# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001410368-26-041703
**Filing Date:** 2026-4
**Character Count:** 140927
**Document Hash:** f3d95a5b170ba6f25afe375ceb132ceb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-041703.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0001410368-26-041703

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO TRUST
- **CENTRAL INDEX KEY:** 0000772129

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 26911163

**BUSINESS ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6173467646

**MAIL ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GMO CORE TRUST
- **DATE OF NAME CHANGE:** 19900927

## Series and Classes Contracts Data

### GMO Opportunistic Income Fund (Series ID: S000007516)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000020548 | Class VI     | GMODX           |
| C000137450 | Class III    | GMOHX           |
| C000213384 | Class I      | GMOLX           |
| C000213385 | Class R6     | GAAAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GMO TRUST

- **b. Investment Company Act file number:** 811-04347

- **c. CIK number of Registrant:** 0000772129

- **d. LEI of Registrant:** 549300Y2Q6TQD4HU5C66

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

  - **Street Address 1:** 53 State Street, 33rd Floor

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-346-7646

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

- **a. Name of Series:** GMO Opportunistic Income Fund

- **b. EDGAR series identifier (if any):** S000007516

- **c. LEI of Series:** 5493000NQRD0885G4P95

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**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:** $1337435572.84

**Total Liabilities:** $79413048.58

**Net Assets:** $1258022524.26

**Cash Not Reported:** $9593796.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4224.98000000 | **1-Year:** -46698.84000000 | **5-Year:** -67307.03000000 | **10-Year:** -6978.14000000 | **30-Year:** 2134.27000000

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

- **3-Month:** 1034.05000000 | **1-Year:** -14316.71000000 | **5-Year:** 110690.72000000 | **10-Year:** -8230.53000000 | **30-Year:** 26516.88000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020548 | 0.13%                | 0.25%                | 0.82%                |
| Class ID C000137450 | 0.12%                | 0.24%                | 0.82%                |
| Class ID C000213384 | 0.11%                | 0.22%                | 0.82%                |
| Class ID C000213385 | 0.13%                | 0.25%                | 0.82%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $13026.82                | $-2565511.33                               |
| Month 2  | $1166333.08              | $-2011477.01                               |
| Month 3  | $-58758.51               | $1864781.09                                |

