09-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QGCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878296 | PA      | $826685.21    | 0.02%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202UA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3419 | PA      | $3477.06      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                           | La Hipotecaria El Salvadorian Mortgage Trust 2016-1                              | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |   1248064 | PA      | $1166939.57   | 0.03%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| EDWARDS LIFESCIENCES COR                    | Edwards Lifesciences Corp                                                        | CUSIP: 28176EAD0<br>LEI: YA13X31F3V31L8TMPR58 | Long             | DBT              | CORP              | US        |   2139000 | PA      | $2044890.40   | 0.05%             | 2028-06-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                    | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6150000 | PA      | $5744737.76   | 0.14%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6105000 | PA      | $5616629.91   | 0.13%             | 2036-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213FVM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3728 | PA      | $3892.66      | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507169 | PA      | $1416363.38   | 0.03%             | 2051-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B53T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5811117 | PA      | $4734542.93   | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36208WEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4906 | PA      | $4962.91      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ballybunion Re 2021-3, 7/31/25              | Ballybunion Re 2021-3, 7/31/25                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2250000 | PA      | $100616.47    | 0.00%             | 2025-07-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X8JG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014712 | PA      | $839410.14    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140H6ZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2488615 | PA      | $2306597.86   | 0.06%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ACW0<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |      1914 | PA      | $48793.45     | 0.00%             | 2024-03-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| MED Trust                                   | Med Trust 2021-MDLN                                                              | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4785000 | PA      | $4401087.01   | 0.11%             | 2038-11-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176NYN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3426 | PA      | $3283.15      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                     | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  15574000 | PA      | $10687755.62  | 0.26%             | N/A             | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                 | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |     26827 | NS      | $31789995.00  | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200TEX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7012 | PA      | $7025.50      | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun              | Oceanview Mortgage Trust 2021-INV1                                               | CUSIP: 67647TCE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8597262 | PA      | $6169712.97   | 0.15%             | 2051-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140JNUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28876 | PA      | $26269.96     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6330000 | PA      | $5515513.84   | 0.13%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140JUYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30063 | PA      | $27945.85     | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202EB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94419 | PA      | $94234.63     | 0.00%             | 2035-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123390 | PA      | $124948.08    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63322 | PA      | $65349.54     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Tr              | Bunker Hill Loan Depositary Trust 2020-1                                         | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2985000 | PA      | $2679422.86   | 0.06%             | 2055-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC               | JG Wentworth XXII LLC                                                            | CUSIP: 46616MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1076534 | PA      | $1047461.66   | 0.03%             | 2048-12-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201MGY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5238 | PA      | $5395.84      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                          | Race Point VIII CLO Ltd                                                          | CUSIP: 74982LBC3<br>LEI: 5493008ABAJEYBWITR69 | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8037336.50   | 0.19%             | 2030-02-20      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                          | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  19195000 | PA      | $16380134.06  | 0.39%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2019-1 Ltd                                                               | CUSIP: 43731AAA1<br>LEI: 254900GFKVQN72ENGJ20 | Long             | ABS-MBS          | CORP              | BM        |   1782124 | PA      | $1754847.59   | 0.04%             | 2029-05-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202BV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1056 | PA      | $1055.07      | 0.00%             | 2024-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | Cascade Funding Mortgage Trust 2018-RM2                                          | CUSIP: 14727QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1532270 | PA      | $1474730.84   | 0.04%             | 2068-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36177JNB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12354 | PA      | $11924.94     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133ATKQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1129738 | PA      | $1060936.80   | 0.03%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137340 | PA      | $112357.70    | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335AWT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2413634 | PA      | $2279182.37   | 0.05%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corportation Trust 2021-IP                                | CUSIP: 36262MAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4885000 | PA      | $4459957.13   | 0.11%             | 2036-10-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31283HWM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $38.38        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QFRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225983 | PA      | $212928.53    | 0.01%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202SGX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43722 | PA      | $45624.07     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291R3A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142305 | PA      | $145128.91    | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KF64 Mortgage Trust                                                   | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4106918 | PA      | $3994157.43   | 0.10%             | 2026-06-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ADB5<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |    200000 | PA      | $333741.22    | 0.01%             | 2024-12-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200AZ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4957 | PA      | $5247.00      | 0.00%             | 2035-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lorenz Re 2019, 6/30/22                     | Lorenz Re 2019, 6/30/22                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2993180 | PA      | $5387.72      | 0.00%             | 2023-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                       | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |  17775000 | PA      | $13526271.79  | 0.32%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XCHD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3911160 | PA      | $3673605.55   | 0.09%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WF3D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5042024 | PA      | $4722503.51   | 0.11%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd                         | CUSIP: 03880WAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3175000 | PA      | $3046803.03   | 0.07%             | 2035-02-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-INV4                                               | CUSIP: 46654DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4921438 | PA      | $3323673.73   | 0.08%             | 2052-01-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2021-A LLC                                                          | CUSIP: 62919TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2172887.28   | 0.05%             | 2027-12-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST HLTH CARE FACS F              | New Jersey Health Care Facilities Financing Authority                            | CUSIP: 645790QE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3000000 | PA      | $2141430.00   | 0.05%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183HNN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396707 | PA      | $382030.57    | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44002557 | PA      | $44665407.65  | 1.07%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FV4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2979069 | PA      | $570486.29    | 0.01%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE                       | Nippon Life Insurance Co                                                         | CUSIP: 654579AK7<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |   9700000 | PA      | $7758351.97   | 0.19%             | 2051-09-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Ballybunion Re 2022                         | Ballybunion Re 2022                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1750000 | PA      | $1780366.18   | 0.04%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Merion Re 2018-2, 12/31/21                  | Merion Re 2018-2, 12/31/21                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   7000000 | PA      | $1059800.00   | 0.03%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31382D3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19933 | PA      | $19807.28     | 0.00%             | 2028-11-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-3                                                       | CUSIP: 74938XAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12685000 | PA      | $8902821.37   | 0.21%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                                | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  11015000 | PA      | $8418097.43   | 0.20%             | 2032-11-22      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| ANGLOGOLD HOLDINGS PLC                      | AngloGold Ashanti Holdings PLC                                                   | CUSIP: 03512TAE1<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |   4092000 | PA      | $3549132.65   | 0.08%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ADC3<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |     99999 | PA      | $166868.94    | 0.00%             | 2024-12-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Thopas Re 2019, 12/31/22                    | Thopas Re 2019, 12/31/22                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $5100.00      | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ADV1<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $534722.72    | 0.01%             | 2026-12-01      | Floating      | 4.42%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16392390 | PA      | $582767.49    | 0.01%             | 2058-10-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2027 | PA      | $2085.69      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GAINESVILLE & HALL CNTY GA HOS              | Gainesville & Hall County Hospital Authority                                     | CUSIP: 362762QQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1205000 | PA      | $859863.90    | 0.02%             | 2051-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATKORE INC                                  | Atkore Inc                                                                       | CUSIP: 047649AA6<br>LEI: 52990002TI38AM4RPV48 | Long             | DBT              | CORP              | US        |   1885000 | PA      | $1616387.50   | 0.04%             | 2031-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213FB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9020 | PA      | $9271.87      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133A83E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242018 | PA      | $228565.48    | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | CARLYLE US CLO 2019-4 LTD                                                        | CUSIP: 14317VAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2513453.25   | 0.06%             | 2035-04-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Old Head Re 2022, 12/31/2027                | Old Head Re 2022, 12/31/2027                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $125000.00    | 0.00%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHQA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1962647 | PA      | $1971692.22   | 0.05%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371KBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3108 | PA      | $3245.56      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BAFP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3442874 | PA      | $3157038.28   | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5640 | PA      | $5826.24      | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213FAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24625 | PA      | $25351.21     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                          | BX Trust 2019-OC11                                                               | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17400000 | PA      | $14556403.26  | 0.35%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 Multifamily Housing Mortgage Loan Trust                                      | CUSIP: 55282XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2250000 | PA      | $2088146.93   | 0.05%             | 2036-07-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291BXZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46714 | PA      | $45882.98     | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2020-2                                      | CUSIP: 24380NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1324771.91   | 0.03%             | 2065-05-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| COMERICA BANK                               | Comerica Bank                                                                    | CUSIP: 200339EX3<br>LEI: 70WY0ID1N53Q4254VH70 | Long             | DBT              | CORP              | US        |  10660000 | PA      | $10239680.68  | 0.25%             | 2033-08-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                        | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   5415000 | PA      | $5631600.00   | 0.13%             | 2082-10-31      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Viribus Re 2020, 12/31/23                   | Viribus Re 2020, 12/31/23                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4139570 | PA      | $182141.08    | 0.00%             | 2023-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KF66 Mortgage Trust                                                   | CUSIP: 30314CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8019916 | PA      | $7672413.99   | 0.18%             | 2029-07-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417CJP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    760108 | PA      | $711504.96    | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRIME SECSRVC BRW/FINANC                    | Prime Security Services Borrower LLC / Prime Finance Inc                         | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5385000 | PA      | $4901211.60   | 0.12%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19855212 | PA      | $18243980.58  | 0.44%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2185000 | PA      | $1870229.99   | 0.04%             | 2065-05-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213XZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27164 | PA      | $27923.07     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ADL3<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |      5986 | PA      | $0.00         | 0.00%             | 2025-12-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296Q4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17759 | PA      | $18130.26     | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                          | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   7725000 | PA      | $6310119.59   | 0.15%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210BG82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       499 | PA      | $512.74       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J5SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1968195 | PA      | $1762808.49   | 0.04%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1802 | PA      | $1863.55      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | Goldentree Loan Management US Clo 6 Ltd                                          | CUSIP: 38137WAW5<br>LEI: 549300MI5PVR6JHGVV87 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2625273.00   | 0.06%             | 2035-04-20      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BYC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75740 | PA      | $80258.43     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GR5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80803 | PA      | $75474.32     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VIV5                                           | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7615000 | PA      | $6076268.17   | 0.15%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3490000 | PA      | $2719258.28   | 0.07%             | 2032-10-13      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BHE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13529 | PA      | $13884.66     | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AMFJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341691 | PA      | $335784.36    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3921293 | PA      | $3321057.30   | 0.08%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128K4WZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40840 | PA      | $41551.49     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9066 | PA      | $9473.83      | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209BFM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       584 | PA      | $600.15       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Thopas Re 2022                              | Thopas Re 2022                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4000000 | PA      | $4322800.00   | 0.10%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4787 | PA      | $4978.47      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36181VR81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2887 | PA      | $2803.17      