**Designated Index Information**

- **Index Name:** JP Morgan ABS Total Index

- **Index Identifier:** JXABSTRE

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2973509 | PA      | $2941377.91   | 0.23%             | 2031-03-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAB2<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    1844202 | PA      | $1764543.93   | 0.14%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2019-SB63 Mortgage Trust                                                   | CUSIP: 30298BAK9<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |   89778622 | PA      | $2823833.95   | 0.22%             | 2039-04-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                        | KeyCorp Student Loan Trust 2005-A                                                | CUSIP: 493268CL8<br>LEI: 254900QO9Y4JHZFBGC87 | Long             | ABS-O            | CORP              | US        |    4222601 | PA      | $4147553.51   | 0.33%             | 2038-12-27      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust             | Harvest Commercial Capital Loan Trust 2020-1                                     | CUSIP: 41754FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3230000 | PA      | $3242728.78   | 0.26%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                                                  | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    4560000 | OU      | $183952.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SMO54X18US01                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    4624500 | OU      | $23172.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AR5                                           | CUSIP: 17309FAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3198928 | PA      | $1774292.27   | 0.14%             | 2036-07-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Zais Matrix CDO I                                 | Zais Clo 16 Ltd                                                                  | CUSIP: 98875JBJ2<br>LEI: 549300AH84CSK4XX3T86 | Long             | ABS-CBDO         | CORP              | KY        |    5368000 | PA      | $5364521.54   | 0.43%             | 2034-10-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 80 CLO Ltd                                                                | CUSIP: 26245JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9985038 | PA      | $9989002.05   | 0.79%             | 2033-01-17      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909            | NYC Commercial Mortgage Trust 2026-1PARK                                         | CUSIP: 62979QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2754000 | PA      | $2755719.32   | 0.22%             | 2043-02-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SDB47F17US01                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     420339 | OU      | $198.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-3                                            | CUSIP: 07324NAA1<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    2920313 | PA      | $2837546.84   | 0.23%             | 2036-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2006-4                                    | CUSIP: 63543WAD3<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |     673142 | PA      | $670612.59    | 0.05%             | 2032-05-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2022-1                                    | CUSIP: 92258XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1326592 | PA      | $1213865.16   | 0.10%             | 2052-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 40 Senior Loan Fund                                                       | CUSIP: 26244GAS4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |    8088687 | PA      | $8096637.96   | 0.64%             | 2031-08-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                        | KeyCorp Student Loan Trust 2006-A                                                | CUSIP: 49327HAJ4<br>LEI: 254900QO9Y4JHZFBGC87 | Long             | ABS-O            | CORP              | US        |   11024863 | PA      | $9008951.03   | 0.72%             | 2042-03-27      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2008-1                                            | CUSIP: 07324AAF8<br>LEI: 549300DNB16HFXTEDZ43 | Long             | ABS-MBS          | CORP              | US        |     755073 | PA      | $750155.64    | 0.06%             | 2038-01-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 674135EB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1712587 | PA      | $1724425.01   | 0.14%             | 2029-01-15      | Fixed         | 7.42%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                  | Trinitas CLO XII Ltd                                                             | CUSIP: 89641GAY8<br>LEI: 254900G1XMKSN9WBVL66 | Long             | ABS-CBDO         | CORP              | KY        |    1146481 | PA      | $1147151.54   | 0.09%             | 2033-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF12                                     | CUSIP: 32027GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1815420 | PA      | $1766070.69   | 0.14%             | 2036-09-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-OA2                                                 | CUSIP: 3622NCAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10130855 | PA      | $5795787.38   | 0.46%             | 2047-06-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Floating Rate Notes                                                | CUSIP: 91282CNQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13200000 | PA      | $13215866.66  | 1.05%             | 2027-07-31      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.  | BCMSC Trust 1999-A                                                               | CUSIP: 09774XAX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1731261 | PA      | $1724109.06   | 0.14%             | 2029-03-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B15 Mortgage Trust                                                | CUSIP: 08160KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10395000 | PA      | $9840506.79   | 0.78%             | 2072-12-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2020-VIV4                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $7523009.60   | 0.60%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-4                                                | CUSIP: 126379AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3585594 | PA      | $1872154.05   | 0.15%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust      | American Express Credit Account Master Trust                                     | CUSIP: 02589BAE0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   13695000 | PA      | $13876468.34  | 1.10%             | 2029-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                            | Canyon Capital CLO 2016-1 Ltd                                                    | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11229012 | PA      | $11239309.35  | 0.89%             | 2031-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10500000 | PA      | $-10773008.09 | -0.86%            | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST             | Harvest Commercial Capital Loan Trust 2019-1                                     | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3437970.90   | 0.27%             | 2046-09-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2020-VIVA                                           | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $7515812.80   | 0.60%             | 2044-03-11      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.7.A)                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    2128767 | OU      | $325050.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052433<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13800000 | PA      | $14157309.32  | 1.13%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | BMO59ETF0 GMODUB                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        | -106650000 | NC      | $-52549.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.         | RAMP Series 2005-RS1 Trust                                                       | CUSIP: 76112BJH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2266741 | PA      | $2218925.09   | 0.18%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd                             | Black Diamond CLO 2016-1 Ltd                                                     | CUSIP: 09203WAN5<br>LEI: 549300K8V8PYC7UZSI28 | Long             | ABS-CBDO         | CORP              | KY        |    1048271 | PA      | $1049333.27   | 0.08%             | 2031-04-26      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SMO47F17US00                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     733162 | OU      | $346.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.7.AA)                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     776756 | OU      | $-46448.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-SP2                                          | CUSIP: 07325KAA6<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    5335440 | PA      | $5123607.41   | 0.41%             | 2037-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10182331 | PA      | $9972760.30   | 0.79%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                     | American Home Mortgage Assets Trust 2006-4                                       | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7238353 | PA      | $3629323.74   | 0.29%             | 2046-10-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                | New Century Home Equity Loan Trust 2006-S1                                       | CUSIP: 64352VQC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7674789 | PA      | $160452.22    | 0.01%             | 2036-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | SWAP/CDSWAP/ICE: (ITRAXX.EUR.44.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   23700000 | OU      | $-621651.93   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-2                                                    | CUSIP: 784442AC9<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |    2487835 | PA      | $2487772.09   | 0.20%             | 2023-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.14.BBB-)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    1360000 | OU      | $223833.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-6                                                    | CUSIP: 78445CAD4<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |   14661461 | PA      | $14664720.57  | 1.17%             | 2023-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.11.BBB-)                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    5215000 | OU      | $597986.67    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | SWAP/CDSWAP/ICE: (ITRAXX.EUR.42.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |   47150000 | OU      | $-1241816.14  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                               | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4570000 | PA      | $4410119.46   | 0.35%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 68213KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1206179 | PA      | $1177130.39   | 0.09%             | 2019-11-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust  | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1                  | CUSIP: 59025TAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     941314 | PA      | $929295.96    | 0.07%             | 2037-10-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                               | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13000000 | PA      | $12493292.50  | 0.99%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                               | Eaton Vance CLO 2014-1R Ltd                                                      | CUSIP: 27830TAL9<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | KY        |   20239199 | PA      | $20242214.64  | 1.61%             | 2030-07-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.11.BBB-)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    9940000 | OU      | $1139786.67   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-A                                     | CUSIP: 78443CAJ3<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |    1709000 | PA      | $1709000.00   | 0.14%             | 2032-06-15      | Variable      | 6.94%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    8160000 | OU      | $656710.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                                | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3414636 | PA      | $3417709.37   | 0.27%             | 2031-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                            | Northwoods Capital XVII Ltd                                                      | CUSIP: 66860PAA2<br>LEI: 549300VSNJNLNM3KF997 | Long             | ABS-CBDO         | CORP              | KY        |    2365473 | PA      | $2371052.89   | 0.19%             | 2031-04-22      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Floating Rate Notes                                                | CUSIP: 91282CMX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  109150000 | PA      | $109279959.45 | 8.69%             | 2027-04-30      | Floating      | 3.78%                 | No            |                  1 | On Loan: No      |
| Rockford Tower CLO Ltd                            | Rockford Tower CLO 2018-1 Ltd                                                    | CUSIP: 77342JAC7<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6014778.00   | 0.48%             | 2031-05-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2020-SB76 Mortgage Trust                                                   | CUSIP: 30315EAE6<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |   71813367 | PA      | $1613617.62   | 0.13%             | 2030-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.             | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3522623 | PA      | $3628262.35   | 0.29%             | 2033-12-01      | Variable      | 9.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2004-J11                                                  | CUSIP: 12667FXJ9<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |      88031 | PA      | $88675.58     | 0.01%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-B                                     | CUSIP: 78443CAR5<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |    7367782 | PA      | $2002176.40   | 0.16%             | 2033-03-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.15.BBB-)                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    5000000 | OU      | $772291.66    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1751323 | PA      | $1778464.41   | 0.14%             | 2032-11-15      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2006-1                                    | CUSIP: 63543PCD6<br>LEI: 635400ZLDAQQL4PJBJ98 | Long             | ABS-O            | CORP              | US        |    2604329 | PA      | $2580532.54   | 0.21%             | 2033-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2007-1                                    | CUSIP: 63543XAD1<br>LEI: 635400RGALHFSPGKCR23 | Long             | ABS-O            | CORP              | US        |    6269905 | PA      | $6205351.71   | 0.49%             | 2033-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDG4<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |     481374 | PA      | $454755.38    | 0.04%             | 2036-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM 37 Ltd                                                                       | CUSIP: 50204JAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4156901 | PA      | $4156880.19   | 0.33%             | 2034-04-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                 | Mountain View CLO 2016-1 LLC                                                     | CUSIP: 62432FAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2574451 | PA      | $2574451.38   | 0.20%             | 2033-04-14      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                              | Steele Creek CLO 2016-1 Ltd                                                      | CUSIP: 858102AX4<br>LEI: 5493003PZ3HX9NW9PS65 | Long             | ABS-CBDO         | CORP              | KY        |     337525 | PA      | $337561.52    | 0.03%             | 2031-06-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2006-4                                    | CUSIP: 63543WAF8<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |    5440000 | PA      | $3079764.06   | 0.24%             | 2032-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | SWAP/CDSWAP/CDS: (ITRAXX.EUR.42 12-100%)                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |   78580000 | OU      | $2901351.86   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Student Loan Trust                                                       | CUSIP: 63942TAB1<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |     948222 | PA      | $956749.16    | 0.08%             | 2072-03-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| South Carolina Student Loan Corporation           | South Carolina Student Loan Corp 2015-A                                          | CUSIP: 83715RAH5<br>LEI: 549300PIO3ZMSROGFF38 | Long             | ABS-O            | CORP              | US        |     122243 | PA      | $122260.60    | 0.01%             | 2036-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BXS7<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    1472733 | PA      | $581054.34    | 0.05%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                   | Octagon Investment Partners 18-R Ltd                                             | CUSIP: 67576FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4740000 | PA      | $4755144.30   | 0.38%             | 2031-04-16      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2020-SB77 Mortgage Trust                                                   | CUSIP: 30316AAJ2<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |  192198440 | PA      | $6375010.85   | 0.51%             | 2040-06-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579QX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3638370 | PA      | $2955642.98   | 0.23%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.15.BBB-)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    5000000 | OU      | $772291.66    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 32 CLO Ltd                                                               | CUSIP: 92325QAA5<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |    2030731 | PA      | $2034469.38   | 0.16%             | 2031-07-18      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | SWAP/CDSWAP/CDS: (CMBX.NA.15.BBB-)                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    5000000 | OU      | $772291.66    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2005-B                                     | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |    8829153 | PA      | $8701541.13   | 0.69%             | 2039-06-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities II        | Home Loan Trust 2007-HI1                                                         | CUSIP: 43718WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8298726 | PA      | $735406.51    | 0.06%             | 2037-03-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B34 Mortgage Trust                                                | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16535000 | PA      | $15683455.77  | 1.25%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B8 Mortgage Trust                                                 | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4825120 | PA      | $4806729.06   | 0.38%             | 2052-01-15      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-4                                            | CUSIP: 41164YAB7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    5180562 | PA      | $5093486.96   | 0.40%             | 2037-07-19      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2004-A                                     | CUSIP: 78443CBH6<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |    1853796 | PA      | $1850114.28   | 0.15%             | 2033-06-15      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2006-A7CB                                 | CUSIP: 76113NAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15303444 | PA      | $3539913.09   | 0.28%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.  | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2928137 | PA      | $182531.27    | 0.01%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.6.BBB-)                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    1565474 | OU      | $198684.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    5156000 | OU      | $414950.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -300 | NC      | $-183163.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Conseco Financial Corp                            | Conseco Finance Corp                                                             | CUSIP: 393505XH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     826333 | PA      | $838651.06    | 0.07%             | 2029-01-15      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14500000 | PA      | $14872479.92  | 1.18%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15387600 | PA      | $14781930.22  | 1.18%             | 2037-03-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-AQ1 Trust                                                              | CUSIP: 04542BMT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     649660 | PA      | $639974.05    | 0.05%             | 2035-06-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2005-2                                    | CUSIP: 63543PBU9<br>LEI: 635400WP3MSHUIUNQS85 | Long             | ABS-O            | CORP              | US        |     728609 | PA      | $723892.72    | 0.06%             | 2033-06-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B20 Mortgage Trust                                                | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18847000 | PA      | $16996652.43  | 1.35%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.7.A)_SCI47F17US00                                      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |     302285 | OU      | $46157.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                        | Atlas Senior Loan Fund XV Ltd                                                    | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     960100 | PA      | $961558.87    | 0.08%             | 2032-10-23      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        410 | NC      | $169310.32    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LSU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2462449 | PA      | $1195310.16   | 0.10%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO 2015-4 Ltd                                                      | CUSIP: 09628NAY8<br>LEI: 549300EB3KHH9T7ICE44 | Long             | ABS-CBDO         | CORP              | KY        |    9398751 | PA      | $9404428.15   | 0.75%             | 2030-04-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-18CB                                                 | CUSIP: 12667GFE8<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    2000564 | PA      | $1502474.67   | 0.12%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2014-RR2                                                                | CUSIP: 05543DCC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453433 | PA      | $445776.37    | 0.04%             | 2037-05-26      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2005-2                                            | CUSIP: 07324SBN1<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    1790583 | PA      | $1757506.49   | 0.14%             | 2035-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AF1                    | CUSIP: 251510NC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2080487 | PA      | $1996497.12   | 0.16%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2014-A                                          | CUSIP: 784456AF2<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    1150000 | PA      | $1057035.73   | 0.08%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | BMO59ETG8 GMODUB                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   71100000 | NC      | $210288.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 25-35%)                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   18250000 | OU      | $2754740.74   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2007-4                                    | CUSIP: 63544EAL4<br>LEI: 6354004HZIMK13WCED04 | Long             | ABS-O            | CORP              | US        |      75000 | PA      | $58455.00     | 0.00%             | 2038-03-25      | Variable      | 7.75%                 | No            |                  3 | On Loan: No      |
| Towd Point Asset Trust                            | Towd Point Asset Trust 2021-SL1                                                  | CUSIP: 89179XAA3<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |    8432486 | PA      | $8196919.10   | 0.65%             | 2061-11-20      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        558 | NC      | $278899.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TBW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11752084 | PA      | $1309632.25   | 0.10%             | 2030-07-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-9                                                    | CUSIP: 362382AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10214073 | PA      | $1832454.81   | 0.15%             | 2036-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                      | AGL CLO 12 Ltd                                                                   | CUSIP: 00120BAL4<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |    5510000 | PA      | $5505388.13   | 0.44%             | 2038-10-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust             | Harvest Commercial Capital Loan Trust 2024-1                                     | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1599759 | PA      | $1654560.18   | 0.13%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.              | Fieldstone Mortgage Investment Trust Series 2004-4                               | CUSIP: 31659TCE3<br>LEI: 549300VDVZHMT2SH4W85 | Long             | ABS-O            | CORP              | US        |    3972434 | PA      | $2562821.14   | 0.20%             | 2035-10-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | Mellon Re-REMIC Pass-Through Trust 2004-TBC1                                     | CUSIP: 58552RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78392 | PA      | $73520.33     | 0.01%             | 2034-02-26      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| WAMU Commercial Mortgage Securities Trust         | WaMu Commercial Mortgage Securities Trust 2007-SL3                               | CUSIP: 93364LAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11594960 | PA      | $10698906.13  | 0.85%             | 2045-03-23      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-2                                            | CUSIP: 07324YAC3<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    1364698 | PA      | $1336218.14   | 0.11%             | 2036-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                | New Century Home Equity Loan Trust Series 2003-B                                 | CUSIP: 64352VES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     699045 | PA      | $701413.04    | 0.06%             | 2033-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B32 Mortgage Trust                                                | CUSIP: 08163NBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11556000 | PA      | $10564019.09  | 0.84%             | 2055-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                      | MKT 2020-525M Mortgage Trust                                                     | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14600000 | PA      | $13382447.60  | 1.06%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                  | Grace Trust 2020-GRCE                                                            | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8625000 | PA      | $7824841.50   | 0.62%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6118842 | PA      | $5787792.35   | 0.46%             | 2046-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2007-RFC1                                  | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     277611 | PA      | $274400.31    | 0.02%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAA0<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    1272714 | PA      | $1219629.05   | 0.10%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3786627 | PA      | $1241446.20   | 0.10%             | 2036-10-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                  | IndyMac INDA Mortgage Loan Trust 2006-AR3                                        | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1701609 | PA      | $1297466.40   | 0.10%             | 2036-12-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Floating Rate Notes                                                | CUSIP: 91282CPX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44000000 | PA      | $43998001.08  | 3.50%             | 2028-01-31      | Floating      | 3.72%                 | No            |                  1 | On Loan: No      |