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BEH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3645818 | PA      | $3420338.68   | 0.08%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FLOODSMART RE LTD                           | FloodSmart Re Ltd                                                                | CUSIP: 33975CAJ4<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $1860000.00   | 0.04%             | 2025-02-25      | Floating      | 15.59%                | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200DBK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113169 | PA      | $116157.97    | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Walton Health Re 2019, 6/30/22              | Walton Health Re 2019, 6/30/22                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    350000 | PA      | $189933.27    | 0.00%             | 2023-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| MVW 2020-1 LLC                              | MVW 2020-1 LLC                                                                   | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425051 | PA      | $397458.55    | 0.01%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64509 | PA      | $66646.48     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620A8D59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521406 | PA      | $490338.27    | 0.01%             | 2044-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                              | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2960000 | PA      | $2740258.86   | 0.07%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Bantry RE 2019, 12/31/22                    | Bantry RE 2019, 12/31/22                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   5000000 | PA      | $85090.85     | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NRJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24829 | PA      | $25322.26     | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 31339SP82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770843 | PA      | $770075.77    | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297RD61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37966 | PA      | $38585.59     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201CZC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6878 | PA      | $7069.25      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YPWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247686 | PA      | $213554.40    | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132ADPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46586 | PA      | $41341.79     | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HQ49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3740 | PA      | $3875.28      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BH4K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5997035 | PA      | $5080163.37   | 0.12%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   6710000 | PA      | $5245614.70   | 0.13%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo II Ltd                                                              | CUSIP: 96466EAE4<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1591153.20   | 0.04%             | 2034-10-24      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| Sussex Re 2021-1, 12/31/24                  | Sussex Re 2021-1, 12/31/24                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $113500.00    | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-1                                                       | CUSIP: 749350BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5152354 | PA      | $3635570.65   | 0.09%             | 2051-03-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QBUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515266 | PA      | $518963.86    | 0.01%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213DWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9280 | PA      | $9538.53      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                          | Boston Gas Co                                                                    | CUSIP: 100743AK9<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |   2810000 | PA      | $2525282.82   | 0.06%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Merion Re 2021-2, 12/31/24                  | Merion Re 2021-2, 12/31/24                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   9000000 | PA      | $1768500.00   | 0.04%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2022-HB9 LLC                                                                | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3745000 | PA      | $2903432.96   | 0.07%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31383LNP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4203 | PA      | $4305.78      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Woburn Re 2018, 12/31/21                    | Woburn Re 2018, 12/31/21                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1623326 | PA      | $51701.94     | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36230M3Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15728 | PA      | $15225.55     | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                            | Integrity Re Ltd                                                                 | CUSIP: 45833UAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $637500.00    | 0.02%             | 2025-06-06      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GVE92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775022 | PA      | $739944.53    | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620A3DS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6308 | PA      | $6053.52      | 0.00%             | 2039-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210A4U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3357 | PA      | $3450.57      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LIMESTONE RE LTD                            | Limestone Re Ltd                                                                 | CUSIP: 000000000<br>LEI: 5493004PN8HGYC184A27 | Long             | DBT              | CORP              | BM        |   1420000 | PA      | $20874.00     | 0.00%             | 2024-03-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292H5Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10047 | PA      | $10401.75     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213TB44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15613 | PA      | $16056.93     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2014602 | PA      | $1706599.22   | 0.04%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Thopas Re 2020, 12/31/23                    | Thopas Re 2020, 12/31/23                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   6000000 | PA      | $0.00         | 0.00%             | 2023-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DV32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30151 | PA      | $31238.10     | 0.00%             | 2033-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMEP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1708336 | PA      | $1634978.03   | 0.04%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4130000 | PA      | $3813522.23   | 0.09%             | 2048-02-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                 | KeyBank NA/Cleveland OH                                                          | CUSIP: 49327V2C7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   5900000 | PA      | $5460203.20   | 0.13%             | 2032-08-08      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-3                                                       | CUSIP: 74938XBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5560926 | PA      | $4141584.27   | 0.10%             | 2052-05-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Woodmont Trust                              | Woodmont 2020-7 Trust                                                            | CUSIP: 97988WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1462359.00   | 0.04%             | 2032-01-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CHARLOTTE NC ARPT REVENUE                   | City of Charlotte NC Airport Revenue                                             | CUSIP: 161036TR9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2215000 | PA      | $2054058.10   | 0.05%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138MBH74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412035 | PA      | $395694.21    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36203KKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       966 | PA      | $990.17       | 0.00%             | 2024-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ADK5<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |      3326 | PA      | $0.00         | 0.00%             | 2025-12-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6161 | PA      | $6419.50      | 0.00%             | 2031-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225AZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4810 | PA      | $4817.26      | 0.00%             | 2024-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                       | Mineral Resources Ltd                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |   1130000 | PA      | $1145288.90   | 0.03%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31401XH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30760 | PA      | $31612.21     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AVYP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4794 | PA      | $4617.39      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31288E6E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1337 | PA      | $1359.82      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                          | CNO Global Funding                                                               | CUSIP: 18977W2C3<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  13975000 | PA      | $11822849.16  | 0.28%             | 2029-01-06      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WHU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    805320 | PA      | $770369.76    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M83Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3725312 | PA      | $3642616.10   | 0.09%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                                      | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   2580000 | PA      | $2278941.86   | 0.05%             | 2026-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36207JTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4202 | PA      | $4244.27      | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19299721 | PA      | $16344191.43  | 0.39%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                          | Accelerated 2021-1H LLC                                                          | CUSIP: 00439KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2257056 | PA      | $1974271.44   | 0.05%             | 2040-10-20      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201TQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44930 | PA      | $46135.81     | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9WJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2922509 | PA      | $2657461.03   | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHC Commercial Mortgage Trust               | CHC Commercial Mortgage Trust 2019 - CHC                                         | CUSIP: 162665AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3845959 | PA      | $3533794.16   | 0.08%             | 2034-06-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WLZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316455 | PA      | $302521.68    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                    | EnLink Midstream Partners LP                                                     | CUSIP: 29336UAC1<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |   3944000 | PA      | $3252879.75   | 0.08%             | 2044-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MMYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5038825 | PA      | $4268088.73   | 0.10%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 / ALL UNI                     | Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl     | CUSIP: 049362AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1230000 | PA      | $997213.95    | 0.02%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                    | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |  14805000 | PA      | $12315739.12  | 0.29%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9Z54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    976670 | PA      | $914345.29    | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667274 | PA      | $625680.55    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KJ24 Mortgage Trust                                                   | CUSIP: 30312FAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2850345 | PA      | $2590985.96   | 0.06%             | 2027-10-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201TF77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32150 | PA      | $33164.59     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2019-SFR1 Trust                                            | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8580476 | PA      | $7861044.50   | 0.19%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                    | Banque Ouest Africaine de Developpement                                          | CUSIP: 06675QAB9<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | N/A       |   2030000 | PA      | $1903774.60   | 0.05%             | 2027-07-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131YA7G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714838 | PA      | $680897.84    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202CPA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1554 | PA      | $1565.99      | 0.00%             | 2026-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities               | Brean Asset Backed Securities Trust 2021-RM1                                     | CUSIP: 10638CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3386730 | PA      | $2881839.29   | 0.07%             | 2063-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK5                                                                   | CUSIP: 06541WBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7460000 | PA      | $6730622.37   | 0.16%             | 2060-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9088294 | PA      | $5984590.09   | 0.14%             | 2051-12-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202C6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22060 | PA      | $22428.71     | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DMB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1867 | PA      | $1929.13      | 0.00%             | 2031-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J9KV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5045938 | PA      | $5000263.06   | 0.12%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                      | Energizer Holdings Inc                                                           | CUSIP: 29272WAF6<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $1893861.43   | 0.05%             | 2027-12-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176MW74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102181 | PA      | $101242.36    | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212CRN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30415 | PA      | $30404.41     | 0.00%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                            | Westgate Resorts 2020-1 LLC                                                      | CUSIP: 96034LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2021751 | PA      | $1990935.91   | 0.05%             | 2034-03-20      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27072147 | PA      | $22934253.26  | 0.55%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE X LTD                           | Vitality Re X Ltd                                                                | CUSIP: 92850FAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    500000 | PA      | $499950.00    | 0.01%             | 2023-01-10      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31401HES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4585 | PA      | $4629.09      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                     | CUSIP: 456837BC6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1800000 | PA      | $1584742.45   | 0.04%             | 2033-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WEHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508044 | PA      | $473043.45    | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39253 | PA      | $40603.70     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                 | Nakilat Inc                                                                      | CUSIP: 62983PAB1<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |   1625502 | PA      | $1683206.80   | 0.04%             | 2033-12-31      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CPH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44380 | PA      | $43419.35     | 0.00%             | 2025-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015329 | PA      | $999678.45    | 0.02%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36292DB50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211466 | PA      | $220334.01    | 0.01%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KKZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347590 | PA      | $327466.82    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201EAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10165 | PA      | $10700.40     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                            | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   6150000 | PA      | $4831182.32   | 0.12%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290TA66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47658 | PA      | $50076.82     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138W12A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39429 | PA      | $33436.73     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CSG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21073 | PA      | $20760.98     | 0.00%             | 2029-01-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                    | Healthcare Realty Holdings LP                                                    | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   8169000 | PA      | $6820822.14   | 0.16%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225A7H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4218 | PA      | $4348.44      | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                   | PRMI Securitization Trust 2021-1                                                 | CUSIP: 69359DBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6673891 | PA      | $4686733.48   | 0.11%             | 2051-04-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Funding XIV LLC                                                          | CUSIP: 68377BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4315000 | PA      | $3974693.64   | 0.10%             | 2028-03-08      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37204647 | PA      | $30436015.47  | 0.73%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                             | CSL Finance PLC                                                                  | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   5780000 | PA      | $5442571.69   | 0.13%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21228754 | PA      | $17894601.15  | 0.43%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Eagle Re 2018-1 Ltd.                        | Eagle RE 2018-1 Ltd                                                              | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-MBS          | CORP              | US        |   1727526 | PA      | $1721863.46   | 0.04%             | 2028-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31409X4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44305 | PA      | $44817.42     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XXZS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1179393 | PA      | $1124903.29   | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AXVT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3827807 | PA      | $3116628.53   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Multifamily Structured Credit Risk                                   | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662423 | PA      | $619921.97    | 0.01%             | 2051-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   3430000 | PA      | $2838820.98   | 0.07%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36182GUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2956 | PA      | $2836.95      | 0.00%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 180000000 | PA      | $144225000.00 | 3.45%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co              | Traingle Re 2021-1 Ltd                                                           | CUSIP: 89600FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1892371 | PA      | $1892366.03   | 0.05%             | 2033-08-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250429 | PA      | $234905.06    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pangaea Re 2022-1                           | Pangaea Re 2022-1                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4727246 | PA      | $5052150.26   | 0.12%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31389AW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55356 | PA      | $56714.27     | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                 | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   5325000 | PA      | $2942776.37   | 0.07%             | 2030-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2019-A LLC                                                          | CUSIP: 65489MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2491974 | PA      | $2475146.83   | 0.06%             | 2026-08-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201EJS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44346 | PA      | $45581.48     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 / ALL UNI                     | Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl     | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   2115000 | PA      | $1746841.95   | 0.04%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201MTW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25315 | PA      | $25995.52     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211RHK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5027 | PA      | $4954.04      | 0.00%             | 2035-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                            | Welk Resorts 2017-A LLC                                                          | CUSIP: 94945PAB1<br>LEI: 549300MEV7EEC7NFNW78 | Long             | ABS-O            | CORP              | US        |    479733 | PA      | $476293.66    | 0.01%             | 2033-06-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EDE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726276 | PA      | $697479.98    | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6312214 | PA      | $5770845.29   | 0.14%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AVQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327103 | PA      | $314135.19    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                | AES Corp/The                                                                     | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $2606310.00   | 0.06%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2021-1                                                    | CUSIP: 81747KCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2868680 | PA      | $1916257.87   | 0.05%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4435000 | PA      | $4646998.50   | 0.11%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31415BE54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6762 | PA      | $6863.63      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAQ5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   7725000 | PA      | $6291991.57   | 0.15%             | 2028-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                              | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9060000 | PA      | $7161304.77   | 0.17%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97378 | PA      | $99379.15     | 0.00%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Eagle BSL CLO LLC                     | First Eagle BSL CLO 2019-1 Ltd                                                   | CUSIP: 32010FAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1575000 | PA      | $1402288.65   | 0.03%             | 2033-01-20      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492185 | PA      | $449973.27    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5086 | PA      | $5239.36      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36295PUZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14890 | PA      | $15704.96     | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4103925 | PA      | $2863897.91   | 0.07%             | 2051-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202TFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35941 | PA      | $36856.74     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA                     | JetBlue 2019-1 Class AA Pass Through Trust                                       | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4124180 | PA      | $3383191.58   | 0.08%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Port Royal Re 2022                          | Port Royal Re 2022                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $497500.00    | 0.01%             | 2028-04-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467329 | PA      | $429716.02    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LUHN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212169 | PA      | $199969.30    | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       822 | PA      | $830.86       | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21351335 | PA      | $19033861.10  | 0.46%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7375090 | PA      | $6004785.06   | 0.14%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HIN Timeshare Trust 2020-A                  | HIN Timeshare Trust 2020-A                                                       | CUSIP: 40439HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477618 | PA      | $439741.39    | 0.01%             | 2039-10-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225AUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3337 | PA      | $3386.93      | 0.00%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $1998028.17   | 0.05%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418ECF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4238747 | PA      | $3394107.04   | 0.08%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                      | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   4385000 | PA      | $4545463.29   | 0.11%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133A6DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393139 | PA      | $371370.70    | 0.01%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212HFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4151 | PA      | $4272.89      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39328 | PA      | $41673.57     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31387DM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1474 | PA      | $1510.15      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132QQY63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107702 | PA      | $100542.58    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DBJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7357 | PA      | $7441.80      | 0.00%             | 2029-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31406VEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8387 | PA      | $8513.15      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XEB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1693059 | PA      | $1677147.96   | 0.04%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2021-FL7 Ltd                                                                 | CUSIP: 55284AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9635000 | PA      | $8949826.25   | 0.21%             | 2036-10-16      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-NXS3                                  | CUSIP: 94989VAG4<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |  28996104 | PA      | $568715.09    | 0.01%             | 2057-09-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297VYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11106 | PA      | $11408.78     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                             | Veraison Re Ltd                                                                  | CUSIP: 92335TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499750.00    | 0.01%             | 2026-03-09      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11020277 | PA      | $9092339.95   | 0.22%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2020-SFR2 Trust                                            | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5650000 | PA      | $4620817.47   | 0.11%             | 2039-11-17      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-4 Ltd                                                         | CUSIP: 07876UAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3000654 | PA      | $2997705.39   | 0.07%             | 2030-06-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202D5D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51694 | PA      | $52977.83     | 0.00%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117922 | PA      | $119093.62    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OWENS & MINOR INC                           | Owens & Minor Inc                                                                | CUSIP: 69073LAD2<br>LEI: 549300LMT5KQQXCEZ733 | Long             | LON              | CORP              | US        |   2203925 | PA      | $2209434.81   | 0.05%             | 2029-03-29      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EPAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2852998 | PA      | $2889018.23   | 0.07%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                           | State Street Corp                                                                | CUSIP: 857477BU6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1987113.37   | 0.05%             | 2033-05-13      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC               | 321 Henderson Receivables LLC                                                    | CUSIP: 88576PAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301074 | PA      | $294373.77    | 0.01%             | 2040-11-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3775000 | PA      | $3368035.60   | 0.08%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2022-1 Ltd                                            | CUSIP: 69701CAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2857035.00   | 0.07%             | 2030-04-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201TLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9428 | PA      | $9668.15      | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                        | Niagara Mohawk Power Corp                                                        | CUSIP: 65364UAS5<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   3820000 | PA      | $3806710.75   | 0.09%             | 2052-09-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2019-1 Ltd                                                         | CUSIP: 07876RAC0<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |   3725000 | PA      | $3696734.70   | 0.09%             | 2029-03-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19865311 | PA      | $18799405.74  | 0.45%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140EVK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1316499 | PA      | $1260994.85   | 0.03%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2014-GC25                                    | CUSIP: 17322YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5646958.80   | 0.14%             | 2047-10-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 46592PBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2698416 | PA      | $2003944.06   | 0.05%             | 2051-10-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36198VMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    547071 | PA      | $526985.59    | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5815000 | PA      | $5417358.32   | 0.13%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                                      | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |  18980000 | PA      | $15565941.18  | 0.37%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DAB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20501 | PA      | $21026.62     | 0.00%             | 2029-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                            | Altice France SA/France                                                          | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   7584000 | PA      | $5939182.08   | 0.14%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2017-3                                             | CUSIP: 59980CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3186217 | PA      | $2399001.12   | 0.06%             | 2061-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                             | HGI CRE CLO 2021-FL2 Ltd                                                         | CUSIP: 40390JAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3440000 | PA      | $3228949.12   | 0.08%             | 2036-09-17      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Bantry Re 2021, 12/31/24                    | Bantry Re 2021, 12/31/24                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   5000000 | PA      | $446962.75    | 0.01%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133ASLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184241 | PA      | $172939.85    | 0.00%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210XDQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3893 | PA      | $3891.12      | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416X4Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1064395 | PA      | $1055160.44   | 0.03%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   2335000 | PA      | $2222479.81   | 0.05%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56811 | PA      | $58757.05     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620C6N27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100952 | PA      | $99626.20     | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                                | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1835000 | PA      | $1699252.37   | 0.04%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51861 | PA      | $44714.70     | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418QBH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254829 | PA      | $255672.14    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36207NE26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2534 | PA      | $2537.28      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14460941 | PA      | $14301608.12  | 0.34%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ISOSCELES RE 2022 G1                        | ISOSCELES RE 2022 G1                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $1997600.00   | 0.05%             | 2028-05-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                   | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   8840000 | PA      | $7324424.70   | 0.18%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AKPX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29852 | PA      | $29661.56     | 0.00%             | 2025-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 2 LLC                                                            | CUSIP: 56844XBN8<br>LEI: 549300SC4HK60KIV1S28 | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4691695.00   | 0.11%             | 2029-04-20      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23280000 | PA      | $21528559.46  | 0.52%             | 2036-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31391HZF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24395 | PA      | $24772.73     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9XD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427408 | PA      | $424181.78    | 0.01%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39000000 | PA      | $38912622.84  | 0.93%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carnoustie Re 2020, 12/31/23                | Carnoustie Re 2020, 12/31/23                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $271200.00    | 0.01%             | 2023-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2022-FL2 Ltd                           | CUSIP: 03881JAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10600000 | PA      | $10094098.04  | 0.24%             | 2037-05-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213GTY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5884 | PA      | $5900.86      | 0.00%             | 2031-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH RE LTD                         | Commonwealth RE Ltd                                                              | CUSIP: 203235AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $942500.00    | 0.02%             | 2025-07-08      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200QJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       451 | PA      | $467.38       | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YUSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39406 | PA      | $38104.54     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140JSVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33200 | PA      | $30207.61     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TORRICELLI RE 2022                          | TORRICELLI RE 2022                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4500000 | PA      | $4462200.00   | 0.11%             | 2028-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade RE 2021-3 Ltd                                                         | CUSIP: 078777AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4880000 | PA      | $4181615.88   | 0.10%             | 2031-09-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  14417000 | PA      | $12038195.00  | 0.29%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-1                                          | CUSIP: 74387YAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3425544 | PA      | $2506540.05   | 0.06%             | 2051-04-25      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3478950 | PA      | $3162384.76   | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QKHA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666059 | PA      | $626943.96    | 0.02%             | 2051-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9KU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692225 | PA      | $629661.95    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                   | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   8895000 | PA      | $7912445.76   | 0.19%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31408GMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34300 | PA      | $34925.13     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pine Valley Re 2022                         | Pine Valley Re 2022                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $992080.00    | 0.02%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15913144 | PA      | $14600309.90  | 0.35%             | 2051-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292LF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367851 | PA      | $343843.00    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296RUW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31454 | PA      | $32048.98     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QQBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4803966 | PA      | $4624333.90   | 0.11%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290YUW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68181 | PA      | $67128.12     | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33142 | PA      | $34985.95     | 0.00%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST                            | Commonwealth of Massachusetts                                                    | CUSIP: 57582RN69<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |   2210000 | PA      | $1664572.00   | 0.04%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133D4M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2900492 | PA      | $2343885.16   | 0.06%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                              | Oaktown Re V Ltd                                                                 | CUSIP: 67401JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3550000 | PA      | $3535993.48   | 0.08%             | 2030-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290N6N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20708 | PA      | $21010.31     | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  13240000 | PA      | $9296663.94   | 0.22%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21                      | CUSIP: 61764XBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2628500 | PA      | $2190690.99   | 0.05%             | 2048-03-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co              | Traingle Re 2020-1 Ltd                                                           | CUSIP: 89600MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1889357 | PA      | $1893002.32   | 0.05%             | 2030-10-25      | Floating      | 9.99%                 | No            |                  2 | On Loan: No      |