| Bank of America NA                                | SWAP/CDSWAP/CDS: (ITRAXX.EUR.44 12-100%)                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |   39500000 | OU      | $1625125.75   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XV Ltd                                                                      | CUSIP: 67111DBG0<br>LEI: 5493008RJIODIVVGSK16 | Long             | ABS-CBDO         | CORP              | KY        |    4066939 | PA      | $4068830.25   | 0.32%             | 2033-04-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust               | Volkswagen Auto Loan Enhanced Trust 2024-1                                       | CUSIP: 92868RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3621000 | PA      | $3665218.57   | 0.29%             | 2029-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities I Trust 2004-AC5                            | CUSIP: 073879GM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1141050 | PA      | $1118863.51   | 0.09%             | 2034-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                       | Houston Galleria Mall Trust 2025-HGLR                                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4636000 | PA      | $4890952.65   | 0.39%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2007-3                                            | CUSIP: 07325YAA6<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    1554864 | PA      | $1505023.48   | 0.12%             | 2037-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract          | Lehman ABS Manufactured Housing Contract Trust 2001-B                            | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3324962 | PA      | $3199066.07   | 0.25%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                            | Rockford Tower CLO 2019-2 Ltd                                                    | CUSIP: 77341GAS9<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |    4797672 | PA      | $4805290.82   | 0.38%             | 2032-08-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                  | AccessLex Institute                                                              | CUSIP: 00432CBX8<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |    6960589 | PA      | $6900631.66   | 0.55%             | 2032-04-26      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                            | Invitation Homes 2024-SFR1 Trust                                                 | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8478739 | PA      | $8415059.38   | 0.67%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-C                                     | CUSIP: 78443CBE3<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |   11085730 | PA      | $2421031.52   | 0.19%             | 2032-09-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2007-7                                                    | CUSIP: 78444EAD1<br>LEI: 549300IZGFDRVV7YTH38 | Long             | ABS-O            | CORP              | US        |    3692684 | PA      | $3656062.09   | 0.29%             | 2049-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2006-2                                        | CUSIP: 61748HVW8<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |    1598475 | PA      | $627087.41    | 0.05%             | 2036-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2007-2                                            | CUSIP: 07325XAA8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    4355668 | PA      | $4112532.84   | 0.33%             | 2037-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2019-C51                                   | CUSIP: 95001VAU4<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    2285000 | PA      | $2207294.46   | 0.18%             | 2052-06-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |     520304 | PA      | $520532.59    | 0.04%             | 2030-10-22      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-4                                                    | CUSIP: 78445AAD8<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |    6897194 | PA      | $6913242.43   | 0.55%             | 2022-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GMO Ultra-Short Income ETF                        | GMO Ultra-Short Income ETF                                                       | CUSIP: 90139K886<br>LEI: 254900030N0272VXDN66 | Long             | EC               | RF                | US        |       6000 | NS      | $301417.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2008-5                                                    | CUSIP: 78444YAD7<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |    6768297 | PA      | $6810231.58   | 0.54%             | 2023-07-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-HYB6                                        | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645585 | PA      | $624238.40    | 0.05%             | 2034-11-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                             | Mountain View CLO 2013-1 Ltd                                                     | CUSIP: 62431UBD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4004416.00   | 0.32%             | 2030-10-12      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.10.AAA)_SGO59X17US04                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    7540000 | OU      | $11430.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2021-A                                                  | CUSIP: 00971AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1822732 | PA      | $1674104.23   | 0.13%             | 2065-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | SWAP/CDSWAP/CDS: (CMBX.NA.17.BBB-)                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    3966000 | OU      | $-530716.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXII Ltd                                                                    | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |     589132 | PA      | $589694.23    | 0.05%             | 2031-01-17      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4280703.60   | 0.34%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust              | GMACM Home Equity Loan Trust 2007-HE3                                            | CUSIP: 36186MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1017133 | PA      | $1010482.95   | 0.08%             | 2037-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2006-ASL1                      | CUSIP: 00442AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     732542 | PA      | $46182.82     | 0.00%             | 2036-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Bravo Mortgage Asset Trust                        | Bravo Mortgage Asset Trust                                                       | CUSIP: 105667AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14094246 | PA      | $12945063.43  | 1.03%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)_SMO58U17US00                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    2878183 | OU      | $808529.54    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Education Loan Trust 2010-C                                          | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |    3168880 | PA      | $3326654.12   | 0.26%             | 2041-10-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1224422 | PA      | $1026939.93   | 0.08%             | 2051-12-26      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2007-SL2                                     | CUSIP: 07401RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69080 | PA      | $92982.02     | 0.01%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SWAP/CDSWAP/CDS: (CMBX.NA.8.A)                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1032494 | OU      | $66781.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-5                                                | CUSIP: 924921AA7<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    4422330 | PA      | $4415662.96   | 0.35%             | 2067-04-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-A                                     | CUSIP: 78443CAH7<br>LEI: 54930054KUX5HFXZUQ43 | Long             | ABS-O            | CORP              | US        |    1939289 | PA      | $789729.18    | 0.06%             | 2032-06-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2006-2                                                   | CUSIP: 437084TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1737839 | PA      | $1794619.14   | 0.14%             | 2036-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2006-A                                     | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |   13717241 | PA      | $13469621.85  | 1.07%             | 2039-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SMO54X18US00                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    4624500 | OU      | $23172.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2014-C21                                         | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    9814966 | PA      | $9334032.67   | 0.74%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust                   | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     591211 | PA      | $563185.59    | 0.04%             | 2035-09-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAA9<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    2793409 | PA      | $2782040.20   | 0.22%             | 2062-04-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2005-A                                     | CUSIP: 78443CBV5<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |   14744461 | PA      | $14562162.25  | 1.16%             | 2038-12-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust                            | Towd Point Asset Trust 2021-SL1                                                  | CUSIP: 89179XAB1<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |    6900000 | PA      | $6849693.48   | 0.54%             | 2061-11-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2024-SFR4 Trust                                               | CUSIP: 895975AA8<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    9907707 | PA      | $9913550.10   | 0.79%             | 2041-11-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program 2021-A LLC             | ELFI Graduate Loan Program 2021-A LLC                                            | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1094528 | PA      | $991139.70    | 0.08%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-C                                     | CUSIP: 78443CBA1<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $800000.00    | 0.06%             | 2032-09-15      | Variable      | 8.07%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.6.AA)_SGO62Q17US00                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     488626 | OU      | $57822.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2005-9                                                    | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323790 | PA      | $315329.15    | 0.03%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                 | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11393000 | PA      | $11580632.46  | 0.92%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT JUN26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        373 | NC      | $248015.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | SWAP/CDSWAP/ICE: (CDX.NA.IG.45.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  117930000 | OU      | $-2511751.73  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16000000 | PA      | $15830276.80  | 1.26%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    4000000 | OU      | $20042.