| PORTSALON RE 2022                           | PORTSALON RE 2022                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $458459.86    | 0.01%             | 2028-05-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178GJ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783089 | PA      | $754235.03    | 0.02%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290YUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45430 | PA      | $44823.68     | 0.00%             | 2033-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lion Rock Re 2020, 1/31/22                  | Lion Rock Re 2020, 1/31/22                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $0.00         | 0.00%             | 2023-01-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1149318.32   | 0.03%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138E2SV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233035 | PA      | $223796.09    | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MJF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1007489 | PA      | $915837.35    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1955000 | PA      | $1562797.28   | 0.04%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291BKB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11009 | PA      | $11029.08     | 0.00%             | 2023-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Versutus Re 2019-B, 12/31/21                | Versutus Re 2019-B, 12/31/21                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1734905 | PA      | $0.00         | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140F0T20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101557 | PA      | $87262.65     | 0.00%             | 2044-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292JBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131011 | PA      | $135632.80    | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EE4A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168679 | PA      | $161988.40    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL              | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8300288 | PA      | $7170120.35   | 0.17%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  47991648 | PA      | $42733235.32  | 1.02%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2021-J3                                                      | CUSIP: 75409TDD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4041877 | PA      | $2730528.62   | 0.07%             | 2051-10-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Carnoustie Re 2021, 12/31/24                | Carnoustie Re 2021, 12/31/24                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1853719 | PA      | $87865.46     | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209SAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1241 | PA      | $1241.03      | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MJPD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1810544 | PA      | $1646714.67   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418BJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76295 | PA      | $73465.71     | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1315259 | PA      | $1264883.68   | 0.03%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3930000 | PA      | $3449982.77   | 0.08%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| EDEN RE II LTD                              | Eden Re II Ltd                                                                   | CUSIP: 27954TAA3<br>LEI: 549300LKX8PCP3SC3F42 | Long             | DBT              | CORP              | BM        |      6000 | PA      | $4221.00      | 0.00%             | 2023-03-22      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382CAZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12700528 | PA      | $233829.42    | 0.01%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36184LS63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    793968 | PA      | $760711.41    | 0.02%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213DYB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18502 | PA      | $19030.07     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   7995000 | PA      | $7412770.92   | 0.18%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36295YY64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27255 | PA      | $26897.23     | 0.00%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                             | Nordea Bank Abp                                                                  | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  10926000 | PA      | $8435449.88   | 0.20%             | N/A             | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                          | Aqua Finance Trust 2020-A                                                        | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2110000 | PA      | $1827224.97   | 0.04%             | 2046-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140HEJ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43592 | PA      | $43296.56     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AUTODESK INC                                | Autodesk Inc                                                                     | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |  14250000 | PA      | $11383236.30  | 0.27%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA5                                          | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2766175 | PA      | $2787925.83   | 0.07%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XXBD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380748 | PA      | $364380.71    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144611 | PA      | $1096309.65   | 0.03%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                              | Phillips 66 Co                                                                   | CUSIP: 718547AG7<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |  11125000 | PA      | $10239330.74  | 0.25%             | 2028-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200FVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39031 | PA      | $40076.81     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31397NR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48883 | PA      | $48088.93     | 0.00%             | 2029-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2018-3 Ltd                                                         | CUSIP: 07877TAB7<br>LEI: 2549009SOTYJD2MZFC61 | Long             | ABS-MBS          | CORP              | BM        |    514465 | PA      | $514053.48    | 0.01%             | 2028-10-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2498 | PA      | $2567.31      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Torricelli Re 2021, 7/31/25                 | Torricelli Re 2021, 7/31/25                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4228426 | PA      | $237637.54    | 0.01%             | 2025-07-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3773000 | PA      | $2713780.05   | 0.06%             | 2046-02-25      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ADH2<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |      3490 | PA      | $25078.22     | 0.00%             | 2025-03-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781792 | PA      | $748800.04    | 0.02%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176N2L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1359 | PA      | $1302.71      | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31410GPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36377 | PA      | $38655.53     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MATIV HOLDINGS INC                          | Mativ Holdings Inc                                                               | CUSIP: 000000000<br>LEI: 549300Z1FU4IDULG1R21 | Long             | LON              | CORP              | US        |   4299525 | PA      | $4084548.75   | 0.10%             | 2029-05-06      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WDPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207861 | PA      | $199192.09    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 31339UKF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348490 | PA      | $344905.05    | 0.01%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B77K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44878617 | PA      | $39385618.31  | 0.94%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212S5S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17245 | PA      | $17735.78     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5552000 | PA      | $5118003.49   | 0.12%             | 2058-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Shadow Creek Re 2021, 7/31/25               | Shadow Creek Re 2021, 7/31/25                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $7592.65      | 0.00%             | 2025-07-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WNN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238290 | PA      | $221227.38    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor RE 2020-1 Ltd                                                             | CUSIP: 750493AC2<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |  11015000 | PA      | $10769933.87  | 0.26%             | 2030-01-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WDSH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52355 | PA      | $50247.66     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-6                                                | CUSIP: 46655KDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3585539 | PA      | $2502998.03   | 0.06%             | 2052-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4380000 | PA      | $3747787.12   | 0.09%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292SBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44260 | PA      | $43529.30     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9475000 | PA      | $8910709.74   | 0.21%             | 2042-02-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12966419 | PA      | $11914210.23  | 0.29%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                    | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |   8559000 | PA      | $6808515.03   | 0.16%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                         | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   8408000 | PA      | $8899879.86   | 0.21%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| INVERSIONES CMPC SA                         | Inversiones CMPC SA                                                              | CUSIP: 46128MAN1<br>LEI: 549300G475ACIABB4385 | Long             | DBT              | CORP              | CL        |   2728000 | PA      | $2469532.23   | 0.06%             | 2030-01-13      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor RE 2019-1 Ltd                                                             | CUSIP: 75049SAC7<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-MBS          | CORP              | BM        |   3437000 | PA      | $3368573.80   | 0.08%             | 2029-02-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      4139 | NC      | $-3485067.77  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201JEQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4786 | PA      | $4931.19      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                               | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  17000000 | PA      | $12836821.21  | 0.31%             | 2032-11-22      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    905000 | PA      | $866357.25    | 0.02%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31409UCC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52637 | PA      | $53023.88     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commerical Equipment Finance 2              | Commercial Equipment Finance 2021-A LLC                                          | CUSIP: 20166QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4405000 | PA      | $4099774.47   | 0.10%             | 2028-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202XTP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24778 | PA      | $25120.55     | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B76D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311111 | PA      | $282736.24    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                    | Team Health Holdings Inc                                                         | CUSIP: 87817JAG3<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |    926185 | PA      | $702742.92    | 0.02%             | 2027-02-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138ELBM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1134596 | PA      | $1124758.14   | 0.03%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LIMESTONE RE LTD                            | Limestone Re Ltd                                                                 | CUSIP: 000000000<br>LEI: 5493004PN8HGYC184A27 | Long             | DBT              | CORP              | BM        |    167000 | PA      | $0.00         | 0.00%             | 2023-03-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31374TYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       245 | PA      | $253.77       | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pangaea Re 2019-1, 2/1/23                   | Pangaea Re 2019-1, 2/1/23                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4017011 | PA      | $83704.37     | 0.00%             | 2023-02-01      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HPET7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16507 | PA      | $15828.47     | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Credit Card ABS 2019-1 LLC                                           | CUSIP: 21134LAA6<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |   2338854 | PA      | $2318477.59   | 0.06%             | 2026-08-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                       | CUSIP: 034863BC3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   4475000 | PA      | $3715438.52   | 0.09%             | 2052-03-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2022-B LLC                                                          | CUSIP: 62890MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2690000 | PA      | $2703969.17   | 0.06%             | 2029-06-15      | Fixed         | 8.54%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                 | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $1881390.69   | 0.05%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Ballybunion Re 2020, 2/28/22                | Ballybunion Re 2020, 2/28/22                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   8000000 | PA      | $903792.52    | 0.02%             | 2023-02-28      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MDHU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678210 | PA      | $1526196.77   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HG40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       153 | PA      | $156.90       | 0.00%             | 2030-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORTHSHORE RE II LTD                        | Northshore Re II Ltd                                                             | CUSIP: 666842AE9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $712050.00    | 0.02%             | 2025-07-08      | Floating      | 12.42%                | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                    | EnLink Midstream Partners LP                                                     | CUSIP: 29336UAG2<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |   7631000 | PA      | $6129600.75   | 0.15%             | 2047-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Four Seas LP                                | Four Seas LP                                                                     | CUSIP: 35100LAB4<br>LEI: 54930044TCFC01YWTN84 | Long             | ABS-O            | CORP              | CA        |   4200000 | PA      | $3614342.76   | 0.09%             | 2027-08-28      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1633143 | PA      | $1520305.68   | 0.04%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                      | Resorts World Las Vegas LLC / RWLV Capital Inc                                   | CUSIP: 76120HAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $1823797.13   | 0.04%             | 2031-04-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419CNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112653 | PA      | $111633.24    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QK6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9810 | PA      | $9230.87      | 0.00%             | 2051-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X4D60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1139572 | PA      | $1067405.56   | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378866 | PA      | $355822.80    | 0.01%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-J1                                         | CUSIP: 74387MAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2976813 | PA      | $2041723.43   | 0.05%             | 2051-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3622A2Q70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1101449 | PA      | $1066814.65   | 0.03%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin              | Santander Bank NA - SBCLN                                                        | CUSIP: 80290CAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    657245 | PA      | $634538.57    | 0.02%             | 2031-12-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | Onslow Bay Mortgage Loan Trust                                                   | CUSIP: 67448EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4514742 | PA      | $3762933.98   | 0.09%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | Cascade Funding Mortgage Trust 2021-HB6                                          | CUSIP: 12527LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3580000 | PA      | $3228137.91   | 0.08%             | 2036-06-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | CITIGROUP MORTGAGE LOAN TRUST 2021-INV1                                          | CUSIP: 17329PDH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3184747 | PA      | $2365527.49   | 0.06%             | 2051-05-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4255096 | PA      | $3502885.65   | 0.08%             | 2039-10-19      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202W3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34463 | PA      | $35216.78     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36241LPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1857 | PA      | $1799.26      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                       | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   9235000 | PA      | $8578585.80   | 0.21%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-3                                                  | CUSIP: 46654UCS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7106976 | PA      | $5073192.95   | 0.12%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                     | SCF Equipment Leasing 2019-2 LLC                                                 | CUSIP: 784034AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4344006.32   | 0.10%             | 2027-06-21      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202CDH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       522 | PA      | $521.08       | 0.00%             | 2024-11-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AMK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60200 | PA      | $59813.82     | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                 | CUSIP: 126307BK2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $1187237.50   | 0.03%             | 2031-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                    | Builders FirstSource Inc                                                         | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   5017000 | PA      | $4712198.19   | 0.11%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X64P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173885 | PA      | $157861.41    | 0.00%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 46592PBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3333564 | PA      | $2341194.49   | 0.06%             | 2051-10-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Horizon Funding Trust                       | Horizon Funding 2019-1 LLC                                                       | CUSIP: 44053UAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2052000 | PA      | $2021445.98   | 0.05%             | 2027-09-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1499655 | PA      | $1363803.07   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                      | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   6210000 | PA      | $5328071.82   | 0.13%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2021-KG05 Mortgage Trust                                                   | CUSIP: 30318WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $4189627.80   | 0.10%             | 2031-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36181CEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21678 | PA      | $21048.81     | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJAW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3379 | PA      | $3454.87      | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WLGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3793010 | PA      | $3552547.66   | 0.09%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290N6R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1041 | PA      | $1067.23      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133D4PF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2263302 | PA      | $1828967.82   | 0.04%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   4695000 | PA      | $3014888.57   | 0.07%             | 2042-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                          | Aqua Finance Trust 2019-A                                                        | CUSIP: 038370AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5415000 | PA      | $4978051.20   | 0.12%             | 2040-07-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133D4P98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348343 | PA      | $291668.87    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GSJV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305732 | PA      | $291895.04    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2019-1 Ltd                                                              | CUSIP: 269822AB8<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |   6126937 | PA      | $5997658.68   | 0.14%             | 2029-04-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2020-1 Ltd                                            | CUSIP: 69701DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3701120.00   | 0.09%             | 2028-02-20      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7800000 | PA      | $6726837.00   | 0.16%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2021-J1                                                                | CUSIP: 12564KCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5713342 | PA      | $4240759.95   | 0.10%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNRF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485254 | PA      | $442255.15    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Harambee Re 2020, 12/31/23                  | Harambee Re 2020, 12/31/23                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4000000 | PA      | $59200.00     | 0.00%             | 2023-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31403FS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14366 | PA      | $14856.85     | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DKY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1955 | PA      | $2046.00      | 0.00%             | 2030-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ADANIREN KODSOPAR WARSOM                    | Adani Renewable Energy RJ Ltd/Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash | CUSIP: 00654CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |   4548574 | PA      | $3388687.44   | 0.08%             | 2039-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                              | Bonanza RE Ltd                                                                   | CUSIP: 09785EAJ0<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $200000.00    | 0.00%             | 2025-03-16      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X4D52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756666 | PA      | $707170.61    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun              | Bayview MSR Opportunity Master Fund Trust 2022-INV5                              | CUSIP: 07336TCG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4671243 | PA      | $3321270.12   | 0.08%             | 2052-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45714000 | PA      | $250535.58    | 0.01%             | 2051-06-15      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LSWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317302 | PA      | $300384.89    | 0.01%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405NMQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1155 | PA      | $1178.40      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Adare Re 2022 12/31/27                      | Adare Re 2022 12/31/27                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1006000 | PA      | $1054818.88   | 0.03%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                     | Algonquin Power & Utilities Corp                                                 | CUSIP: 015857AH8<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |   6305000 | PA      | $5107050.00   | 0.12%             | 2082-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3608879.76   | 0.09%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                             | NGPL PipeCo LLC                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |   6295000 | PA      | $5120371.89   | 0.12%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6166110 | PA      | $6080836.95   | 0.15%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAELUS RE V LTD                             | Caelus Re V Ltd                                                                  | CUSIP: 12765KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    100000 | PA      | $80000.00     | 0.00%             | 2024-06-05      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| PRMI Securitization Trust                   | PRMI Securitization Trust 2021-1                                                 | CUSIP: 69359DBW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2735625 | PA      | $1772905.87   | 0.04%             | 2051-04-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| DENNING RE 2022                             | DENNING RE 2022                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1750000 | PA      | $1733560.52   | 0.04%             | 2028-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                              | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   9860000 | PA      | $7566115.47   | 0.18%             | 2032-06-23      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31413C3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168783 | PA      | $170917.19    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                              | Oaktown Re V Ltd                                                                 | CUSIP: 67401JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335096 | PA      | $335240.18    | 0.01%             | 2030-10-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128KH6Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8582 | PA      | $8783.96      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AFRICAN EXPORT-IMPORT BA                    | African Export-Import Bank/The                                                   | CUSIP: 00831TAA9<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | N/A       |   5565000 | PA      | $4823185.50   | 0.12%             | 2029-09-21      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200Q2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6941 | PA      | $7195.51      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BWG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55038 | PA      | $58324.04     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76471 | PA      | $79224.33     | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                        | Soho Trust 2021-SOHO                                                             | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2375000 | PA      | $1842666.55   | 0.04%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QGTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86482 | PA      | $81585.72     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31391SRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       733 | PA      | $744.64       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419AVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458335 | PA      | $447665.26    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36292FSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51865 | PA      | $53310.22     | 0.00%             | 2035-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132GVB76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27260 | PA      | $26208.17     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KLGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195495 | PA      | $186779.39    | 0.00%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201H5Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78865 | PA      | $81063.95     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95717 | PA      | $100225.87    | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466322 | PA      | $467491.51    | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36230UEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19570 | PA      | $18944.47     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-INV1 Trust                           | CUSIP: 95003NBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8840336 | PA      | $6316182.60   | 0.15%             | 2052-03-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201P4W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2976 | PA      | $3052.02      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pangaea Re 2022-3                           | Pangaea Re 2022-3                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2750000 | PA      | $2822314.03   | 0.07%             | 2028-05-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3990000 | PA      | $3553857.49   | 0.09%             | 2065-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2020-1 Ltd                                                               | CUSIP: 43731WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   4580000 | PA      | $4619156.71   | 0.11%             | 2030-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   4578000 | PA      | $3719387.36   | 0.09%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3617A4H92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207354 | PA      | $199693.97    | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin              | Santander Bank NA - SBCLN                                                        | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2760429 | PA      | $2655071.44   | 0.06%             | 2031-12-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XCXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17153677 | PA      | $14565401.28  | 0.35%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138ENRL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137171 | PA      | $135981.34    | 0.00%             | 2043-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trus              | BSREP Commercial Mortgage Trust 2021-DC                                          | CUSIP: 05591UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1261867.89   | 0.03%             | 2038-08-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC                          | Harbour Energy PLC                                                               | CUSIP: 411618AB7<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |   1225000 | PA      | $1097747.00   | 0.03%             | 2026-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200A3A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114019 | PA      | $118685.50    | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1085000 | PA      | $832444.55    | 0.02%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FTZ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62101 | PA      | $60376.00     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10385 | PA      | $10953.97     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                                | CUSIP: 49456BAW1<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |  16180000 | PA      | $14522823.85  | 0.35%             | 2052-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AWNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694902 | PA      | $667342.42    | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19762 | PA      | $20668.67     | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                           | CUSIP: 03880KAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6975000 | PA      | $6295174.65   | 0.15%             | 2034-08-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183B6T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36547 | PA      | $34966.76     | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                             | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11055000 | PA      | $8658301.98   | 0.21%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AYQJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121689 | PA      | $118159.49    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pangaea Re 2018-1, 12/31/21                 | Pangaea Re 2018-1, 12/31/21                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3800000 | PA      | $80007.04     | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DQP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3803 | PA      | $3931.36      | 0.00%             | 2031-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132M9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166699 | PA      | $155766.56    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620C6PG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164262 | PA      | $162621.36    | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALTON HEATH RE 2022                        | WALTON HEATH RE 2022                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2500000 | PA      | $2327386.99   | 0.06%             | 2027-12-15      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138NWT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106026 | PA      | $91403.08     | 0.00%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-HQA1                                          | CUSIP: 35564KTB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560000 | PA      | $1546825.02   | 0.04%             | 2042-03-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31412TMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61016 | PA      | $62406.37     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOA Funding LLC                             | HOA Funding LLC - HOA                                                            | CUSIP: 40390GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5890438 | PA      | $4401611.75   | 0.11%             | 2051-08-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J5E70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982886 | PA      | $939822.64    | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    978000 | PA      | $719090.44    | 0.02%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2020-NQM1 Trust                                                              | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151967 | PA      | $139758.47    | 0.00%             | 2049-08-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213FH22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73048 | PA      | $74905.69     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335A5W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493928 | PA      | $459026.49    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    921623 | PA      | $924361.91    | 0.02%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178GFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1743474 | PA      | $1639762.92   | 0.04%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                          | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  11470000 | PA      | $8369263.86   | 0.20%             | 2032-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON                 | CUSIP: 46590WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5435000 | PA      | $5426691.52   | 0.13%             | 2031-01-05      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31387CE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       288 | PA      | $295.01       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201QYY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6328 | PA      | $6504.46      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ATFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5140570 | PA      | $592364.82    | 0.01%             | 2042-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209FPE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14710 | PA      | $14717.95     | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201TN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14817 | PA      | $15230.09     | 0.00%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31298SJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       911 | PA      | $935.54       | 0.00%             | 2031-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31389KKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3366 | PA      | $3448.82      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620A5BB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50284 | PA      | $51291.29     | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                              | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   6190000 | PA      | $4748860.91   | 0.11%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP PLC (THE)                        | Weir Group PLC/The                                                               | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   5155000 | PA      | $4571690.10   | 0.11%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2031777.74   | 0.05%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200WA35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8756 | PA      | $8803.61      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200MXB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10242 | PA      | $10382.87     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52745 | PA      | $52566.86     | 0.00%             | 2040-09-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176MYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83358 | PA      | $82013.31     | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348032 | PA      | $316399.20    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTURAS RE LTD                              | Alturas RE Ltd                                                                   | CUSIP: 000000000<br>LEI: 549300FZNJS17ZR1BR73 | Long             | DBT              | CORP              | BM        |    285668 | PA      | $10826.82     | 0.00%             | 2023-03-10      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DHK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1045 | PA      | $1079.41      | 0.00%             | 2030-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   7490000 | PA      | $7143812.20   | 0.17%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TEXAS ST WTR DEV BRD                        | Texas Water Development Board                                                    | CUSIP: 8828543M2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1395000 | PA      | $1207567.80   | 0.03%             | 2040-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                 | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5250000 | PA      | $4241711.99   | 0.10%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                             | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   6070000 | PA      | $4341306.00   | 0.10%             | 2031-09-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding                            | Hardee's Funding LLC                                                             | CUSIP: 411707AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3978412 | PA      | $3736298.25   | 0.09%             | 2048-06-20      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2021-RPL1                               | CUSIP: 36261WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6071000 | PA      | $4326255.31   | 0.10%             | 2060-12-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                      | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72736 | PA      | $72036.39     | 0.00%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QPXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12850915 | PA      | $10887657.00  | 0.26%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HKX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $225.86       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EQFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3344808 | PA      | $3109020.45   | 0.07%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WHUT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51489 | PA      | $49351.96     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  19295000 | PA      | $17086188.28  | 0.41%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417DEE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176318 | PA      | $169895.17    | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROANOKE VA ECON DEV AUTH HOSPR              | Roanoke Economic Development Authority                                           | CUSIP: 770082BY0<br>LEI: 549300P5QQORJY0U4T83 | Long             | DBT              | MUN               | US        |   1670000 | PA      | $1253635.60   | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLOODSMART RE LTD                           | FloodSmart Re Ltd                                                                | CUSIP: 33975CAG0<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1125000.00   | 0.03%             | 2024-03-01      | Floating      | 18.00%                | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212XBL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31646 | PA      | $33226.63     | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alturas Re 2022-2, 12/31/2027               | Alturas Re 2022-2, 12/31/2027                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3159827 | PA      | $2962969.78   | 0.07%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202UYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50324 | PA      | $50693.54     | 0.00%             | 2033-01-20      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   8090000 | PA      | $7566451.93   | 0.18%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XWLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1212996 | PA      | $1158270.05   | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJEN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3362 | PA      | $3510.63      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43209 | PA      | $44733.95     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210P5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13947 | PA      | $13963.78     | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2019-1                                                  | CUSIP: 35041JAB1<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |   3440000 | PA      | $3281120.50   | 0.08%             | 2034-11-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KPG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67931 | PA      | $64107.19     | 0.00%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXVIII Ltd                                                       | CUSIP: 83615CAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2503751.25   | 0.06%             | 2032-01-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201Q7B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4092 | PA      | $4196.13      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palisades Center Trust                      | Palisades Center Trust 2016-PLSD                                                 | CUSIP: 69640GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1310000.00   | 0.03%             | 2033-04-13      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| KILIMANJARO III RE LTD                      | Kilimanjaro III Re Ltd                                                           | CUSIP: 49407PAL4<br>LEI: 254900T37LD5YQ545V53 | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $897400.00    | 0.02%             | 2025-06-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                       | Mineral Resources Ltd                                                            | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |   1065000 | PA      | $1088983.80   | 0.03%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                      | Fresenius Medical Care US Finance III Inc                                        | CUSIP: 35805BAB4<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |  16810000 | PA      | $12328201.18  | 0.30%             | 2031-02-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34492664 | PA      | $29292031.40  | 0.70%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IMS Ecuadorian Mortagage Trust              | IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                             | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13711157 | PA      | $12717098.44  | 0.30%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ABPCI Direct Lending Fund CLO               | ABPCI Direct Lending Fund CLO X LP                                               | CUSIP: 000848AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1723295.00   | 0.04%             | 2032-01-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212YMU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11381 | PA      | $11434.22     | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-INV2                                      | CUSIP: 58549XBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10525637 | PA      | $8041007.70   | 0.19%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.39.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-4186793.86  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418CRQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79549 | PA      | $73963.75     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Versutus Re 2019-A, 12/31/21                | Versutus Re 2019-A, 12/31/21                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1765095 | PA      | $0.00         | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                                | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   6464000 | PA      | $6330822.27   | 0.15%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138ECMS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89821 | PA      | $86556.90     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9MF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3867502 | PA      | $3536288.02   | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782834 | PA      | $773797.31    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                  | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1720000 | PA      | $1511501.60   | 0.04%             | 2030-06-18      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HGC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1125 | PA      | $1166.48      | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                                 | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |  16300000 | PA      | $13180628.90  | 0.32%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                     | NYMT Loan Trust 2022-CP1                                                         | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4175000 | PA      | $3441186.55   | 0.08%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31379HKG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25282 | PA      | $25203.20     | 0.00%             | 2028-04-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2021-HB5 LLC                                                                | CUSIP: 12526PAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3485000 | PA      | $3213417.78   | 0.08%             | 2031-02-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402QS51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3843 | PA      | $3974.50      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620ABQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248865 | PA      | $246117.01    | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200MYV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20431 | PA      | $21395.02     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201KHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4134 | PA      | $4239.37      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                    | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2834805 | PA      | $1949933.76   | 0.05%             | 2051-10-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9FK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4360284 | PA      | $3692528.51   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31298M7E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3653 | PA      | $3746.78      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36203EC30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       679 | PA      | $678.80       | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132GT5R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63446 | PA      | $60931.58     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WFDL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1020793 | PA      | $978853.33    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1862200.60   | 0.04%             | 2058-05-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| HAMPTON ROADS VA TRANSPRTN ACC              | Hampton Roads Transportation Accountability Commission                           | CUSIP: 409328BT7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    945000 | PA      | $855036.00    | 0.02%             | 2057-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                          | Valero Energy Corp                                                               | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   7773000 | PA      | $8271528.97   | 0.20%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGM99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2772343 | PA      | $2258951.89   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WHNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949503 | PA      | $908491.66    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWS CRE FUNDING I LLC                       | OWS Cre Funding I LLC                                                            | CUSIP: 67114QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2755000 | PA      | $2630872.37   | 0.06%             | 2023-09-01      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31384WGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2297 | PA      | $2365.25      | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138MPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99873 | PA      | $86113.54     | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                   | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   7410000 | PA      | $5565280.50   | 0.13%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                      | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCM9<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4030000 | PA      | $3998872.88   | 0.10%             | 2033-09-13      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B8 Mortgage Trust                                                 | CUSIP: 08162UAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7340000 | PA      | $6951367.55   | 0.17%             | 2052-01-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIV3                                           | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $2575303.36   | 0.06%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4028 | PA      | $4201.04      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209G2W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2837 | PA      | $2916.15      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CORELOGIC INC                               | CoreLogic Inc                                                                    | CUSIP: 21871DAD5<br>LEI: 54930086CD8K2UIL0516 | Long             | DBT              | CORP              | US        |   3080000 | PA      | $2362976.00   | 0.06%             | 2028-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2020-1                                                   | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819733 | PA      | $711579.24    | 0.02%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622A25J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1305886 | PA      | $1311290.50   | 0.03%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KSW4 Mortgage Trust                                                   | CUSIP: 302960AG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4071496 | PA      | $3830185.14   | 0.09%             | 2028-10-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202EBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18547 | PA      | $18510.41     | 0.00%             | 2034-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-C5                                      | CUSIP: 17291DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5012848 | PA      | $4663472.56   | 0.11%             | 2051-06-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184XM22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168140 | PA      | $156848.12    | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MINERVA LUXEMBOURG SA                       | Minerva Luxembourg SA                                                            | CUSIP: 603374AF6<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |   5405000 | PA      | $4435505.15   | 0.11%             | 2031-03-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                  | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1257584.51   | 0.03%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XD6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10908719 | PA      | $9299302.87   | 0.22%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292H3K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12109 | PA      | $12618.06     | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291RNU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47253 | PA      | $48816.35     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PG Receivables Finance LP                   | PG Receivables Finance                                                           | CUSIP: 69356JAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   2350000 | PA      | $2256000.00   | 0.05%             | 2025-07-20      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200MQY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20491 | PA      | $21459.04     | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE TRUST               | Key Commercial Mortgage Securities Trust 2019-S2                                 | CUSIP: 49307XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6560000 | PA      | $5877178.13   | 0.14%             | 2052-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23020353 | PA      | $19625952.53  | 0.47%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416M3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677694 | PA      | $650845.48    | 0.02%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36182UNQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60595 | PA      | $58324.43     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Viribus Re 2018, 12/31/21                   | Viribus Re 2018, 12/31/21                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $0.00         | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $1929335.64   | 0.05%             | 2031-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                      | Marlette Funding Trust 2019-2                                                    | CUSIP: 57109HAC6<br>LEI: 549300Y3KZXU3NUCX480 | Long             | ABS-O            | CORP              | US        |   1751783 | PA      | $1738558.30   | 0.04%             | 2029-07-16      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| ENERGY ACQUISITION LP                       | Energy Acquisition Co Inc                                                        | CUSIP: 29279EAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1013989 | PA      | $914808.39    | 0.02%             | 2025-06-26      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| SANDERS RE II LTD                           | Sanders RE