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.             | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4018223 | PA      | $4092130.79   | 0.33%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                 | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACN1<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |    2454000 | PA      | $2454517.79   | 0.20%             | 2030-07-18      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022436<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -20000000 | PA      | $-19084697.00 | -1.52%            | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-2                                            | CUSIP: 07324YAB5<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |     667167 | PA      | $648491.44    | 0.05%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust 2018-SL1                   | Towd Point Asset Trust 2018-SL1                                                  | CUSIP: 89174UAB2<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |    1340247 | PA      | $1340147.96   | 0.11%             | 2046-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2020-SB74 Mortgage Trust                                                   | CUSIP: 30291SAJ2<br>LEI: 549300P6Y1UBYR0WQ049 | Long             | ABS-MBS          | USGSE             | US        |   33937654 | PA      | $1259629.96   | 0.10%             | 2040-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 25-35%)                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    3967000 | OU      | $598797.62    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust                            | Towd Point Asset Trust 2021-SL1                                                  | CUSIP: 89179XAC9<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |   17741000 | PA      | $17534924.09  | 1.39%             | 2061-11-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.14.BBB-)                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    3933500 | OU      | $647388.54    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2024-C                                         | CUSIP: 98164NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6030000 | PA      | $6070885.21   | 0.48%             | 2029-12-17      | Fixed         | 4.43%                 | 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        |   11080867 | PA      | $11058975.73  | 0.88%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2025-1 Ltd                                                              | CUSIP: 92945JAA1<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |    1725000 | PA      | $1724977.58   | 0.14%             | 2038-04-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.11.AA)_SCI54X18US00                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    4626000 | OU      | $23179.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2007-AR1                                     | CUSIP: 07401MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4448795 | PA      | $3978537.28   | 0.32%             | 2037-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust   | CUSIP: 9393365X7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1482281 | PA      | $1297288.37   | 0.10%             | 2035-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| UCFC Manufactured Housing Contract                | UCFC Manufactured Housing Contract                                               | CUSIP: 90263ABY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1152846 | PA      | $1122003.11   | 0.09%             | 2029-10-15      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr | GM Financial Consumer Automobile Receivables Trust 2024-1                        | CUSIP: 36268GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4695424 | PA      | $4724729.14   | 0.38%             | 2028-12-18      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 68213KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     249121 | PA      | $246107.04    | 0.02%             | 2031-12-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4139826.40   | 0.33%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 15-25%)                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   11900000 | OU      | $-1067767.04  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SBA47F17US00                                     | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     248899 | OU      | $117.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10380057 | PA      | $9380458.55   | 0.75%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust | CUSIP: 939346AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1420426 | PA      | $1251258.73   | 0.10%             | 2046-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2430509 | PA      | $919358.34    | 0.07%             | 2031-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust   | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 066053AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13743281 | PA      | $923274.99    | 0.07%             | 2028-08-10      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.             | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QHQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4422180 | PA      | $4603235.22   | 0.37%             | 2033-05-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | FSWP: OIS 3.289000 31-AUG-2030 SOF                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21000000 | OU      | $-89237.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-RPL1 Trust                                                             | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3186532 | PA      | $2978360.55   | 0.24%             | 2061-09-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation               | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-S3               | CUSIP: 65535VNS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10725 | PA      | $221159.84    | 0.02%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  3 | On Loan: No      |
| National Collegiate Commutation Trust             | National Collegiate 2007-3 Commutation Trust                                     | CUSIP: 63544HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8758011 | PA      | $1072856.30   | 0.09%             | 2038-03-31      | Variable      | 8.64%                 | No            |                  3 | On Loan: No      |
| SLC Student Loan Trust                            | SLC Student Loan Trust 2008-2                                                    | CUSIP: 78444NAD1<br>LEI: 254900DL8Z901OXFAN76 | Long             | ABS-O            | CORP              | US        |    9423595 | PA      | $9344417.73   | 0.74%             | 2040-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST             | Harvest Commercial Capital Loan Trust 2019-1                                     | CUSIP: 41753CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1295000 | PA      | $1275141.69   | 0.10%             | 2046-09-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.12.AA)_SGO61Q17US01                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    6974000 | OU      | $44625.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2006-B                                     | CUSIP: 78443CCY8<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |    1255937 | PA      | $1230475.10   | 0.10%             | 2039-12-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2005-SD3                       | CUSIP: 004421TR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1967296 | PA      | $1807146.95   | 0.14%             | 2045-08-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XVIII LP                                                                     | CUSIP: 50188GAV5<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |    1180000 | PA      | $1179975.22   | 0.09%             | 2031-04-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAA4<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |    1524683 | PA      | $526179.68    | 0.04%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.  | BCMSC Trust 1999-B                                                               | CUSIP: 09774XBE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8834023 | PA      | $484981.67    | 0.04%             | 2029-12-17      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 38 CLO Ltd                                                               | CUSIP: 92332NBC8<br>LEI: 549300EM6DS6KQH1HN07 | Long             | ABS-CBDO         | CORP              | KY        |    1404357 | PA      | $1405134.74   | 0.11%             | 2032-07-30      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                            | Chase Auto Owner Trust 2024-4                                                    | CUSIP: 16144YAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6518282 | PA      | $6573847.55   | 0.52%             | 2029-07-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50789310 | PA      | $0.51         | 0.00%             | 2035-09-25      | Variable      | 6.23%                 | No            |                  3 | On Loan: No      |