II Ltd                                                                | CUSIP: 80001MAA0<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |   2750000 | PA      | $2549250.00   | 0.06%             | 2025-04-07      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200KSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1599 | PA      | $1640.11      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KPNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307954 | PA      | $265657.96    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FRQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153508 | PA      | $150647.69    | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYV63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13715174 | PA      | $11218892.61  | 0.27%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                       | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |   8910000 | PA      | $7162614.19   | 0.17%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WASW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23234 | PA      | $22254.88     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B6RW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291339 | PA      | $266617.80    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2021-KG05 Mortgage Trust                                                   | CUSIP: 30318WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $47409.30     | 0.00%             | 2031-01-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Harambee Re 2018, 12/31/21                  | Harambee Re 2018, 12/31/21                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $0.00         | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HMRK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509562 | PA      | $464196.97    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31298S2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2762 | PA      | $2832.67      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36203N6C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2058 | PA      | $2061.34      | 0.00%             | 2023-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140N6WZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1391392 | PA      | $1395126.18   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423369 | PA      | $419698.16    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297S6G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46792 | PA      | $47392.86     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31297ACB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3352 | PA      | $3365.27      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gamboge Re 2022                             | Gamboge Re 2022                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   5500000 | PA      | $5363972.94   | 0.13%             | 2028-03-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| FITNESS & SPORTS CLUBS LLC                  | Fitness International LLC                                                        | CUSIP: 33818XAH3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    190787 | PA      | $176775.65    | 0.00%             | 2025-04-18      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202EC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14938 | PA      | $14908.50     | 0.00%             | 2035-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FM7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495056 | PA      | $472880.42    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183HVJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100084 | PA      | $96012.34     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138MJUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99828 | PA      | $93380.22     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                               | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   8200000 | PA      | $7004164.73   | 0.17%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X7QE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3001518 | PA      | $2577651.16   | 0.06%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  18900000 | PA      | $15811268.45  | 0.38%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                     | Sun Communities Operating LP                                                     | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $2847065.39   | 0.07%             | 2028-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA TREASURY BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        16 | NC      | $-88209.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV3                                                | CUSIP: 44555QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12320616 | PA      | $9889697.02   | 0.24%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW03 Mortgage Trust                                                   | CUSIP: 30302YAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2301625.75   | 0.06%             | 2027-07-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138M0AH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852448 | PA      | $797972.29    | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                  | Tronox Inc                                                                       | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |   5340000 | PA      | $4438875.00   | 0.11%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35742 | PA      | $37003.93     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-3                                                 | CUSIP: 89177LBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $7277633.00   | 0.17%             | 2059-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138MF4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193908 | PA      | $181513.00    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132J6WD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383519 | PA      | $349358.67    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                  | BINOM Securitization Trust 2022-RPL1                                             | CUSIP: 05552CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12559000 | PA      | $8460532.36   | 0.20%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                          | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   9120000 | PA      | $8617684.44   | 0.21%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DHW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1432 | PA      | $1462.00      | 0.00%             | 2030-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202D4R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19192 | PA      | $19729.21     | 0.00%             | 2034-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alturas Re 2021-3, 7/31/25                  | Alturas Re 2021-3, 7/31/25                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    213682 | PA      | $45792.05     | 0.00%             | 2025-07-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| LXP INDUSTRIAL TRUST                        | LXP Industrial Trust                                                             | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |   4880000 | PA      | $3887169.42   | 0.09%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132J7B76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    890559 | PA      | $811255.42    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17036 | PA      | $17511.17     | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QKNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38474451 | PA      | $33096815.80  | 0.79%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carnoustie Re 2022                          | Carnoustie Re 2022                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $1059539.36   | 0.03%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2021-1                                                  | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   2947658 | PA      | $2636278.12   | 0.06%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Ballylifin Re 2022                          | Ballylifin Re 2022                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $9200.00      | 0.00%             | 2028-05-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                 | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   7185000 | PA      | $6415926.01   | 0.15%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GRN34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207515 | PA      | $198840.33    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204134 | PA      | $206715.18    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31413YL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8018 | PA      | $8312.22      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-IG3 Mortgage Trust                                                | CUSIP: 08162QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2615000 | PA      | $2014398.57   | 0.05%             | 2048-09-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Ballybunion Re 2022-3                       | Ballybunion Re 2022-3                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4000000 | PA      | $4089128.88   | 0.10%             | 2028-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WAF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113970 | PA      | $1073372.30   | 0.03%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XCFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64525 | PA      | $60846.45     | 0.00%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213USQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2736 | PA      | $2812.95      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                            | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   3660655 | PA      | $3559314.54   | 0.09%             | 2047-02-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1886163 | PA      | $1618256.21   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225ASV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8528 | PA      | $8720.82      | 0.00%             | 2027-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T              | Tricolor Auto Securitization Trust 2021-1                                        | CUSIP: 89615BAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3602589.36   | 0.09%             | 2026-05-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1335737.69   | 0.03%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 US                    | Avolon TLB Borrower 1 US LLC                                                     | CUSIP: 05400KAF7<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |    614493 | PA      | $607537.88    | 0.01%             | 2027-02-12      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                      | Motorola Solutions Inc                                                           | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   4420000 | PA      | $4302636.27   | 0.10%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                       | CUSIP: 034863AZ3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   5890000 | PA      | $4953204.63   | 0.12%             | 2028-03-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202CGN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $3.73         | 0.00%             | 2025-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31388JS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1322 | PA      | $1354.77      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201LUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39354 | PA      | $41455.52     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36291UEC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30097 | PA      | $30526.44     | 0.00%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138E5FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97194 | PA      | $93337.96     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUTTER RE LTD                               | Sutter Re Ltd                                                                    | CUSIP: 86944RAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1750000 | PA      | $1697150.00   | 0.04%             | 2023-05-23      | Floating      | 9.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290VYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38387 | PA      | $39418.06     | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                  | Blackbird Capital Aircraft                                                       | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8206688 | PA      | $6732358.85   | 0.16%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Oxford Finance Funding Trust                | Oxford Finance Funding 2019-1 LLC                                                | CUSIP: 69145AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1081106 | PA      | $1052254.61   | 0.03%             | 2027-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36184BZL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1732225 | PA      | $1629408.70   | 0.04%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371LVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3784 | PA      | $3913.12      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371L2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1233 | PA      | $1275.56      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183XNE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314612 | PA      | $302508.27    | 0.01%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2020-2                                              | CUSIP: 26208VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1515000 | PA      | $1482660.96   | 0.04%             | 2028-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                              | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |   2539000 | PA      | $2293118.82   | 0.05%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $17074247.16  | 0.41%             | 2038-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV1                                                | CUSIP: 44590HCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4627389 | PA      | $3405644.26   | 0.08%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36208LXN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2898 | PA      | $2979.10      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Celadon Re 2022                             | Celadon Re 2022                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $1926256.17   | 0.05%             | 2028-03-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209CH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11962 | PA      | $12295.25     | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J7WY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3344315 | PA      | $3315330.41   | 0.08%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SECTOR RE V LTD                             | Sector Re V Ltd                                                                  | CUSIP: 81369ACT7<br>LEI: 549300QS6XPZQHTCEJ97 | Long             | DBT              | CORP              | BM        |    600000 | PA      | $289639.88    | 0.01%             | 2024-03-01      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1223542.32   | 0.03%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA3                                          | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6951944 | PA      | $7242705.49   | 0.17%             | 2050-06-25      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    900000 | PA      | $661237.14    | 0.02%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2021-R1                                                | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11996051 | PA      | $9623531.67   | 0.23%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Pangaea Re 2019-3, 7/1/23                   | Pangaea Re 2019-3, 7/1/23                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4779537 | PA      | $171924.28    | 0.00%             | 2023-07-01      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LVY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    926077 | PA      | $844370.20    | 0.02%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5402730 | PA      | $3851079.80   | 0.09%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Alturas Re 2020-2, 3/10/23                  | Alturas Re 2020-2, 3/10/23                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    540698 | PA      | $78995.98     | 0.00%             | 2023-03-10      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                    | CUSIP: 46590RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5685000 | PA      | $4952134.71   | 0.12%             | 2049-08-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  63500000 | PA      | $51654726.51  | 1.24%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371K2H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22841 | PA      | $23620.46     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B6N71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273382 | PA      | $248526.12    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                  | BXG Receivables Note Trust 2015-A                                                | CUSIP: 05606XAA2<br>LEI: 549300R4HW4HQYM9LE23 | Long             | ABS-O            | CORP              | US        |    201800 | PA      | $193694.57    | 0.00%             | 2030-05-02      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                             | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   4020000 | PA      | $3328439.40   | 0.08%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-3 Ltd                                                         | CUSIP: 07877KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5418419 | PA      | $5450948.17   | 0.13%             | 2030-10-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                           | La Hipotecaria Panamanian Mortgage Trust 2014-1                                  | CUSIP: 50346EAA5<br>LEI: 549300QTY6BN40RR3018 | Long             | ABS-MBS          | CORP              | PA        |   1948700 | PA      | $1851265.04   | 0.04%             | 2042-11-24      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BEPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196417 | PA      | $184308.02    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418B3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418732 | PA      | $400532.48    | 0.01%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140JUWR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105094 | PA      | $101802.15    | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WDAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70441 | PA      | $60739.12     | 0.00%             | 2043-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296RZ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6872 | PA      | $6982.87      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140F5TU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442736 | PA      | $423978.20    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bantry Re 2022                              | Bantry Re 2022                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4171573 | PA      | $4349625.01   | 0.10%             | 2027-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213QZ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57621 | PA      | $60151.31     | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213JJR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9176 | PA      | $9431.31      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1472 | NC      | $3438874.72   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LTBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1301952 | PA      | $1186524.66   | 0.03%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405JKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11658 | PA      | $11894.79     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 312943UP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677192 | PA      | $670130.19    | 0.02%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WMHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127669 | PA      | $110077.01    | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALTURAS RE LTD                              | Alturas RE Ltd                                                                   | CUSIP: 000000000<br>LEI: 549300FZNJS17ZR1BR73 | Long             | DBT              | CORP              | BM        |    363577 | PA      | $13779.57     | 0.00%             | 2023-03-10      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71392 | PA      | $68711.74     | 0.00%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201JF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2052 | PA      | $2109.18      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER                       | Grifols Escrow Issuer SA                                                         | CUSIP: 39843UAA0<br>LEI: 959800HLB3PGTGSLVV62 | Long             | DBT              | CORP              | ES        |   3995000 | PA      | $3449562.65   | 0.08%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417EF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98341 | PA      | $84780.00     | 0.00%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                      | Motorola Solutions Inc                                                           | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   9430000 | PA      | $7373815.19   | 0.18%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Icon Brand Holdings LLC                     | Icon Brand Holdings LLC                                                          | CUSIP: 45112AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183300 | PA      | $54996.38     | 0.00%             | 2043-01-25      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211ETQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8640 | PA      | $8828.65      | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FASST 22-S1 A1                              | FASST 22-S1 A1                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7987628 | PA      | $7271187.14   | 0.17%             | 2052-02-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290R6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10344 | PA      | $10618.64     | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Versutus Re 2018, 12/31/21                  | Versutus Re 2018, 12/31/21                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $3200.00      | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAS1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   4915000 | PA      | $3904625.07   | 0.09%             | 2032-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402RRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6624 | PA      | $6821.38      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12611030 | PA      | $10191827.63  | 0.24%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WFWW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1059615 | PA      | $1014985.02   | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31298HRL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $133.49       | 0.00%             | 2031-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36207KK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1003 | PA      | $1030.67      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637191 | PA      | $613417.14    | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1110 | PA      | $1161.24      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HARRIS CNTY TX CULTURAL EDU FA              | Harris County Cultural Education Facilities Finance Corp                         | CUSIP: 414009QY9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3760000 | PA      | $2645799.20   | 0.06%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTH BROWARD FL HOSP DIST                  | South Broward Hospital District                                                  | CUSIP: 836753NK5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2090000 | PA      | $1348363.50   | 0.03%             | 2047-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WHU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900474 | PA      | $861393.82    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                | AES Corp/The                                                                     | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   8170000 | PA      | $6499408.69   | 0.16%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418BQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64879 | PA      | $55938.44     | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335AWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2786131 | PA      | $2590753.15   | 0.06%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9QP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1245013 | PA      | $1196964.65   | 0.03%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417C3Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1860568 | PA      | $1693102.93   | 0.04%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1901144 | PA      | $1834414.00   | 0.04%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225A6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1458 | PA      | $1459.38      | 0.00%             | 2024-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2019-1 Ltd                                                         | CUSIP: 07876RAB2<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |    173666 | PA      | $173594.27    | 0.00%             | 2029-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202UZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51735 | PA      | $52320.88     | 0.00%             | 2033-06-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PRIMERICA INC                               | Primerica Inc                                                                    | CUSIP: 74164MAB4<br>LEI: 254900621R686KJR7022 | Long             | DBT              | CORP              | US        |   2590000 | PA      | $2108137.67   | 0.05%             | 2031-11-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31385JP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14134 | PA      | $14616.47     | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                     | Teva Pharmaceutical Finance Netherlands III BV                                   | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   2720000 | PA      | $2422288.22   | 0.06%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor RE 2019-1 Ltd                                                             | CUSIP: 75049SAB9<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-MBS          | CORP              | BM        |   6538531 | PA      | $6463470.39   | 0.15%             | 2029-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296YJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17471 | PA      | $17751.72     | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  14123000 | PA      | $10144379.02  | 0.24%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349059 | PA      | $348376.62    | 0.01%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  99471981 | PA      | $578300.26    | 0.01%             | 2051-12-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                               | AIB Group PLC                                                                    | CUSIP: 00135TAB0<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14720000 | PA      | $14202040.59  | 0.34%             | 2025-04-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201F4Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20038 | PA      | $20597.03     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5320364 | PA      | $4995814.16   | 0.12%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KLYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568052 | PA      | $490762.41    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620AVUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1758 | PA      | $1693.43      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31288FET7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11720 | PA      | $11940.60     | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176KBA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23761 | PA      | $23071.88     | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36184QTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    693391 | PA      | $667780.21    | 0.02%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3620A2XH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1041 | PA      | $1007.83      | 0.00%             | 2039-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495EJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4041009 | PA      | $2647448.20   | 0.06%             | 2051-04-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                        | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   8350000 | PA      | $7958966.33   | 0.19%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132D9G99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7579057 | PA      | $6124629.97   | 0.15%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140EU4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154026 | PA      | $147499.74    | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORTUNE BRANDS INNOVATIO                    | Fortune Brands Innovations Inc                                                   | CUSIP: 34964CAG1<br>LEI: 54930032LHW54PQUJD44 | Long             | DBT              | CORP              | US        |   4490000 | PA      | $3370895.61   | 0.08%             | 2052-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHOENIX ONE RE, 1/4/27                      | PHOENIX ONE RE, 1/4/27                                                           | CUSIP: 000000000<br>LEI: 254900OK0APRPP1W0Z09 | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1415125.00   | 0.03%             | 2027-01-04      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| 1011778 BC ULC                              | 1011778 BC ULC                                                                   | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |   1372987 | PA      | $1351104.78   | 0.03%             | 2026-11-19      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36183XRD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    807934 | PA      | $780482.95    | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202D6F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19501 | PA      | $20587.61     | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210NUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28869 | PA      | $29264.24     | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST               | Commonbond Student Loan Trust 2017-B-GS                                          | CUSIP: 20268KAB6<br>LEI: 549300KDXV3I7WKXA522 | Long             | ABS-O            | CORP              | US        |    315872 | PA      | $308766.12    | 0.01%             | 2042-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-12                                                 | CUSIP: 46592WBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4154678 | PA      | $3173517.35   | 0.08%             | 2052-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-B2                                      | CUSIP: 17327FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2729875.20   | 0.07%             | 2051-03-10      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| MISSOURI ST HLTH & EDUCTNL FAC              | Health & Educational Facilities Authority of the State of Missouri               | CUSIP: 60637ATJ1<br>LEI: 549300IWTBCMX5JB3277 | Long             | DBT              | MUN               | US        |    555000 | PA      | $467692.95    | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290VYP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34529 | PA      | $35592.49     | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133A47F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213164 | PA      | $201921.57    | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273192 | PA      | $250739.29    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FASST 22-S1 A2                              | FASST 22-S1 A2                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8367395 | PA      | $7457440.73   | 0.18%             | 2052-02-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200KKJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13918 | PA      | $14291.95     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31406AHJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27407 | PA      | $26759.65     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                            | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |   2673000 | PA      | $2225272.50   | 0.05%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21262 | PA      | $21683.43     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83368RBK7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3095000 | PA      | $2094196.59   | 0.05%             | 2043-01-21      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GPS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1015652 | PA      | $970734.21    | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1516748 | PA      | $1442421.13   | 0.03%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36186PNV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155303 | PA      | $150333.22    | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                    | Teledyne Technologies Inc                                                        | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |  11027000 | PA      | $9494548.37   | 0.23%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YHU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21234 | PA      | $18307.90     | 0.00%             | 2045-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201AY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5822 | PA      | $5974.83      | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210UXJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15922 | PA      | $16334.35     | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2020-NQM1                                    | CUSIP: 36259WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159182 | PA      | $140089.84    | 0.00%             | 2060-09-27      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5031064.35   | 0.12%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                            | Allied Universal Holdco LLC / Allied Universal Finance Corp                      | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3646000 | PA      | $3336090.00   | 0.08%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Gleneagles Re 2018, 12/31/21                | Gleneagles Re 2018, 12/31/21                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $118300.00    | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31629 | PA      | $32717.40     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2195000 | PA      | $1920420.29   | 0.05%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                    | Aon Corp / Aon Global Holdings PLC                                               | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1683000 | PA      | $1373678.18   | 0.03%             | 2031-12-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-INV4                                               | CUSIP: 46654DAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4643067 | PA      | $3285006.60   | 0.08%             | 2052-01-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213BC67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10268 | PA      | $10263.22     | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ALBEMARLE CORP                              | Albemarle Corp                                                                   | CUSIP: 012653AF8<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |  16840000 | PA      | $15322060.92  | 0.37%             | 2052-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BCLK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2494708 | PA      | $511036.85    | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201C5U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28580 | PA      | $29097.48     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25000000 | PA      | $24806800.00  | 0.59%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210PUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       436 | PA      | $448.50       | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417CAY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182979 | PA      | $171278.09    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                      | Resorts World Las Vegas LLC / RWLV Capital Inc                                   | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8400000 | PA      | $5957528.14   | 0.14%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1080 | PA      | $1110.22      | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707086 | PA      | $643069.33    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMITH & NEPHEW PLC                          | Smith & Nephew PLC                                                               | CUSIP: 83192PAA6<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |  10178000 | PA      | $7955440.52   | 0.19%             | 2030-10-14      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140HNMA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636057 | PA      | $528543.51    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                              | CUSIP: 65535HBC2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   4645000 | PA      | $4561640.04   | 0.11%             | 2029-07-06      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378GJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31555 | PA      | $31264.08     | 0.00%             | 2041-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST THRUWAY AUTH PERSO              | New York State Thruway Authority                                                 | CUSIP: 650028XL2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2205000 | PA      | $1666340.55   | 0.04%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184JAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228740 | PA      | $213433.79    | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alturas Re 2021-2, 12/31/24                 | Alturas Re 2021-2, 12/31/24                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3959302 | PA      | $0.00         | 0.00%             | 2024-12-31      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| PECF USS INTERMEDIATE HO                    | PECF USS Intermediate Holding III Corp                                           | CUSIP: 69291LAB2<br>LEI: 254900DIL842DEXPYJ91 | Long             | LON              | CORP              | US        |   1111600 | PA      | $930849.39    | 0.02%             | 2028-12-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200Q3L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10989 | PA      | $11391.02     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140HB6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29656 | PA      | $28277.60     | 0.00%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4267090 | PA      | $3644508.67   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176EBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235047 | PA      | $231253.21    | 0.01%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211ELM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26550 | PA      | $26919.47     | 0.00%             | 2029-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1204343.76   | 0.03%             | 2031-08-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418DXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412815 | PA      | $388179.12    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Pioneer Bond Fund /DE/

**Signature:** Anthony J. Koenig, Jr

**Name of Signer:** Anthony J. Koenig, Jr

**Title:** Managing Director, Chief Operations Officer & Treasurer of the Funds