| New Century Home Equity Loan Trust                | New Century Home Equity Loan Trust 2006-S1                                       | CUSIP: 64352VQM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13454617 | PA      | $281387.17    | 0.02%             | 2036-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |     902595 | PA      | $903305.00    | 0.07%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM VII Ltd                                                                     | CUSIP: 67108XAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1083456 | PA      | $108.35       | 0.00%             | 2026-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2006-AR1                                     | CUSIP: 07401LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5024611 | PA      | $4734793.69   | 0.38%             | 2036-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.13.AA)                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    3000000 | OU      | $40176.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Second Lien Trust                           | MASTR Second Lien Trust 2006-1                                                   | CUSIP: 57644DAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3463783 | PA      | $183006.89    | 0.01%             | 2036-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2004-B                                     | CUSIP: 78443CBP8<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |    4861738 | PA      | $4820912.47   | 0.38%             | 2033-09-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5610774 | PA      | $2105711.55   | 0.17%             | 2030-03-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2023-B                                          | CUSIP: 78449HAF4<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |       1000 | PA      | $404200.93    | 0.03%             | 2056-10-16      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2004-3                                              | CUSIP: 805564QV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     974742 | PA      | $955017.12    | 0.08%             | 2034-12-26      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2007-A                                     | CUSIP: 78443DAD4<br>LEI: 549300T563MF7L069881 | Long             | ABS-O            | CORP              | US        |    8274773 | PA      | $8223425.22   | 0.65%             | 2041-12-16      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.8.A)                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    2581235 | OU      | $166954.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCS9<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |     935260 | PA      | $899756.67    | 0.07%             | 2036-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2018-CHRS Mortgage Trust                                                   | CUSIP: 05491VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11037000 | PA      | $9615559.12   | 0.76%             | 2038-08-05      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XLII Ltd                                                    | CUSIP: 55822RAB6<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |    3375228 | PA      | $3375866.06   | 0.27%             | 2030-11-21      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Zais CLO 13, Limited                              | Zais Clo 13 Ltd                                                                  | CUSIP: 98876NAW4<br>LEI: 549300GODB02F7ODZK39 | Long             | ABS-CBDO         | CORP              | KY        |    2278069 | PA      | $2279123.92   | 0.18%             | 2032-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2022-A                                 | CUSIP: 63942MAA8<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    3475746 | PA      | $3224006.34   | 0.26%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | SWAP/CDSWAP/ICE: (ITRAXX.XO.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   10290000 | OU      | $-1342264.33  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    2821253 | OU      | $-810.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                    | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6141463 | PA      | $6033265.88   | 0.48%             | 2038-12-17      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SGO47F17US00                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     243098 | OU      | $114.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities II        | Home Loan Trust 2006-HI4                                                         | CUSIP: 43718MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7572884 | PA      | $1257263.83   | 0.10%             | 2036-09-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    5000000 | OU      | $204480.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2025-5                                                  | CUSIP: 03466EAA8<br>LEI: 254900QA46POYH7UR768 | Long             | ABS-MBS          | CORP              | US        |    7367029 | PA      | $7445630.28   | 0.59%             | 2070-04-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2014-C21                                         | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    2428476 | PA      | $2388405.77   | 0.19%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                 | JP Morgan Resecuritization Trust Series 2009-10                                  | CUSIP: 46634ACN2<br>LEI: 5493004MQHFTPQUDN572 | Long             | ABS-MBS          | CORP              | US        |      26996 | PA      | $23591.81     | 0.00%             | 2037-02-26      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                 | Battalion Clo XV Ltd                                                             | CUSIP: 07131AAM6<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |    4300994 | PA      | $4301135.83   | 0.34%             | 2033-01-17      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                       | Corevest American Finance 2021-1 Trust                                           | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     408771 | PA      | $403847.89    | 0.03%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sounds Point CLO IV-R LTD                                                        | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |     595866 | PA      | $595858.09    | 0.05%             | 2031-04-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                        | KeyCorp Student Loan Trust 2004-A                                                | CUSIP: 493268CB0<br>LEI: 254900QO9Y4JHZFBGC87 | Long             | ABS-O            | CORP              | US        |    3403107 | PA      | $3283682.53   | 0.26%             | 2042-07-28      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 25-35%)                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    3060000 | OU      | $461890.78    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.6.BBB-)_SCI63K11US02                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    1639911 | OU      | $208132.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust            | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3532079 | PA      | $3218448.37   | 0.26%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXXIII Ltd                                                  | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4635554 | PA      | $4640922.43   | 0.37%             | 2032-10-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2007-1                                            | CUSIP: 07325MAA2<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |     866993 | PA      | $837816.52    | 0.07%             | 2037-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Arcap Reit Inc                                    | ARCap 2005-1 Resecuritization Trust                                              | CUSIP: 03927NAB9<br>LEI: N/A                  | Long             | ABS-O            |  | US        |    8586000 | PA      | $8.59         | 0.00%             | 2042-12-21      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2006-C                                     | CUSIP: 78443JAG4<br>LEI: 549300YULY9L7IV1S531 | Long             | ABS-O            | CORP              | US        |    2672291 | PA      | $2536528.95   | 0.20%             | 2039-12-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-15N                                                  | CUSIP: 52524VAG4<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |     639764 | PA      | $634548.73    | 0.05%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust           | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17663707 | PA      | $510701.93    | 0.04%             | 2036-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2007-1                                                  | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1556871 | PA      | $1373280.22   | 0.11%             | 2047-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2007-2                                    | CUSIP: 63543LAD7<br>LEI: 635400VQIBXGEB9ZUC59 | Long             | ABS-O            | CORP              | US        |    2420891 | PA      | $2382477.96   | 0.19%             | 2033-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                               | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $8424940.50   | 0.67%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                  | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     771063 | PA      | $598762.39    | 0.05%             | 2037-03-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1577716 | PA      | $1406308.74   | 0.11%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QS11 Trust                                                      | CUSIP: 761118CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3307781 | PA      | $2848758.20   | 0.23%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | SWAP/CDSWAP/ICE: (ITRAXX.FINSR.44.V1)                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  104424000 | OU      | $-2542119.43  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| JEFFERSON MILL CLO LTD                            | Jefferson Mill CLO Ltd                                                           | CUSIP: 47421MBJ1<br>LEI: 549300RV1TCF15DHXS87 | Long             | ABS-CBDO         | CORP              | KY        |    1656953 | PA      | $1657836.35   | 0.13%             | 2031-10-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities II        | Home Equity Loan Trust 2005-HS1                                                  | CUSIP: 76110VRX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4328989 | PA      | $44417.16     | 0.00%             | 2035-09-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $85.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.11.BBB-)                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    5752000 | OU      | $659562.67    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Access Group Inc                                  | AccessLex Institute                                                              | CUSIP: 00432CBZ3<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |    2994236 | PA      | $2753075.86   | 0.22%             | 2043-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDF6<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    1197513 | PA      | $1144776.97   | 0.09%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $34137.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7080684 | PA      | $6656672.47   | 0.53%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2006-B                                     | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |    6385678 | PA      | $6267320.56   | 0.50%             | 2039-12-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | SWAP/CDSWAP/CDS: (CMBX.NA.7.AS)_SDB47M10US00                                     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |     921441 | OU      | $435.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | SWAP/CDSWAP/CDS: (ITRAXX.XO.44 35-100%)                                          | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | XX        |   23390000 | OU      | $5564903.70   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | SOUND POINT CLO XIX Ltd                                                          | CUSIP: 83610JAA4<br>LEI: 5493001QI7ZD0IPL4A34 | Long             | ABS-CBDO         | CORP              | KY        |      51320 | PA      | $51343.33     | 0.00%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR2 Trust                                            | CUSIP: 89613JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5664696 | PA      | $5421165.31   | 0.43%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SWAP/CDSWAP/CDS: (CMBX.NA.15.A)                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    3000000 | OU      | $122688.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM8 Trust                                                              | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |    6306639 | PA      | $6373622.28   | 0.51%             | 2065-03-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    9107902 | OU      | $-2615.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust            | National Collegiate Student Loan Trust 2007-3                                    | CUSIP: 63544DAH5<br>LEI: 635400MZY2WMKATC8Y90 | Long             | ABS-O            | CORP              | US        |      24944 | PA      | $19441.70     | 0.00%             | 2038-03-25      | Variable      | 7.75%                 | No            |                  3 | On Loan: No      |
| State Street Global Advisors                      | State Street Institutional Treasury Money Market Fund                            | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |    2029558 | NS      | $2029557.71   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust              | GMACM Home Equity Loan Trust 2004-HE3                                            | CUSIP: 361856DL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1881888 | PA      | $1868272.14   | 0.15%             | 2034-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $54895.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial          | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3                   | CUSIP: 52521UAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500178 | PA      | $1515179.74   | 0.12%             | 2037-10-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| National Collegiate II Commutation Trust          | National Collegiate II Commutation Trust                                         | CUSIP: 63543CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7625000 | PA      | $934062.50    | 0.07%             | 2038-03-25      | Floating      | 8.07%                 | No            |                  3 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2015-B                                          | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |     534197 | PA      | $533642.14    | 0.04%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2007-4                                            | CUSIP: 07326BAA5<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    5721201 | PA      | $5467321.76   | 0.43%             | 2037-09-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.15.AAA)                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    9986735 | OU      | $-2868.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.7.A)_SGO47F17US06                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     604570 | OU      | $92314.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                 | Elevation CLO 2018-10 Ltd                                                        | CUSIP: 28623CAL5<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |      50327 | PA      | $50310.86     | 0.00%             | 2031-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.14.A)                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |    2682000 | OU      | $136269.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Commercial Mortgage Securities Trust         | WaMu Commercial Mortgage Securities Trust 2006-SL1                               | CUSIP: 933633AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3594555 | PA      | $3578188.19   | 0.28%             | 2043-11-23      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2024-277P Mortgage Trust                                                    | CUSIP: 12654FAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   15516000 | PA      | $16389457.70  | 1.30%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust                   | CUSIP: 933638AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751073 | PA      | $684790.32    | 0.05%             | 2047-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                | New Century Home Equity Loan Trust 2006-S1                                       | CUSIP: 64352VQN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20461833 | PA      | $427707.56    | 0.03%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6064044.14   | 0.48%             | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2                    | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7264683 | PA      | $7020743.37   | 0.56%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | SWAP/CDSWAP/CDS: (CMBX.NA.18.BBB-)                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    5156000 | OU      | $414950.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.17.BBB-)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    3966000 | OU      | $-530716.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                     | Gallatin CLO VIII 2017-1 Ltd                                                     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8296009 | PA      | $8304702.88   | 0.66%             | 2031-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2004-11                                                 | CUSIP: 07386HMR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     630588 | PA      | $632613.92    | 0.05%             | 2034-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |          1 | NC      | $-34850.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CMBX.NA.8.A)                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |     944216 | OU      | $61072.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                            | Conseco Finance Corp                                                             | CUSIP: 393505K35<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     836151 | PA      | $849116.08    | 0.07%             | 2030-06-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2007-AR1                          | CUSIP: 86362XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2943351 | PA      | $2714249.27   | 0.22%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                             | Terwin Mortgage Trust 2006-7                                                     | CUSIP: 88156PAZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7541850 | PA      | $3312717.82   | 0.26%             | 2037-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL2Trust                                                              | CUSIP: 12656TAB4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    3599931 | PA      | $3108360.04   | 0.25%             | 2060-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR1                                                  | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12749049 | PA      | $12606617.96  | 1.00%             | 2038-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial          | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1                   | CUSIP: 52521GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2075724 | PA      | $1920172.68   | 0.15%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | SWAP/CDSWAP/CDS: (CDX.NA.HY.43 15-25%)                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |    3060000 | OU      | $274568.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GMO US Treasury Fund                              | GMO US Treasury Fund                                                             | CUSIP: 362013369<br>LEI: 0NIBQB0NDRTFX04R2J69 | Long             | EC               | RF                | US        |    2323242 | NS      | $11639443.41  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2018-COR3 Mortgage Trust                                                    | CUSIP: 12595VAD9<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   26327712 | PA      | $26034258.06  | 2.07%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                   | CUSIP: 674135DG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     439007 | PA      | $441158.63    | 0.04%             | 2028-05-15      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | SWAP/CDSWAP/CDS: (CMBX.NA.13.AA)                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    2000000 | OU      | $26784.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                     | Commonbond Student Loan Trust 2021-A-GS                                          | CUSIP: 20268WAA2<br>LEI: 5493005PJR3MYTKJFJ48 | Long             | ABS-O            | CORP              | US        |    2488933 | PA      | $2168544.67   | 0.17%             | 2052-03-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Daiwa Capital Markets America, Inc.               | REPO DAIWA                                                                       | CUSIP: 000000000<br>LEI: M67H5PRC0NQKM73ZAS82 | Long             | RA               | CORP              | US        |   88001109 | PA      | $88001109.00  | 7.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                    | Hyundai Auto Receivables Trust 2024-A                                            | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6134602 | PA      | $6185349.06   | 0.49%             | 2029-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-26

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer