# EDGAR Filing Document

**Accession Number:** 0001612930
**File Stem:** 0001193125-25-219181
**Filing Date:** 2025-9
**Character Count:** 452505
**Document Hash:** 593cfb18fba1b9ec8f5b6bb768ee4d0a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-219181.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0001193125-25-219181

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Angel Oak Funds Trust
- **CENTRAL INDEX KEY:** 0001612930

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22980
- **FILM NUMBER:** 251345986

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Atlanta

  - **State:** GA

  - **Foreign country:** US

  - **Zip / Postal Code:** 30326

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2025-07-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3032884217.33

**Total Liabilities:** $337331618.08

**Net Assets:** $2695552599.25

**Delayed Delivery Securities:** $153227892.09

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2305.277816147694 | **1-Year:** 26933.192649186620 | **5-Year:** -51576.041098800200 | **10-Year:** 329600.538156279400 | **30-Year:** 59399.761574568510

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

- **3-Month:** 5714.617851570836 | **1-Year:** 79263.950853763470 | **5-Year:** 215502.933492879500 | **10-Year:** 222075.205756945500 | **30-Year:** 74210.774567782240

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152733 | -0.12%               | 1.25%                | 0.22%                |
| Class ID C000152734 | -0.10%               | 1.28%                | 0.25%                |
| Class ID C000159180 | -0.19%               | 1.20%                | 0.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8447831.04             | $-7109300.55                               |
| Month 2  | $-1336230.25             | $26274288.95                               |
| Month 3  | $-20320571.75            | $11944737.85                               |

**Designated Index Information**

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

- **Index Identifier:** Q3RXYJ7DJO

### Schedule of Portfolio Investments

| Name                             | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Anchorage Credit Funding Ltd.    | Anchorage Credit Funding 9 Ltd                                                   | CUSIP: 03330HBN6<br>LEI: 549300SMHL6F6G4VTM11 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6498520.00   | 0.24%             | 2037-10-25      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.    | Anchorage Credit Funding 9 Ltd                                                   | CUSIP: 03330HBS5<br>LEI: 549300SMHL6F6G4VTM11 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2790495.00   | 0.10%             | 2037-10-25      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.    | Anchorage Credit Funding 8 Ltd                                                   | CUSIP: 03331XAJ0<br>LEI: 549300XI0H54XLMCG667 | Long             | ABS-CBDO         | CORP              | KY        |   9350000 | PA      | $8731665.80   | 0.32%             | 2037-07-25      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| AGNC INVESTMENT CORP             | AGNC Investment Corp                                                             | CUSIP: 00123Q807<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     66529 | NS      | $1709130.01   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2023-B                                         | CUSIP: 00792FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $804092.80    | 0.03%             | 2028-09-15      | Fixed         | 11.32%                | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-X2                                        | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9712 | PA      | $410777.63    | 0.02%             | 2029-12-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $906719.13    | 0.03%             | 2029-02-15      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3381411.61   | 0.13%             | 2029-02-15      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6440000 | PA      | $6500385.30   | 0.24%             | 2029-02-15      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                       | Affirm Asset Securitization Trust 2024-X1                                        | CUSIP: 00834XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10885 | PA      | $161227.03    | 0.01%             | 2029-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RKJ2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1267358.75   | 0.05%             | 2028-04-20      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS D         | Axalta Coating Systems Dutch Holding B BV                                        | CUSIP: 05455JAA5<br>LEI: 5493007DMEBZH3CQ5E51 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $624711.60    | 0.02%             | 2031-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC              | Axon Enterprise Inc                                                              | CUSIP: 05464CAD3<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1232364.31   | 0.05%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| B&G FOODS INC                    | B&G Foods Inc                                                                    | CUSIP: 05508WAC9<br>LEI: 549300TRW1LZMDJZAQ78 | Long             | DBT              | CORP              | US        |    390000 | PA      | $365138.47    | 0.01%             | 2028-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Commercial Mortgage Securities Trust 2024-NASH                             | CUSIP: 05555CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2413092.00   | 0.09%             | 2039-05-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                    | Ballyrock CLO 21 Ltd                                                             | CUSIP: 05874JAU4<br>LEI: 254900FOV48Z8K26JH50 | Long             | ABS-CBDO         | CORP              | JE        |   1220000 | PA      | $1219156.98   | 0.05%             | 2037-10-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo   | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116442 | PA      | $65229.43     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-2 Trust                                             | CUSIP: 05951GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1888508 | PA      | $1382939.31   | 0.05%             | 2037-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-C Trust                                             | CUSIP: 059522AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1590884 | PA      | $1479301.33   | 0.05%             | 2047-05-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-A Trust                                             | CUSIP: 05952DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640171 | PA      | $564451.72    | 0.02%             | 2047-02-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2007-8 Trust                                             | CUSIP: 05953LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2741087 | PA      | $2144220.87   | 0.08%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor   | Banc of America Funding 2014-R1 Trust                                            | CUSIP: 05990MAB8<br>LEI: 549300JQM1BUDI007938 | Long             | ABS-MBS          | CORP              | US        |   3446121 | PA      | $3289346.19   | 0.12%             | 2037-06-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| SAVANNAH GRAND                   | SAVANNAH GRAND                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3111177 | PA      | $3105491.09   | 0.12%             | 2026-03-31      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829796 | PA      | $32298.16     | 0.00%             | 2035-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-7                                           | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3059738 | PA      | $2407322.59   | 0.09%             | 2035-03-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6458601 | PA      | $64.59        | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ7                                     | CUSIP: 36262CBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7153798 | PA      | $5484037.05   | 0.20%             | 2052-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 740858516 | PA      | $708260.74    | 0.03%             | 2051-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ6                                     | CUSIP: 36262LBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5195369 | PA      | $3976727.80   | 0.15%             | 2051-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3638972 | PA      | $2668454.66   | 0.10%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ8                                     | CUSIP: 36262WBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1237000 | PA      | $592565.06    | 0.02%             | 2052-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $895936.50    | 0.03%             | 2052-02-26      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3174707 | PA      | $2507538.90   | 0.09%             | 2052-02-26      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ9                                     | CUSIP: 36263CBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195441 | PA      | $820282.71    | 0.03%             | 2052-02-26      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $648507.60    | 0.02%             | 2052-04-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3617189 | PA      | $2818662.34   | 0.10%             | 2052-06-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-GR1                                     | CUSIP: 36266TCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1135680 | PA      | $839644.37    | 0.03%             | 2052-06-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19057500 | PA      | $13031499.44  | 0.48%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12675489 | PA      | $465798.86    | 0.02%             | 2052-06-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4543863 | PA      | $3699740.39   | 0.14%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4689665 | PA      | $3636244.43   | 0.13%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-LTV2                                    | CUSIP: 36266VBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    732703 | PA      | $533700.82    | 0.02%             | 2052-06-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-PJ6                                     | CUSIP: 36268FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2529205 | PA      | $2563819.39   | 0.10%             | 2054-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-PJ4                                     | CUSIP: 36270XAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2580919 | PA      | $2580900.69   | 0.10%             | 2054-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2023-CCM1                                    | CUSIP: 362918AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2293905.00   | 0.09%             | 2053-08-25      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2022-PJ3                                     | CUSIP: 362924AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4039031 | PA      | $3251637.68   | 0.12%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                 | Sculptor CLO XXVI Ltd                                                            | CUSIP: 81124TAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2603341.00   | 0.10%             | 2038-01-20      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                  | Sealed Air Corp                                                                  | CUSIP: 812127AC2<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |    300000 | PA      | $309266.10    | 0.01%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORP                     | Seaspan Corp                                                                     | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |    950000 | PA      | $905437.40    | 0.03%             | 2029-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UPBOUND GROUP INC                | Upbound Group Inc                                                                | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2050372.95   | 0.08%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-3                                       | CUSIP: 85573JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5170000 | PA      | $3856659.73   | 0.14%             | 2056-06-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-5                                       | CUSIP: 85573QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6879784 | PA      | $6018029.35   | 0.22%             | 2066-09-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-6                                       | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3921000 | PA      | $2856444.58   | 0.11%             | 2066-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                  | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1168425.00   | 0.04%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS         | Univision Communications Inc                                                     | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    800000 | PA      | $822529.60    | 0.03%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2023-1                                                          | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618080 | PA      | $1617453.94   | 0.06%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2022-1                                                          | CUSIP: 91530PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8515137 | PA      | $8491899.05   | 0.32%             | 2035-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                 | Unlock Hea Trust 2022-1                                                          | CUSIP: 91530PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9620570.00   | 0.36%             | 2035-09-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust   | Upgrade Master Pass-Thru Trust Series 2021-PT2                                   | CUSIP: 91531XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    352851 | PA      | $342981.02    | 0.01%             | 2027-05-15      | Variable      | 34.05%                | No            |                  2 | On Loan: No      |
| Upgrade Receivables Trust        | Upgrade Receivables Trust 2024-1                                                 | CUSIP: 91533NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1017739.60   | 0.04%             | 2031-02-18      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST4                                       | CUSIP: 91534HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $138853.04    | 0.01%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-3                                              | CUSIP: 91678W109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25442 | PA      | $10966.59     | 0.00%             | 2030-01-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2019-1                                              | CUSIP: 91679K104<br>LEI: 5493001JGB0VWKP2NJ75 | Long             | ABS-O            | CORP              | US        |     20143 | PA      | $247360.47    | 0.01%             | 2026-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST4                                       | CUSIP: 91679VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8452371 | PA      | $268860.43    | 0.01%             | 2026-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2020-ST5                                       | CUSIP: 91679XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $437768.01    | 0.02%             | 2027-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series                                                | CUSIP: 91680UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $381094.20    | 0.01%             | 2030-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST6                                       | CUSIP: 91680VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9416000 | PA      | $1530381.87   | 0.06%             | 2027-08-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST3                                       | CUSIP: 91681PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11400000 | PA      | $873339.93    | 0.03%             | 2027-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST7                                       | CUSIP: 91683KAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $224752.91    | 0.01%             | 2029-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST8                                       | CUSIP: 91683LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $472081.19    | 0.02%             | 2029-10-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2021-ST9                                       | CUSIP: 91683MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1629000 | PA      | $419048.52    | 0.02%             | 2029-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust       | Upstart Pass-Through Trust Series 2022-ST1                                       | CUSIP: 91683NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $825142.50    | 0.03%             | 2030-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION         | Vertiv Group Corp                                                                | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    400000 | PA      | $389379.88    | 0.01%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-4                                                | CUSIP: 92540UAG2<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2638737.40   | 0.10%             | 2070-05-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-4                                                | CUSIP: 92540UAH0<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1834275.20   | 0.07%             | 2070-05-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XXXII Ltd                                                           | CUSIP: 89642NAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8500000.00   | 0.32%             | 2038-07-23      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TX Trust 24-HOU                  | TX Trust 2024-HOU                                                                | CUSIP: 90216DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500213.50    | 0.02%             | 2039-06-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV2                                                     | CUSIP: 90354TBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2017582 | PA      | $1575725.81   | 0.06%             | 2051-09-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FS BANCORP INC                   | FS Bancorp Inc                                                                   | CUSIP: 30263YAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $978542.70    | 0.04%             | 2031-02-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF58 Mortgage Trust                                                   | CUSIP: 302986AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182007 | PA      | $1177224.68   | 0.04%             | 2026-01-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2017-KF41 Mortgage Trust                                                   | CUSIP: 30306KAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600479 | PA      | $592378.22    | 0.02%             | 2025-11-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13120660 | PA      | $12799741.86  | 0.47%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CWYT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2855860 | PA      | $2780653.95   | 0.10%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CYQ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6934846 | PA      | $6918549.10   | 0.26%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CYR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2448937 | PA      | $2389038.67   | 0.09%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CYR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5183233 | PA      | $5053217.00   | 0.19%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133WAZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4474951 | PA      | $4255369.32   | 0.16%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR              | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI4            | CUSIP: 3137G1DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9064602 | PA      | $6522189.60   | 0.24%             | 2048-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 31427M4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3982730 | PA      | $4100754.34   | 0.15%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3142GRSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5650098 | PA      | $5737019.40   | 0.21%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    900000 | PA      | $938841.11    | 0.03%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD            | Freedom Mortgage Holdings LLC                                                    | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    650000 | PA      | $665398.50    | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust             | FREMF 2019-KF64 Mortgage Trust                                                   | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487563 | PA      | $2482881.70   | 0.09%             | 2026-06-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-5                                                    | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1310797 | PA      | $1210472.48   | 0.04%             | 2047-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3271188 | PA      | $610001.28    | 0.02%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust           | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341ZV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1871202 | PA      | $1645557.76   | 0.06%             | 2035-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2025-PJ5                                     | CUSIP: 36272DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7831026 | PA      | $7763021.76   | 0.29%             | 2055-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ8                                     | CUSIP: 36272LCS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1734000 | PA      | $1359761.18   | 0.05%             | 2055-02-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC    | UWM Mortgage Trust 2021-INV1                                                     | CUSIP: 90354XBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1538301 | PA      | $1176887.84   | 0.04%             | 2051-08-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                     | VT Topco Inc                                                                     | CUSIP: 91838PAA9<br>LEI: 5493007T812R37X02Y38 | Long             | DBT              | CORP              | US        |   2040000 | PA      | $2174499.24   | 0.08%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105917.20    | 0.00%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC         | Vistra Operations Co LLC                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1247606.40   | 0.05%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAU8<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $2748074.78   | 0.10%             | 2031-01-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                     | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1753808.00   | 0.07%             | 2031-04-19      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                    | CUSIP: 92922FJ66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13060181 | PA      | $75997.19     | 0.00%             | 2045-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2004-AR10 Trust                   | CUSIP: 92922FXD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6889220 | PA      | $537.36       | 0.00%             | 2044-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WALKER & DUNLOP INC              | Walker & Dunlop Inc                                                              | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $612279.00    | 0.02%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  51325155 | PA      | $3284.81      | 0.00%             | 2047-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer   | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  56227603 | PA      | $14956.54     | 0.00%             | 2047-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd          | Warwick Capital CLO 6 Ltd                                                        | CUSIP: 93656EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.07%             | 2038-07-20      | Fixed         | 8.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage   | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust   | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       193 | PA      | $150.39       | 0.00%             | 2033-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2597304 | PA      | $2356816.64   | 0.09%             | 2035-07-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR8 Trust | CUSIP: 93935LAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10285355 | PA      | $124627.64    | 0.00%             | 2046-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas   | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA4 Trust | CUSIP: 93936MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17545175 | PA      | $54319.86     | 0.00%             | 2047-04-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                | Wellfleet CLO 2015-1 Ltd                                                         | CUSIP: 94949QAE9<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |   4900000 | PA      | $490.00       | 0.00%             | 2029-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                    | PRA Group Inc                                                                    | CUSIP: 69354NAD8<br>LEI: 549300Q5HW3JSSB86K27 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1479696.32   | 0.05%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF1 LLC                                                               | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1394361 | PA      | $1364789.57   | 0.05%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF1 LLC                                                               | CUSIP: 693581AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $952004.00    | 0.04%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF1 LLC                                                               | CUSIP: 693581AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1179303.75   | 0.04%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-RPL4                                    | CUSIP: 362948AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3303055.00   | 0.12%             | 2061-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2025-RPL3                                    | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4695939 | PA      | $4532496.55   | 0.17%             | 2065-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3691890.00   | 0.14%             | 2067-08-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-5 LLC                                                                  | CUSIP: 69381KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2838546 | PA      | $2860678.46   | 0.11%             | 2029-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | Pret 2024-NPL6 LLC                                                               | CUSIP: 69381QAA4<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |   3491645 | PA      | $3492179.06   | 0.13%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2025-RPL2 Trust                                                             | CUSIP: 69392LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7558072.00   | 0.28%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150672 | PA      | $1105121.08   | 0.04%             | 2051-03-25      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1720797 | PA      | $1326502.06   | 0.05%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2025-RCF3 LLC                                                               | CUSIP: 69392PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2215963.20   | 0.08%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RCF2 LLC                                                               | CUSIP: 693987AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1881502.00   | 0.07%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1720797 | PA      | $952022.25    | 0.04%             | 2051-11-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-8                                                  | CUSIP: 46592TCD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2934878 | PA      | $2265273.64   | 0.08%             | 2051-12-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust          | PowerPay Issuance Trust 2024-1                                                   | CUSIP: 73934RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $515240.85    | 0.02%             | 2039-02-18      | Fixed         | 8.46%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus   | Prestige Auto Receivables Trust 2024-1                                           | CUSIP: 74113QAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6682000 | PA      | $6939166.79   | 0.26%             | 2031-04-15      | Fixed         | 7.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14890150 | PA      | $14729128.11  | 0.55%             | 2053-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-6                                                | CUSIP: 465989AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1551599 | PA      | $1292698.98   | 0.05%             | 2053-12-26      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor   | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                    | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $1438297.00   | 0.05%             | 2031-04-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Wealth Management 2020-ATR1                                             | CUSIP: 46652HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2924416 | PA      | $2531108.10   | 0.09%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2024-NPL7 LLC                                                               | CUSIP: 74136TAA6<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |   1813773 | PA      | $1819809.09   | 0.07%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne   | PRET 2024-NPL4 LLC                                                               | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-MBS          | CORP              | US        |    869278 | PA      | $870296.18    | 0.03%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-6                                                  | CUSIP: 46653PCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3509845 | PA      | $2697688.08   | 0.10%             | 2051-10-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-14                                               | CUSIP: 46653QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5979987 | PA      | $4839669.00   | 0.18%             | 2052-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust       | Progress Residential 2023-SFR2 Trust                                             | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $772630.40    | 0.03%             | 2040-10-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prosper Marketplace Issuance T   | Prosper Marketplace Issuance Trust Series 2024-1                                 | CUSIP: 74363CAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2083047.20   | 0.08%             | 2029-08-15      | Fixed         | 10.98%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G4B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17362417 | PA      | $35697.13     | 0.00%             | 2035-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8430784 | PA      | $6940398.71   | 0.26%             | 2052-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2021-15                                               | CUSIP: 46654TCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4904866 | PA      | $3907299.82   | 0.14%             | 2052-06-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-2 LLC                                                                  | CUSIP: 74448BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775802 | PA      | $788741.97    | 0.03%             | 2029-03-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-7 LLC                                                                  | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2560979 | PA      | $2569788.45   | 0.10%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13828027 | PA      | $10704054.60  | 0.40%             | 2052-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2023-8                                                | CUSIP: 46657CAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3022004 | PA      | $2573928.42   | 0.10%             | 2054-02-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                | PRPM 2024-RPL4 LLC                                                               | CUSIP: 74448MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2936000 | PA      | $2747039.04   | 0.10%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding         | Purchasing Power Funding 2024-A LLC                                              | CUSIP: 745935AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $602041.20    | 0.02%             | 2028-08-15      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-4                                           | CUSIP: 46657WBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2997274 | PA      | $2784141.20   | 0.10%             | 2054-10-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-6                                           | CUSIP: 46657YBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512639 | PA      | $2156593.22   | 0.08%             | 2054-12-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G4C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1611714 | PA      | $290967.48    | 0.01%             | 2035-10-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-41                                                   | CUSIP: 12667GS46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3365545 | PA      | $6367.61      | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Purchasing Power Funding         | Purchasing Power Funding 2024-A LLC                                              | CUSIP: 745935AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $404625.20    | 0.02%             | 2028-08-15      | Fixed         | 10.18%                | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC            | Quikrete Holdings Inc                                                            | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    950000 | PA      | $974951.07    | 0.04%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12065031 | PA      | $830677.38    | 0.03%             | 2035-11-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510565.80    | 0.02%             | 2032-08-20      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-B                                           | CUSIP: 76042GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5090000 | PA      | $5224237.04   | 0.19%             | 2037-11-20      | Fixed         | 8.83%                 | No            |                  2 | On Loan: No      |
| PRIMIS FINANCIAL CORP            | Primis Financial Corp                                                            | CUSIP: 843395AA2<br>LEI: 549300JNX3M2EENG1F11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $984212.13    | 0.04%             | 2027-01-31      | Variable      | 8.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-6                                           | CUSIP: 46657YBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795000 | PA      | $1484272.94   | 0.06%             | 2054-12-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-8                                           | CUSIP: 46658GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2611000 | PA      | $2262864.93   | 0.08%             | 2055-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | J.P. Morgan Mortgage Trust 2024-10                                               | CUSIP: 46658LBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2843931 | PA      | $1922278.37   | 0.07%             | 2055-03-25      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-5                                           | CUSIP: 46658RBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2605974 | PA      | $2437847.18   | 0.09%             | 2054-11-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust Series 2024-5                                           | CUSIP: 46658RBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2366000 | PA      | $1981799.46   | 0.07%             | 2054-11-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Jackson Park Trust               | Jackson Park Trust 2019-LIC                                                      | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4269910.00   | 0.16%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JAX BANCP STAT TRUST III         | Jacksonville Bancorp Inc Statutory Trust III                                     | CUSIP: 469249AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1147318.16   | 0.04%             | 2038-09-15      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                | Jamestown CLO XI Ltd                                                             | CUSIP: 47049QAC0<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1204060.80   | 0.04%             | 2031-07-14      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN          | Jane Street Group / JSG Finance Inc                                              | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $512030.50    | 0.02%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN LLC / JFIN         | Jefferies Finance LLC / JFIN Co-Issuer Corp                                      | CUSIP: 47232MAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $896510.16    | 0.03%             | 2031-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDIN         | Jefferson Capital Holdings LLC                                                   | CUSIP: 472481AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    730000 | PA      | $771047.20    | 0.03%             | 2029-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL   | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 48128U2S7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1111777 | PA      | $1114295.24   | 0.04%             | 2028-12-26      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                  | Katayma CLO I Ltd                                                                | CUSIP: 48585KAA5<br>LEI: 254900I6JJYMZNFX8987 | Long             | ABS-CBDO         | CORP              | JE        |   4500000 | PA      | $4515610.50   | 0.17%             | 2036-10-20      | Floating      | 12.47%                | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP              | Kinetik Holdings LP                                                              | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    600000 | PA      | $601037.40    | 0.02%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Kinetic Advantage Master Owner   | Kinetic Advantage Master Owner Trust                                             | CUSIP: 49462DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $752019.90    | 0.03%             | 2027-11-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Kingstone Cos Inc                | Kingstone Cos Inc                                                                | CUSIP: 496719105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     61996 | NS      | $1016114.43   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| KNIFE RIVER CORP                 | Knife River Corp                                                                 | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $630143.40    | 0.02%             | 2031-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| LBA Trust                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6524505.00   | 0.24%             | 2039-06-15      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| LBA Trust                        | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1406594.00   | 0.05%             | 2039-06-15      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| LD HOLDINGS GROUP LLC            | LD Holdings Group LLC                                                            | CUSIP: 521088AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $429224.35    | 0.02%             | 2028-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust      | Legacy Mortgage Asset Trust 2021-GS3                                             | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4286233 | PA      | $4320591.88   | 0.16%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15566 | PA      | $11366.48     | 0.00%             | 2037-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                | MFA Financial Inc                                                                | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52942 | NS      | $1298667.26   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                       | MFA 2021-INV2 Trust                                                              | CUSIP: 552732AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3390948.00   | 0.13%             | 2056-11-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4106000 | PA      | $3486712.55   | 0.13%             | 2060-07-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFA 2021-RPL1 Trust                                                              | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3790840.50   | 0.14%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                       | MFRA 2024-NQM3 Trust                                                             | CUSIP: 55287GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4337513 | PA      | $4377187.80   | 0.16%             | 2069-12-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2006-AF1                           | CUSIP: 59023RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626259 | PA      | $646353.53    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                    | Methanex Corp                                                                    | CUSIP: 59151KAL2<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |    305000 | PA      | $302360.59    | 0.01%             | 2029-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC            | Molina Healthcare Inc                                                            | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |    350000 | PA      | $345755.62    | 0.01%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2025-1                                                  | CUSIP: 608931AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4834097 | PA      | $4836367.53   | 0.18%             | 2043-06-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $403902.92    | 0.01%             | 2045-03-20      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| Momnt Technologies Trust         | Momnt Technologies Trust 2023-1                                                  | CUSIP: 608934AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $904431.06    | 0.03%             | 2045-03-20      | Fixed         | 11.24%                | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                       | CUSIP: 61690KAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $46453.00     | 0.00%             | 2046-02-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust     | Morgan Stanley Resecuritization Trust 2015-R4                                    | CUSIP: 61690WBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010309 | PA      | $900292.41    | 0.03%             | 2047-08-26      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-3AR                                      | CUSIP: 61748HWQ0<br>LEI: 549300YJ31JU8NE4ZK72 | Long             | ABS-MBS          | CORP              | US        |  13237243 | PA      | $384528.66    | 0.01%             | 2036-03-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T   | Morgan Stanley Mortgage Loan Trust 2006-5AR                                      | CUSIP: 61748HYR6<br>LEI: 549300T1OKVUI6WNLP63 | Long             | ABS-MBS          | CORP              | US        |  13928251 | PA      | $72162.27     | 0.00%             | 2036-04-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |  11483049 | PA      | $10184086.45  | 0.38%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc       | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAD4<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |   1653559 | PA      | $1443198.23   | 0.05%             | 2037-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2014-150E                                         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3040000 | PA      | $2696145.60   | 0.10%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    754216 | PA      | $433307.45    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988000 | PA      | $495940.10    | 0.02%             | 2051-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-3                            | CUSIP: 61772CBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093000 | PA      | $543376.21    | 0.02%             | 2051-06-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-4                            | CUSIP: 61772MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $630525.12    | 0.02%             | 2051-07-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust   | Morgan Stanley Capital I Trust 2024-BPR2                                         | CUSIP: 61776EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2667815 | PA      | $2757703.96   | 0.10%             | 2029-05-05      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-3                                              | CUSIP: 69547GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3344196.70   | 0.12%             | 2032-12-15      | Fixed         | 12.63%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-2                                              | CUSIP: 69548YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2999685 | PA      | $3062351.92   | 0.11%             | 2032-10-15      | Fixed         | 10.89%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-2                                              | CUSIP: 69548YAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    999895 | PA      | $953146.88    | 0.04%             | 2032-10-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 721283AB5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |    225000 | PA      | $242233.20    | 0.01%             | 2031-01-31      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                   | Pikes Peak CLO 5                                                                 | CUSIP: 72133QAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $975817.00    | 0.04%             | 2037-10-20      | Floating      | 12.15%                | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                   | Pikes Peak CLO 14 2023 Ltd                                                       | CUSIP: 72134CAU5<br>LEI: 213800AO7LGLGDRRY278 | Long             | ABS-CBDO         | CORP              | JE        |   2500000 | PA      | $2499907.50   | 0.09%             | 2038-07-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                   | PMT Loan Trust 2025-INV4                                                         | CUSIP: 73015DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4937625.00   | 0.18%             | 2056-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5213750 | PA      | $4887113.78   | 0.18%             | 2052-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3153250 | PA      | $2920164.91   | 0.11%             | 2052-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2011000 | PA      | $1846431.83   | 0.07%             | 2052-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2309200 | PA      | $2177887.34   | 0.08%             | 2052-02-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  96526895 | PA      | $1093746.25   | 0.04%             | 2052-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-FIG4                                | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4673605 | PA      | $4790272.52   | 0.18%             | 2053-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-FIG3                                | CUSIP: 79582AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2909232 | PA      | $2973947.94   | 0.11%             | 2053-08-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9626810 | PA      | $9607470.20   | 0.36%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                | CUSIP: 79582BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1243541.25   | 0.05%             | 2030-01-25      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2023-SEQ3                                | CUSIP: 79582GAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4301076.50   | 0.16%             | 2053-06-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-MF1                                 | CUSIP: 79582KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7042013 | PA      | $6749952.86   | 0.25%             | 2029-11-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Fund Trust 2022-SG2                                                 | CUSIP: 79583QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $14992875.00  | 0.56%             | 2052-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79584QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38061600 | PA      | $35767094.51  | 1.33%             | 2052-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2025-NPL2                                | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7116061 | PA      | $7161077.56   | 0.27%             | 2030-05-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin   | Santander Bank Auto Credit-Linked Notes Series 2024-A                            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1218026 | PA      | $1235151.30   | 0.05%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| LEAVENWORTH US                   | LEAVENWORTH US                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     29450 | NS      | $2954424.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust   | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1378810.50   | 0.05%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust   | CFMT 2024-NR1 LLC                                                                | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5628644 | PA      | $5698844.12   | 0.21%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N2                                           | CUSIP: 14686LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4259160.00   | 0.16%             | 2030-04-10      | Fixed         | 9.94%                 | No            |                  2 | On Loan: No      |
| ACC Trust                        | ACC Trust 2022-1                                                                 | CUSIP: 00091HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $20983.50     | 0.00%             | 2028-10-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N3                                           | CUSIP: 14686RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4263459.20   | 0.16%             | 2030-09-10      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N4                                           | CUSIP: 14687HAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13250630 | PA      | $12894735.11  | 0.48%             | 2028-09-11      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                   | ACHV ABS Trust 2024-3AL                                                          | CUSIP: 00092KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1732313.10   | 0.06%             | 2031-12-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC         | Acadia Healthcare Co Inc                                                         | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2783286.90   | 0.10%             | 2033-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust   | Adjustable Rate Mortgage Trust 2007-2                                            | CUSIP: 00703AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580589 | PA      | $1293122.25   | 0.05%             | 2037-06-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| ADVANCED DRAINAGE SYSTEM         | Advanced Drainage Systems Inc                                                    | CUSIP: 00790RAB0<br>LEI: 6QQTOZ5MF5DHM7K92I60 | Long             | DBT              | CORP              | US        |    600000 | PA      | $609603.88    | 0.02%             | 2030-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-P5                                           | CUSIP: 14687RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3256000 | PA      | $3446284.55   | 0.13%             | 2030-12-10      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2023-N1                                           | CUSIP: 14688FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5379721.00   | 0.20%             | 2030-04-10      | Fixed         | 10.46%                | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3265817.75   | 0.12%             | 2042-02-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Commercial Mortgage Securities Trust 2024-NASH                             | CUSIP: 05555CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $794381.60    | 0.03%             | 2039-05-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch    | BAMLL Commercial Mortgage Securities Trust 2024-NASH                             | CUSIP: 05555CAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $397154.80    | 0.01%             | 2039-05-15      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2024-PALM                                                                     | CUSIP: 05612UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038462 | PA      | $1038917.42   | 0.04%             | 2037-06-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2024-P2                                           | CUSIP: 14688PAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432000 | PA      | $443096.65    | 0.02%             | 2031-06-10      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust           | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2739114.00   | 0.10%             | 2046-02-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| COLUMBIA BANKING SYSTEM          | Columbia Banking System Inc                                                      | CUSIP: 061591AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2494534.10   | 0.09%             | 2025-12-10      | Variable      | 9.85%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2021-NQM3                                        | CUSIP: 105690AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1513164 | PA      | $1404837.67   | 0.05%             | 2060-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur   | Bridgecrest Lending Auto Securitization Trust 2025-3                             | CUSIP: 107920AG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2750007.15   | 0.10%             | 2032-05-17      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur   | Bridgecrest Lending Auto Securitization Trust 2023-1                             | CUSIP: 108056AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8904724.00   | 0.33%             | 2030-07-15      | Fixed         | 10.37%                | No            |                  2 | On Loan: No      |
| BROOKLINE BANCORP INC            | Brookline Bancorp Inc                                                            | CUSIP: 11373MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $990620.81    | 0.04%             | 2029-09-15      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| Builders Capital Loan Acquisit   | Builders Capital Loan Acquisition Trust 2024-NPL1                                | CUSIP: 12007KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5083150.00   | 0.19%             | 2029-09-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX 2025-BIO3 Mortgage Trust                                                      | CUSIP: 123911AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1734104.75   | 0.06%             | 2042-02-10      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                 | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAG8<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2011054.00   | 0.07%             | 2031-07-18      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2019-J1                                                                | CUSIP: 12556MCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613000 | PA      | $390881.33    | 0.01%             | 2049-08-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J2                                                                | CUSIP: 12564ECJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1506376 | PA      | $825994.43    | 0.03%             | 2051-04-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J1                                                                | CUSIP: 12564KCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1257149 | PA      | $659747.77    | 0.02%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2021-J3                                                                | CUSIP: 12565VDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281000 | PA      | $615051.65    | 0.02%             | 2051-06-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| CHAMP ACQUISITION CORP           | Champ Acquisition Corp                                                           | CUSIP: 15807XAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $636267.00    | 0.02%             | 2031-12-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $800914.40    | 0.03%             | 2037-05-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A6                               | CUSIP: 12566RAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69160 | PA      | $37525.73     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1615042 | PA      | $1405374.10   | 0.05%             | 2036-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing III LP                                                   | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12935000 | PA      | $12473224.38  | 0.46%             | 2027-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing LLC                                                      | CUSIP: 42806MAR0<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3827054.00   | 0.14%             | 2028-06-26      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64039 | PA      | $34404.66     | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2992721 | PA      | $2503976.77   | 0.09%             | 2037-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4085000 | PA      | $3471412.58   | 0.13%             | 2066-11-26      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2020-2R Mortgage Loan Trust                                                 | CUSIP: 12656GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3605000 | PA      | $3167032.16   | 0.12%             | 2065-10-26      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362000 | PA      | $2043196.14   | 0.08%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-6 Mortgage Loan Trust                                                  | CUSIP: 12662YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    969978 | PA      | $868815.87    | 0.03%             | 2067-06-27      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-7 Mortgage Loan Trust                                                  | CUSIP: 12663GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4452000 | PA      | $4411108.38   | 0.16%             | 2067-04-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| CIM Trust                        | CIM Trust 2025-NR1                                                               | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3190277 | PA      | $3166541.22   | 0.12%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                 | Cinemark USA Inc                                                                 | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1240194.00   | 0.05%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,    | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973R35<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |     27205 | PA      | $18765.61     | 0.00%             | 2035-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2462373 | PA      | $2186968.80   | 0.08%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN         | Clarios Global LP / Clarios US Finance Co                                        | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2063310.00   | 0.08%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLEAR STREET HOLDINGS            | Clear Street Holdings LLC                                                        | CUSIP: 18469LAA7<br>LEI: 254900NQWA30C6L3G919 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2000242.56   | 0.07%             | 2026-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CLEARWATER PAPER CORP            | Clearwater Paper Corp                                                            | CUSIP: 18538RAJ2<br>LEI: 549300HCVV19GXN4P292 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1320788.00   | 0.05%             | 2028-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC      | Hertz Vehicle Financing III LLC                                                  | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $835681.04    | 0.03%             | 2030-03-25      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3312230 | PA      | $3365460.54   | 0.12%             | 2047-04-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC             | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1856033.24   | 0.07%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION           | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1024985.00   | 0.04%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-2 Mortgage Loan Trust                                                  | CUSIP: 19685EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1405561.50   | 0.05%             | 2067-02-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-4 Mortgage Loan Trust                                                  | CUSIP: 19685GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535000 | PA      | $3145870.74   | 0.12%             | 2067-03-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1226290 | PA      | $1266370.30   | 0.05%             | 2047-04-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2659277 | PA      | $2785313.28   | 0.10%             | 2057-10-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT Funding LLC                                                                 | CUSIP: 19688DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2862000 | PA      | $2358184.97   | 0.09%             | 2064-12-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5510000 | PA      | $4080843.75   | 0.15%             | 2066-10-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850273 | PA      | $907889.48    | 0.03%             | 2057-10-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1633083 | PA      | $1698422.71   | 0.06%             | 2057-10-25      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4714000 | PA      | $4367379.58   | 0.16%             | 2067-03-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                 | COLT 2022-8 Mortgage Loan Trust                                                  | CUSIP: 19688MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1156100.40   | 0.04%             | 2067-08-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967559 | PA      | $1871792.13   | 0.07%             | 2050-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035441 | PA      | $1860012.15   | 0.07%             | 2050-02-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust              | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5483599.00   | 0.20%             | 2041-06-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC           | Comstock Resources Inc                                                           | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    450000 | PA      | $425153.25    | 0.02%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONCENTRA HEALTH SERVICE         | Concentra Health Services Inc                                                    | CUSIP: 20600DAA1<br>LEI: 984500GB84105F75DE32 | Long             | DBT              | CORP              | US        |    600000 | PA      | $617244.14    | 0.02%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAE6<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |    800000 | PA      | $783016.48    | 0.03%             | 2026-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                 | CIFC Funding 2019-VII Ltd                                                        | CUSIP: 27580XAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5013355.00   | 0.19%             | 2033-01-20      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| BRUNDAGE-BONE CONCRETE           | Brundage-Bone Concrete Pumping Holdings Inc                                      | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996395.70    | 0.04%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| A10 CAPITAL LLC                  | A10 Capital LLC                                                                  | CUSIP: 66982EAA0<br>LEI: 549300RXTK0PSG57BV49 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $989714.12    | 0.04%             | 2026-08-17      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                    | Coherent Corp                                                                    | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1860983.69   | 0.07%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    814076 | PA      | $728456.11    | 0.03%             | 2050-02-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | Chase Mortgage Finance Corp                                                      | CUSIP: 46591HCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159000 | PA      | $2017285.40   | 0.07%             | 2050-02-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM1 Trust                                                              | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981143 | PA      | $831187.35    | 0.03%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265602 | PA      | $905575.04    | 0.03%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97804 | PA      | $47332.13     | 0.00%             | 2036-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852022 | PA      | $724636.50    | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93126 | PA      | $43902.60     | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24887 | PA      | $14969.65     | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69292 | PA      | $41717.80     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA7 Trust                                                       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4331907 | PA      | $3867054.73   | 0.14%             | 2036-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1643172 | PA      | $1304190.90   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1637092 | PA      | $1299304.16   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QA9 Trust                                                       | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353175 | PA      | $715148.87    | 0.03%             | 2036-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A   | Research-Driven Pagaya Motor Asset Trust 2025-3                                  | CUSIP: 76091FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001616.80   | 0.04%             | 2034-02-27      | Fixed         | 11.09%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169523 | PA      | $110699.55    | 0.00%             | 2035-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QA13 Trust                                                      | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3053061 | PA      | $2706377.00   | 0.10%             | 2035-12-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245000 | PA      | $982117.91    | 0.04%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| XCAL 2019-IL-1 Mortgage Trust    | XCAL 2019-IL-1 MORTGAGE TRUST                                                    | CUSIP: 98370LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5129931 | PA      | $518.12       | 0.00%             | 2026-11-06      | Floating      | 20.08%                | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98370NAA3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   3950000 | PA      | $3939390.30   | 0.15%             | 2026-01-06      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98372NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2005956.00   | 0.07%             | 2025-12-06      | Floating      | 12.45%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426270 | PA      | $1257858.76   | 0.05%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118QB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222333 | PA      | $146280.95    | 0.01%             | 2035-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2005-QO5 Trust                                                       | CUSIP: 761118QQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19291554 | PA      | $1651858.64   | 0.06%             | 2046-01-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2116500 | PA      | $1740389.80   | 0.06%             | 2036-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAC4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299743.20    | 0.01%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAD2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3485559.00   | 0.13%             | 2025-09-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141880 | PA      | $955071.08    | 0.04%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAK6<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   1628000 | PA      | $162.80       | 0.00%             | 2025-11-01      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAN0<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3621300 | PA      | $1459220.85   | 0.05%             | 2026-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER                        | X-Caliber Funding LLC                                                            | CUSIP: 98373XAQ3<br>LEI: 549300GGW5CBE4FDT866 | Long             | ABS-MBS          | CORP              | US        |   1788000 | PA      | $1814576.83   | 0.07%             | 2026-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAU4<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |   3510418 | PA      | $3501354.15   | 0.13%             | 2026-03-06      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| X-CALIBER FUNDING LLC            | X-Caliber Funding LLC                                                            | CUSIP: 98373XAV2<br>LEI: 549300GGW5CBE4FDT866 | Long             | DBT              | CORP              | US        |    658203 | PA      | $655556.84    | 0.02%             | 2026-03-06      | Floating      | 13.08%                | No            |                  2 | On Loan: No      |
| XPO INC                          | XPO Inc                                                                          | CUSIP: 98379KAB8<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258872.80    | 0.01%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566148 | PA      | $565037.83    | 0.02%             | 2025-10-06      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-5 Mortgage Trust                                                      | CUSIP: 98401JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1321012 | PA      | $1314632.39   | 0.05%             | 2025-10-06      | Floating      | 12.70%                | No            |                  2 | On Loan: No      |
| x-caliber funding llc            | XCALI 2020-1 Mortgage Trust                                                      | CUSIP: 98402TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $117.86       | 0.00%             | 2026-04-06      | Floating      | 12.45%                | No            |                  2 | On Loan: No      |
| ZEBRA TECHNOLOGIES CORP          | Zebra Technologies Corp                                                          | CUSIP: 989207AD7<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512923.50    | 0.02%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp   | AMMC CLO 23 Ltd                                                                  | CUSIP: 00177JCC7<br>LEI: 549300ICO4ZE2FVC2Y46 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6000000.00   | 0.22%             | 2038-07-17      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                  | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1688013.30   | 0.06%             | 2041-05-17      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Arizona Biltmore Trust           | ARZ Trust 2024-BILT                                                              | CUSIP: 00218TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $874333.80    | 0.03%             | 2029-06-11      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AgoraCapital Auto Securities T   | AgoraCapital Auto Securities Trust 2025-1                                        | CUSIP: 008483AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2014252.80   | 0.07%             | 2032-11-25      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486184 | PA      | $3419.82      | 0.00%             | 2046-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank     | Huntington Bank Auto Credit-Linked Notes Series 2024-1                           | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1009484 | PA      | $1033590.75   | 0.04%             | 2032-05-20      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| ALA Trust                        | ALA Trust 2025-OANA                                                              | CUSIP: 009920AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1700146.20   | 0.06%             | 2040-06-15      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| ALA Trust                        | ALA Trust 2025-OANA                                                              | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1300106.60   | 0.05%             | 2040-06-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                  | Allegro CLO XIII Ltd                                                             | CUSIP: 01750WAY5<br>LEI: 254900E6QZJ305P65V74 | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8500000.00   | 0.32%             | 2038-07-20      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| ALLIANCE RES OP/FINANCE          | Alliance Resource Operating Partners LP / Alliance Resource Finance Corp         | CUSIP: 01879NAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $954135.90    | 0.04%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2005-3                                                    | CUSIP: 525221AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599699 | PA      | $1419022.33   | 0.05%             | 2035-09-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust            | Lehman Mortgage Trust 2007-9                                                     | CUSIP: 52522XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9929 | PA      | $7897.30      | 0.00%             | 2037-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust 2007-9                                                           | CUSIP: 52524MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13234387 | PA      | $132.34       | 0.00%             | 2037-04-25      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-12N                                                  | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1193908 | PA      | $1148626.72   | 0.04%             | 2047-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2024-1                                                    | CUSIP: 57108VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $511974.55    | 0.02%             | 2034-07-17      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2023-2                                                    | CUSIP: 57109LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23640000 | PA      | $24115736.09  | 0.89%             | 2033-06-15      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC          | American Axle & Manufacturing Inc                                                | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |    600000 | PA      | $544864.68    | 0.02%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2006-1                                       | CUSIP: 02660WAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12865414 | PA      | $95795.87     | 0.00%             | 2046-05-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm   | American Home Mortgage Investment Trust 2006-3                                   | CUSIP: 026929AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3172271 | PA      | $2688483.97   | 0.10%             | 2036-12-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets    | American Home Mortgage Assets Trust 2007-5                                       | CUSIP: 026936AU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11537884 | PA      | $124759.14    | 0.00%             | 2047-06-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2022-3                                                    | CUSIP: 57109NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3820000 | PA      | $3873877.66   | 0.14%             | 2032-11-15      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2023-1                                                    | CUSIP: 57110PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20477000 | PA      | $20896033.14  | 0.78%             | 2033-04-15      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                   | NRG Energy Inc                                                                   | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $405620.40    | 0.02%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554000 | PA      | $2432005.64   | 0.09%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050684<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  30000000 | PA      | $29202961.80  | 1.08%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052680<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  70000000 | PA      | $69640340.00  | 2.58%             | 2040-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac        | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35000000 | PA      | $35489232.80  | 1.32%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Heritage Auto Receiva   | American Heritage Auto Receivables Trust 2024-1                                  | CUSIP: 026944AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $766325.85    | 0.03%             | 2033-01-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 26 Ltd                                                     | CUSIP: 03331TAW0<br>LEI: 5493004K3H2URWHGJT03 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3260101.00   | 0.12%             | 2038-03-19      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| DCLI BIDCO LLC                   | Dcli Bidco LLC                                                                   | CUSIP: 233104AA6<br>LEI: 2549007UUVJTHHNK9T70 | Long             | DBT              | CORP              | US        |    600000 | PA      | $613030.80    | 0.02%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR1                                                | CUSIP: 23332UAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10453467 | PA      | $3658.71      | 0.00%             | 2044-09-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: 23332UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9857874 | PA      | $9108.68      | 0.00%             | 2044-11-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR4                                                | CUSIP: 23332UCG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9079042 | PA      | $535.66       | 0.00%             | 2045-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2021-NQM3                                    | CUSIP: 64831TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2729000 | PA      | $2233757.45   | 0.08%             | 2056-11-27      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz   | NRM FHT1 Excess Owner LLC                                                        | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1855850 | PA      | $1859236.86   | 0.07%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2007-AR1                                                | CUSIP: 23333YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30014189 | PA      | $24317616.32  | 0.90%             | 2047-04-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1203105.60   | 0.04%             | 2040-04-13      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD        | Anchorage Capital CLO 26 Ltd                                                     | CUSIP: 03331TAY6<br>LEI: 5493004K3H2URWHGJT03 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999426.00   | 0.07%             | 2038-03-19      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage-Backed Secu   | Angel Oak Mortgage-Backed Securities ETF                                         | CUSIP: 03463K737<br>LEI: 254900TSW167NT37XY19 | Long             | EC               | RF                | US        |   1224882 | NS      | $10490256.91  | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Angel Oak High Yield Opportuni   | Angel Oak High Yield Opportunities ETF                                           | CUSIP: 03463K745<br>LEI: 254900ZCII2VFW4OK231 | Long             | EC               | RF                | US        |   1575240 | NS      | $17461535.40  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Annaly Capital Management Inc    | Annaly Capital Management Inc                                                    | CUSIP: 035710839<br>LEI: 2DTL0G3FPRYUT58TI025 | Long             | EC               | CORP              | US        |     84833 | NS      | $1724654.89   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| DC Commercial Mortgage Trust     | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1204418.40   | 0.04%             | 2040-04-13      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-3                                      | CUSIP: 24381VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $3566127.00   | 0.13%             | 2066-08-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Anthelion CLO                    | Anthelion CLO 2025-1 Ltd                                                         | CUSIP: 03676GAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4500000.00   | 0.17%             | 2036-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI         | Antero Midstream Partners LP / Antero Midstream Finance Corp                     | CUSIP: 03690AAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1234615.20   | 0.05%             | 2032-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2021-2                                      | CUSIP: 24381WAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6528000 | PA      | $5204134.66   | 0.19%             | 2066-04-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4711200.00   | 0.17%             | 2067-07-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                   | Apidos CLO XLVI Ltd                                                              | CUSIP: 03769YAA8<br>LEI: 254900XSALC4GJ58ZP29 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2006924.00   | 0.07%             | 2036-10-24      | Floating      | 12.27%                | No            |                  2 | On Loan: No      |
| Aqua Finance Trust               | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2220000 | PA      | $2054537.63   | 0.08%             | 2046-07-17      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage   | Deephaven Residential Mortgage Trust 2022-1                                      | CUSIP: 24382JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4247565.00   | 0.16%             | 2067-01-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3423967 | PA      | $1761175.66   | 0.07%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo   | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4012148.00   | 0.15%             | 2041-01-20      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP/FIN         | Archrock Partners LP / Archrock Partners Finance Corp                            | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $609423.60    | 0.02%             | 2032-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NEXBANK CAPITAL INC              | NexBank Capital Inc                                                              | CUSIP: 65341TAG2<br>LEI: 549300H29S945S4X7A03 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $948109.52    | 0.04%             | 2032-07-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                | Nexstar Media Inc                                                                | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399473.68    | 0.01%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC    | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2253122 | PA      | $2050640.74   | 0.08%             | 2036-06-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4763519 | PA      | $4514625.21   | 0.17%             | 2047-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust   | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4522153.50   | 0.17%             | 2041-07-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust   | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4518616.50   | 0.17%             | 2041-07-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17754616 | PA      | $177.55       | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10555252 | PA      | $105.55       | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                     | Ares LVIII CLO Ltd                                                               | CUSIP: 04018ABJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3009591.00   | 0.11%             | 2038-04-15      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| ARIS WATER HOLDINGS LLC          | Aris Water Holdings LLC                                                          | CUSIP: 04041NAA0<br>LEI: 5493007AWQW8ZKCHVV46 | Long             | DBT              | CORP              | US        |    450000 | PA      | $461874.60    | 0.02%             | 2030-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust    | Nomura Resecuritization Trust 2014-3R                                            | CUSIP: 65540LCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3447020 | PA      | $2749781.00   | 0.10%             | 2037-03-26      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP              | NOVA Chemicals Corp                                                              | CUSIP: 66977WAT6<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $210282.60    | 0.01%             | 2028-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec   | Arivo Acceptance Auto Loan Receivables Trust 2022-1                              | CUSIP: 04047EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $490177.15    | 0.02%             | 2029-09-17      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust            | Arroyo Mortgage Trust 2022-1                                                     | CUSIP: 042855AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1492290.00   | 0.06%             | 2056-12-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2906229.00   | 0.11%             | 2064-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL1 Trust                                                             | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3331156.50   | 0.12%             | 2064-04-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-J2 Trust                                                                | CUSIP: 670861AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1519487 | PA      | $1219637.55   | 0.05%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                  | Oaktree CLO 2022-2 Ltd                                                           | CUSIP: 67402RBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10051930.00  | 0.37%             | 2037-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA10                                                 | CUSIP: 02146QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18407893 | PA      | $15609.89     | 0.00%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                   | BCAP LLC 2013-RR1 Trust                                                          | CUSIP: 05490BBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2738135 | PA      | $1747195.46   | 0.06%             | 2036-05-26      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| BCC Middle Market CLO            | BCC Middle Market CLO 2023-2 LLC                                                 | CUSIP: 05554QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $10029040.00  | 0.37%             | 2035-10-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| BANKGUAM HOLDING CO              | BankGuam Holding Co                                                              | CUSIP: 06644AAB2<br>LEI: 549300UZSAYMXQIF8W75 | Long             | SN               | CORP              | GU        |   2000000 | PA      | $1906397.72   | 0.07%             | 2031-07-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL2 Trust                                                             | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9361052 | PA      | $9065467.38   | 0.34%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                       | ATLX 2024-RPL2 Trust                                                             | CUSIP: 049919AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9317260.00   | 0.35%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Barings Middle Market CLO Ltd.   | Barings Middle Market CLO Ltd 2018-I                                             | CUSIP: 06761NAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    428329 | PA      | $12849.86     | 0.00%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                | Battalion CLO XXIX Ltd                                                           | CUSIP: 07135TAJ8<br>LEI: 254900BHK74DPDADPT35 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5000000.00   | 0.19%             | 2038-03-31      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Avant Credit Card Master Trust   | Avant Credit Card Master Trust                                                   | CUSIP: 05351KAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $496172.45    | 0.02%             | 2030-04-15      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REK6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    540000 | PA      | $524544.88    | 0.02%             | 2027-08-20      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition    | Bayview Financial Mortgage Pass-Through Trust 2005-D                             | CUSIP: 07325NBX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126801 | PA      | $101229.29    | 0.00%             | 2035-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu   | Bear Stearns Asset Backed Securities I Trust 2005-AC5                            | CUSIP: 073879ZX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1057277 | PA      | $688454.58    | 0.03%             | 2035-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Obra CLO Ltd                     | Obra CLO 2 Ltd                                                                   | CUSIP: 674436AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000852.00   | 0.07%             | 2038-07-20      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-J3 Trust                                                                | CUSIP: 67448XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1643405.00   | 0.06%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR1                    | CUSIP: 25151RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827307 | PA      | $744687.16    | 0.03%             | 2047-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC    | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-BAR1                   | CUSIP: 25151TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  83950000 | PA      | $5754016.95   | 0.21%             | 2037-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,    | Deutsche Mortgage Securities Inc REMIC Trust Certificates Series 2009-RS6        | CUSIP: 25158HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6106253 | PA      | $5638691.38   | 0.21%             | 2037-08-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1393179.89   | 0.05%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                 | Ocean Trails CLO XIV Ltd                                                         | CUSIP: 67515JAU9<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |   5940000 | PA      | $5975497.44   | 0.22%             | 2038-01-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2023-1                                                  | CUSIP: 67571BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6038000 | PA      | $6386127.53   | 0.24%             | 2030-08-20      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-1                                                  | CUSIP: 67571FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512000 | PA      | $524384.77    | 0.02%             | 2031-08-20      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Recievables Trust 2024-RPT1                                               | CUSIP: 67578QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3243000 | PA      | $3280557.18   | 0.12%             | 2030-02-22      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M   | Bear Stearns ARM Trust 2005-6                                                    | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1082640 | PA      | $926710.70    | 0.03%             | 2035-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2023-1 Ltd                                                         | CUSIP: 07876XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   6200000 | PA      | $6386217.00   | 0.24%             | 2033-10-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1685501 | PA      | $776353.39    | 0.03%             | 2036-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2014-3R                                                              | CUSIP: 12648GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391142 | PA      | $304943.54    | 0.01%             | 2036-03-27      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC            | Directv Financing LLC / Directv Financing Co-Obligor Inc                         | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1206438.71   | 0.04%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fat Brands Fazoli's Native I,    | FAT Brands Fazoli's Native I LLC                                                 | CUSIP: 31200BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1929600 | PA      | $1934424.47   | 0.07%             | 2051-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re 2023-1 Ltd                                                         | CUSIP: 07876XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    538000 | PA      | $576960.35    | 0.02%             | 2033-10-25      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   5430000 | PA      | $5568258.66   | 0.21%             | 2034-08-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC Series 2014-7R                                                              | CUSIP: 12648WCE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2196134 | PA      | $1982738.22   | 0.07%             | 2037-07-27      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1406556 | PA      | $1151404.93   | 0.04%             | 2066-10-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-2                                                  | CUSIP: 67578YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3740000 | PA      | $3961890.46   | 0.15%             | 2032-07-20      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust         | Octane Receivables Trust 2024-RVM1                                               | CUSIP: 67579FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $328051.40    | 0.01%             | 2046-01-22      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| Octagon Investments Partners 3   | Octagon Investment Partners 36 Ltd                                               | CUSIP: 67591UAJ6<br>LEI: 549300S890TBOLY1D042 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2507557.50   | 0.09%             | 2031-04-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Octagon 68 Ltd                   | Octagon 68 Ltd                                                                   | CUSIP: 675950AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $7105028.00   | 0.26%             | 2036-10-20      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                 | Bellemeade Re Ltd                                                                | CUSIP: 078915AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $1039558.00   | 0.04%             | 2034-08-25      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC            | Belron UK Finance PLC                                                            | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $606006.00    | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2025-1CON                                               | CUSIP: 08860AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2047434.80   | 0.08%             | 2036-04-17      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2517000 | PA      | $2726244.75   | 0.10%             | 2035-10-17      | Fixed         | 9.73%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur   | BHG Securitization Trust 2024-1CON                                               | CUSIP: 08862HAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $839877.76    | 0.03%             | 2035-04-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd            | Black Diamond CLO 2022-1 Ltd                                                     | CUSIP: 09203GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2500000 | PA      | $2514207.50   | 0.09%             | 2035-10-25      | Floating      | 11.82%                | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust         | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1715000 | PA      | $907210.99    | 0.03%             | 2051-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| OLIN CORP                        | Olin Corp                                                                        | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $341022.89    | 0.01%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR           | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |    600000 | PA      | $634786.20    | 0.02%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Blackrock CLO                    | Blackrock MT Hood CLO X LLC                                                      | CUSIP: 09263GAS6<br>LEI: 549300N3N5OOLMSHXG32 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2009198.00   | 0.07%             | 2035-04-20      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Blackrock CLO                    | Blackrock MT Lassen Clo XV LLC                                                   | CUSIP: 092916AG0<br>LEI: 529900270ZC9EIH17Z28 | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.15%             | 2037-07-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2021-1      | Boston Lending Trust 2021-1                                                      | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3481975 | PA      | $3285017.31   | 0.12%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | FREMF 2025-K543 Mortgage Trust                                                   | CUSIP: 3137HMC65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9992010.00   | 0.37%             | 2030-06-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | FREMF 2025-K544 Mortgage Trust                                                   | CUSIP: 3137HMCE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9992790.00   | 0.37%             | 2030-07-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4346000 | PA      | $3426760.16   | 0.13%             | 2066-10-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17758583 | PA      | $598446.49    | 0.02%             | 2056-11-25      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAC6<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |   1356256 | PA      | $1326694.91   | 0.05%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus   | BRAVO Residential Funding Trust 2024-NQM4                                        | CUSIP: 10568NAD4<br>LEI: 254900NOKQW417VKV943 | Long             | ABS-MBS          | CORP              | US        |    904171 | PA      | $858209.78    | 0.03%             | 2060-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DPX52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10928374 | PA      | $10640586.33  | 0.39%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust         | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004012.60   | 0.04%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7519273 | PA      | $6733774.32   | 0.25%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QPXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2975241 | PA      | $2833898.78   | 0.11%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16296031 | PA      | $111872.25    | 0.00%             | 2056-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 285724981 | PA      | $531448.47    | 0.02%             | 2056-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QT3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4165247 | PA      | $4234531.82   | 0.16%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QUVC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3470820 | PA      | $3535061.29   | 0.13%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile R   | Foursight Capital Automobile Receivables Trust 2022-1                            | CUSIP: 35105JAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4934489.00   | 0.18%             | 2029-08-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Franklin Park Place CLO          | Franklin Park Place CLO VI LLC                                                   | CUSIP: 35455HAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5000000.00   | 0.19%             | 2038-07-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV2 Trust                                                             | CUSIP: 12659TBY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10639639 | PA      | $243945.63    | 0.01%             | 2056-11-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH1                                                                   | CUSIP: 12660BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7220300 | PA      | $6494255.51   | 0.24%             | 2067-01-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2006-12                                          | CUSIP: 125432AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12427648 | PA      | $52109.13     | 0.00%             | 2036-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882073 | PA      | $678291.75    | 0.03%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970236 | PA      | $895824.85    | 0.03%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2006-A7                               | CUSIP: 12566TAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3517704 | PA      | $2849794.10   | 0.11%             | 2036-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1806985 | PA      | $1444835.98   | 0.05%             | 2037-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan    | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83226 | PA      | $44052.53     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2023-D                                                | CUSIP: 12598VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6120000 | PA      | $6741000.07   | 0.25%             | 2031-05-15      | Fixed         | 10.13%                | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-B                                                | CUSIP: 12627SAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7770000 | PA      | $8233898.53   | 0.31%             | 2031-11-17      | Fixed         | 8.36%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-B                                    | CUSIP: 12630SAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3130030.50   | 0.12%             | 2033-03-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | Consumer Portfolio Services Auto Trust 2025-A                                    | CUSIP: 12633SAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1864799.28   | 0.07%             | 2032-08-16      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2025-C                                                | CUSIP: 12634SAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3999073.60   | 0.15%             | 2033-02-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM6 Trust                                                             | CUSIP: 36167KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $914828.75    | 0.03%             | 2066-08-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| GCAT                             | GCAT 2021-NQM4 Trust                                                             | CUSIP: 36168HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625409 | PA      | $510104.41    | 0.02%             | 2066-08-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10124150 | PA      | $6686120.27   | 0.25%             | 2060-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10125738 | PA      | $5796478.72   | 0.22%             | 2060-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                 | GGAM Finance Ltd                                                                 | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $412207.68    | 0.02%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2020-RPL1                                    | CUSIP: 36260AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6323000 | PA      | $5136659.77   | 0.19%             | 2059-07-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | CUSIP: 36261HBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3501926 | PA      | $2358414.00   | 0.09%             | 2051-10-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3458384 | PA      | $2883583.44   | 0.11%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP             | OneMain Finance Corp                                                             | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1837561.00   | 0.07%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17558 | PA      | $14019.40     | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3976747 | PA      | $3320961.35   | 0.12%             | 2056-07-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  99472054 | PA      | $183326.99    | 0.01%             | 2056-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ADC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9801520 | PA      | $59505.03     | 0.00%             | 2035-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-56                                                   | CUSIP: 12668AHD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18303130 | PA      | $149335.24    | 0.01%             | 2035-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-NQM2                                                                   | CUSIP: 12662EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $764577.00    | 0.03%             | 2066-02-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM5 Trust                                                             | CUSIP: 12663DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $462137.00    | 0.02%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE         | CVR Partners LP / CVR Nitrogen Finance Corp                                      | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1688946.26   | 0.06%             | 2028-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-NQM4 Trust                                                             | CUSIP: 12665EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9130995 | PA      | $9082992.95   | 0.34%             | 2067-06-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH2                                                                   | CUSIP: 12665WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450000 | PA      | $4080698.95   | 0.15%             | 2067-05-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2022-ATH2                                                                   | CUSIP: 12665WAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $5979281.00   | 0.22%             | 2067-05-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1               | CUSIP: 16678RFB8<br>LEI: 549300Z98E6LMOBBGK17 | Long             | ABS-MBS          | CORP              | US        |   2482231 | PA      | $2287787.79   | 0.08%             | 2046-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2               | CUSIP: 16678WAA4<br>LEI: 5493002S53YJRKTJK143 | Long             | ABS-MBS          | CORP              | US        |   7533909 | PA      | $6856889.17   | 0.25%             | 2047-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542834 | PA      | $1321378.42   | 0.05%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-J14                                                  | CUSIP: 12668AQ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1396287 | PA      | $859473.06    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2020-RPL4 Trust                                                             | CUSIP: 126405AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 162666807 | PA      | $4189320.94   | 0.16%             | 2060-01-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2017-RPL3 Trust                                                             | CUSIP: 12651YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6754886 | PA      | $5820867.96   | 0.22%             | 2057-08-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9349589 | PA      | $9315930.68   | 0.35%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QVWR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11798667 | PA      | $11502709.40  | 0.43%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QA2 Trust                                                       | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4339031 | PA      | $3720914.13   | 0.14%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33114 | PA      | $19700.07     | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2024-1                                                | CUSIP: 33843VAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1177558.83   | 0.04%             | 2031-05-15      | Fixed         | 8.60%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-4               | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |   2892898 | PA      | $2430274.01   | 0.09%             | 2047-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CUSTOMERS BANK                   | Customers Bank                                                                   | CUSIP: 23204HBM9<br>LEI: 6UHRKD73G36IZYN3FC43 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996479.96    | 0.04%             | 2029-06-26      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3467773 | PA      | $2862067.70   | 0.11%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-HP1                                     | CUSIP: 36262RBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392730 | PA      | $1114900.02   | 0.04%             | 2052-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-INV1                                    | CUSIP: 36263KBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3911092 | PA      | $3238716.87   | 0.12%             | 2051-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-PJ11                                    | CUSIP: 36263VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190857 | PA      | $963395.87    | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668AQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13709917 | PA      | $52330.75     | 0.00%             | 2035-11-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-HY10                                                 | CUSIP: 12668BA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2316296 | PA      | $45364.65     | 0.00%             | 2036-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    808431 | PA      | $654019.74    | 0.02%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2423549 | PA      | $2021167.52   | 0.07%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15796334 | PA      | $12062381.05  | 0.45%             | 2045-02-19      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UCX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16660434 | PA      | $19309.44     | 0.00%             | 2045-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2022-1                                                | CUSIP: 33845VAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $809468.90    | 0.03%             | 2029-06-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBT3<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |   2478000 | PA      | $2016078.50   | 0.07%             | 2048-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2021-MM1                                     | CUSIP: 36264JAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1523773 | PA      | $730486.34    | 0.03%             | 2052-04-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2509978 | PA      | $1453718.75   | 0.05%             | 2051-09-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR1                                                | CUSIP: 23332UDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $10000.00     | 0.00%             | 2045-02-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: 23332UDE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991058 | PA      | $967590.10    | 0.04%             | 2045-03-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031450 | PA      | $1922845.70   | 0.07%             | 2056-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539950 | PA      | $1022337.39   | 0.04%             | 2056-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14951 | PA      | $0.15         | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26202262 | PA      | $3005818.73   | 0.11%             | 2050-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2554503 | PA      | $2230522.73   | 0.08%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3442686 | PA      | $3271873.24   | 0.12%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1449524 | PA      | $1453195.45   | 0.05%             | 2051-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2021-FIG2                                | CUSIP: 79582DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159619 | PA      | $1161971.72   | 0.04%             | 2051-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2007-17 Trust                             | CUSIP: 94986QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14813 | PA      | $9440.92      | 0.00%             | 2038-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2025-VTT                                   | CUSIP: 94990GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $5133611.60   | 0.19%             | 2038-03-15      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust     | CSMC 2021-INV1Trust                                                              | CUSIP: 12661XBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6667690 | PA      | $121418.63    | 0.00%             | 2056-07-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2022-D                                                | CUSIP: 12663UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4535613.11   | 0.17%             | 2030-06-17      | Fixed         | 12.12%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A   | Ginnie Mae II Pool                                                               | CUSIP: 36179YFF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3282819 | PA      | $2887833.32   | 0.11%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust          | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341DZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264652 | PA      | $1071328.30   | 0.04%             | 2035-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust         | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10573535 | PA      | $10686111.06  | 0.40%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GENESEE & WYOMING INC            | Genesee & Wyoming Inc                                                            | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607666.80    | 0.02%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XKHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3139158 | PA      | $2696712.76   | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2276709 | PA      | $1870614.45   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104708.96    | 0.00%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST          | Starwood Property Trust Inc                                                      | CUSIP: 85571BBC8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    900000 | PA      | $909565.43    | 0.03%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ4                                | CUSIP: 36264PAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 430039369 | PA      | $237811.77    | 0.01%             | 2051-09-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MAGNERA CORP                     | Magnera Corp                                                                     | CUSIP: 377320AA4<br>LEI: 549300LDQLQBT38QDY28 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1592618.76   | 0.06%             | 2029-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                   | Gray Media Inc                                                                   | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $2881975.59   | 0.11%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GREAT LAKES DREDGE&DOCK          | Great Lakes Dredge & Dock Corp                                                   | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1114004.81   | 0.04%             | 2029-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                       | DaVita Inc                                                                       | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1697600.85   | 0.06%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust    | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1614630.40   | 0.06%             | 2037-06-10      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2023-2                                                          | CUSIP: 30333LAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    688000 | PA      | $736010.57    | 0.03%             | 2030-10-15      | Fixed         | 9.31%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-2                                                          | CUSIP: 30336NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1128000 | PA      | $1161631.32   | 0.04%             | 2031-09-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-58R                                 | CUSIP: 12668AP66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32722018 | PA      | $312593.44    | 0.01%             | 2035-12-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust Resecuritization 2005-59R                                 | CUSIP: 12668AR98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9052689 | PA      | $715.16       | 0.00%             | 2035-12-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN            | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $287069.48    | 0.01%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN            | Genesis Energy LP / Genesis Energy Finance Corp                                  | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $933967.80    | 0.03%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP          | Gulfport Energy Operating Corp                                                   | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    320000 | PA      | $325602.75    | 0.01%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                 | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $800899.20    | 0.03%             | 2037-05-15      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| GEORGIA BANKING CO INC           | Georgia Banking Co Inc                                                           | CUSIP: 37312RAA3<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   4000000 | PA      | $3697860.08   | 0.14%             | 2031-06-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD          | Global Aircraft Leasing Co Ltd                                                   | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1950000 | PA      | $2016081.05   | 0.07%             | 2027-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA3                                                  | CUSIP: 12668BC27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10151560 | PA      | $22851.16     | 0.00%             | 2036-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2006-OA1                                                  | CUSIP: 126694A24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7996370 | PA      | $69904.26     | 0.00%             | 2046-03-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2022-3                                       | CUSIP: 85571RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2266807 | PA      | $2107391.58   | 0.08%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage    | STAR 2021-1 Trust                                                                | CUSIP: 85573GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2743000 | PA      | $2336704.10   | 0.09%             | 2065-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XPCS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10491403 | PA      | $10241350.86  | 0.38%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XPUY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4730086 | PA      | $4814679.27   | 0.18%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC         | FHF Issuer Trust 2024-3                                                          | CUSIP: 30339EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1717000 | PA      | $1722566.69   | 0.06%             | 2031-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H74A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7185000 | PA      | $6316355.06   | 0.23%             | 2032-03-25      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| STENA INTERNATIONAL SA           | Stena International SA                                                           | CUSIP: 85858EAD5<br>LEI: 213800A4LTGG4W55QP46 | Long             | DBT              | CORP              | LU        |   1925000 | PA      | $1958081.13   | 0.07%             | 2031-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| STL HOLDING CO LLC               | STL Holding Co LLC                                                               | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |    450000 | PA      | $468701.55    | 0.02%             | 2029-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Stone Street Receivables Fundi   | Stone Street Receivables Funding 2015-1 LLC                                      | CUSIP: 86175EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478076 | PA      | $426200.49    | 0.02%             | 2054-12-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                 | StoneX Group Inc                                                                 | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1261801.20   | 0.05%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140XQMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4323292 | PA      | $4310429.76   | 0.16%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8288745 | PA      | $6513387.56   | 0.24%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                  | Gen Digital Inc                                                                  | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    500000 | PA      | $510989.00    | 0.02%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GEARY US                         | GEARY US                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     70688 | NS      | $7331707.50   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HAMB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $19851240.00  | 0.74%             | 2033-07-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HHHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14464000 | PA      | $14245564.67  | 0.53%             | 2034-09-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| STRIKE ACCEPTANCE AUTO FUNDING   | Strike Acceptance Auto Funding Trust 2023-1                                      | CUSIP: 862942AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1570620 | PA      | $1576983.69   | 0.06%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR1                          | CUSIP: 86359LAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3173993 | PA      | $31.74        | 0.00%             | 2034-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-20                                          | CUSIP: 12669F2R3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4207603 | PA      | $167605.66    | 0.01%             | 2034-10-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-29                                          | CUSIP: 12669GJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338882 | PA      | $13.39        | 0.00%             | 2035-02-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2004-AR7                          | CUSIP: 86359LFQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5074472 | PA      | $30619.36     | 0.00%             | 2035-04-19      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR2                          | CUSIP: 86359LHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6430404 | PA      | $7922.26      | 0.00%             | 2045-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16873088 | PA      | $14476282.72  | 0.54%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDNAT HOLDING CO                | FedNat Holding Co                                                                | CUSIP: 31431BAC3<br>LEI: 549300TFR6HALUYTYJ66 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $150000.00    | 0.01%             | 2029-03-15      | None          | 7.75%                 | No            |                  3 | On Loan: No      |
| HTL Commercial Mortgage Trust    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $715679.30    | 0.03%             | 2039-05-10      | Variable      | 8.20%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust    | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $409960.80    | 0.02%             | 2039-05-10      | Variable      | 11.93%                | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2005-AR3                          | CUSIP: 86359LKC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8814116 | PA      | $13732.39     | 0.00%             | 2035-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9986430 | PA      | $101571.98    | 0.00%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P   | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HMCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9979960.00   | 0.37%             | 2030-07-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| FIDELITY FINANCIAL CORP          | Fidelity Financial Corp                                                          | CUSIP: 316144AC8<br>LEI: 549300MH8LY2P6Y7NV11 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2755276.26   | 0.10%             | 2032-04-30      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2004-25                                          | CUSIP: 12669GKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10009366 | PA      | $100.09       | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-1                                           | CUSIP: 12669GRP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2663428 | PA      | $109.20       | 0.00%             | 2035-03-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-7                                            | CUSIP: 41161PGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879795 | PA      | $13114.22     | 0.00%             | 2034-11-19      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-9                                            | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1422897 | PA      | $1256970.01   | 0.05%             | 2034-12-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans           | CHL Mortgage Pass-Through Trust 2005-11                                          | CUSIP: 12669GUT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3610247 | PA      | $175378.57    | 0.01%             | 2035-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-C                                                | CUSIP: 223920AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1577215.20   | 0.06%             | 2032-03-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-10INV                                               | CUSIP: 33851RBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170647 | PA      | $893850.79    | 0.03%             | 2051-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2579371 | PA      | $2055255.57   | 0.08%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34742637 | PA      | $25257.90     | 0.00%             | 2046-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve   | Structured Asset Mortgage Investments II Trust 2006-AR7                          | CUSIP: 86361HAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22049782 | PA      | $728789.41    | 0.03%             | 2036-08-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1453036.30   | 0.05%             | 2035-07-15      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag   | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1803231.00   | 0.07%             | 2035-07-15      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN          | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $686319.20    | 0.03%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                 | Taseko Mines Ltd                                                                 | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1986228.52   | 0.07%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-1                                                   | CUSIP: 33852DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1222000 | PA      | $624014.30    | 0.02%             | 2051-02-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4925633 | PA      | $4776090.55   | 0.18%             | 2037-02-26      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2004-11                                           | CUSIP: 41161PKK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6631790 | PA      | $66.32        | 0.00%             | 2035-01-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-1                                            | CUSIP: 41161PLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4390612 | PA      | $6375.17      | 0.00%             | 2035-03-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $5210462.47   | 0.19%             | 2037-02-26      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.     | GSMSC Resecuritization Trust 2014-5R                                             | CUSIP: 36248TAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5709149 | PA      | $4702351.99   | 0.17%             | 2037-02-26      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                   | CPS Auto Receivables Trust 2024-A                                                | CUSIP: 22411CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1055523.40   | 0.04%             | 2031-08-15      | Fixed         | 8.42%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                 | Credit Acceptance Corp                                                           | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1623272.00   | 0.06%             | 2030-03-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540V2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655565 | PA      | $1546314.38   | 0.06%             | 2032-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor   | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1942856 | PA      | $717133.41    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust       | Point Securitization Trust 2025-1                                                | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    989996 | PA      | $989237.35    | 0.04%             | 2055-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                     | Post CLO 2023-1 Ltd                                                              | CUSIP: 73743CAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003443.00   | 0.04%             | 2036-04-20      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| FIESTA PURCHASER INC             | Fiesta Purchaser Inc                                                             | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $847415.20    | 0.03%             | 2032-09-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2024-HE1                                                             | CUSIP: 31684HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077305 | PA      | $1092914.55   | 0.04%             | 2054-03-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust     | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $39450.45     | 0.00%             | 2031-07-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24716446 | PA      | $246200.52    | 0.01%             | 2050-03-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                | Post Holdings Inc                                                                | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    900000 | PA      | $901571.50    | 0.03%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PowerPay Issuance Trust          | PowerPay Issuance Trust 2024-1                                                   | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656286 | PA      | $670702.89    | 0.02%             | 2039-02-18      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust            | Terwin Mortgage Trust Series TMTS 2005-18ALT                                     | CUSIP: 881561L51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21673267 | PA      | $147876.70    | 0.01%             | 2037-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TEXAS STATE BNKSHRS INC          | Texas State Bankshares Inc                                                       | CUSIP: 882727AA8<br>LEI: 549300KSLUE7MP08XL09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1999874.78   | 0.07%             | 2029-06-15      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                      | FIGRE Trust 2024-HE4                                                             | CUSIP: 31684UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2468596 | PA      | $2476174.76   | 0.09%             | 2054-09-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FINANCIAL INSTITUTIONS I         | Financial Institutions Inc                                                       | CUSIP: 317585AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1114348.49   | 0.04%             | 2030-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1198047.00   | 0.04%             | 2049-08-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577000 | PA      | $407790.52    | 0.02%             | 2049-08-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-3                                            | CUSIP: 41161PNK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31304846 | PA      | $313.05       | 0.00%             | 2035-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21112168 | PA      | $211.12       | 0.00%             | 2035-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust     | RBSSP Resecuritization Trust 2009-3                                              | CUSIP: 74928FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220117 | PA      | $1081377.87   | 0.04%             | 2035-09-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust    | Radian Mortgage Capital Trust 2025-J1                                            | CUSIP: 749971AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9939123 | PA      | $9820569.04   | 0.36%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| First American Government Obli   | First American Government Obligations Fund                                       | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        | 138343459 | NS      | $138343459.36 | 5.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BANCSHARES INC             | First Bancshares Inc/The                                                         | CUSIP: 318916AB9<br>LEI: 5493006DL5RXJODMAF36 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $994012.10    | 0.04%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-10                                           | CUSIP: 41161PTS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21751004 | PA      | $217.51       | 0.00%             | 2035-11-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-11                                           | CUSIP: 41161PUN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6395846 | PA      | $63.96        | 0.00%             | 2045-08-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust            | Theorem Funding Trust 2022-2                                                     | CUSIP: 88339FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4240714.80   | 0.16%             | 2028-12-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2017-6                                                 | CUSIP: 89175JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3092908.50   | 0.11%             | 2057-10-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FIRST FOUNDATION INC             | First Foundation Inc                                                             | CUSIP: 32026VAA2<br>LEI: 254900TQZQ6LBCK77E82 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $809889.99    | 0.03%             | 2032-02-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST NORTHWEST BANCORP          | First Northwest Bancorp                                                          | CUSIP: 335834AC1<br>LEI: 549300YDR3VSTKB9DQ65 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1231695.86   | 0.05%             | 2031-03-30      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L         | First Quantum Minerals Ltd                                                       | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1960177.10   | 0.07%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                    | FirstCash Inc                                                                    | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1467839.93   | 0.05%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2021-2                                                | CUSIP: 33844WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $3942834.29   | 0.15%             | 2028-09-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust       | Flagship Credit Auto Trust 2021-4                                                | CUSIP: 33845AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3489016.40   | 0.13%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ5                                | CUSIP: 36260DBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683115 | PA      | $1029133.65   | 0.04%             | 2051-03-27      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 299760474 | PA      | $291966.70    | 0.01%             | 2051-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2018-2                                                 | CUSIP: 89175VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2038875.00   | 0.08%             | 2058-03-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2018-5                                                 | CUSIP: 89176VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $1990308.00   | 0.07%             | 2058-07-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                       | AMSR 2023-SFR1 Trust                                                             | CUSIP: 66981XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $958304.00    | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor Re 2024-1 Ltd                                                             | CUSIP: 75049AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1545180.00   | 0.06%             | 2034-09-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor Re 2024-1 Ltd                                                             | CUSIP: 75049AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507661.00    | 0.02%             | 2034-09-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                    | Radnor RE 2023-1 Ltd                                                             | CUSIP: 75050KAA4<br>LEI: 254900P3K895250PCC81 | Long             | ABS-MBS          | CORP              | BM        |   2244949 | PA      | $2259518.31   | 0.08%             | 2033-07-25      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J2                                                      | CUSIP: 753917AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1529070 | PA      | $1509487.19   | 0.06%             | 2054-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J2                                                      | CUSIP: 753917CM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927000 | PA      | $693070.62    | 0.03%             | 2054-07-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2021-J1                                                      | CUSIP: 75409JDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1291000 | PA      | $633453.68    | 0.02%             | 2051-07-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J3                                                      | CUSIP: 75409UCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747000 | PA      | $584047.18    | 0.02%             | 2054-10-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2024-J3                                                      | CUSIP: 75409UCL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $704086.79    | 0.03%             | 2054-10-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2436519 | PA      | $1660706.80   | 0.06%             | 2051-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust              | Rate Mortgage Trust 2022-J1                                                      | CUSIP: 75410RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3449968 | PA      | $1925651.54   | 0.07%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| RAVEN ACQUISITION HOLDIN         | Raven Acquisition Holdings LLC                                                   | CUSIP: 75420NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1923801.09   | 0.07%             | 2031-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC              | Reach ABS Trust 2024-2                                                           | CUSIP: 75525HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1043709.20   | 0.04%             | 2031-07-15      | Fixed         | 8.83%                 | No            |                  2 | On Loan: No      |
| Reach Financial LLC              | Reach ABS Trust 2025-1                                                           | CUSIP: 75525PAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1014639.00   | 0.04%             | 2032-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| READYCAP HOLDINGS LLC            | ReadyCap Holdings LLC                                                            | CUSIP: 755763AE9<br>LEI: 549300W908MAGNC9E420 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2998356.63   | 0.11%             | 2028-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Redwood Trust Inc                | Redwood Trust Inc                                                                | CUSIP: 758075402<br>LEI: DRBV4N1ERQLEMIF11G78 | Long             | EC               | CORP              | US        |    238507 | NS      | $1302248.22   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $614333.40    | 0.02%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus   | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1785011.42   | 0.07%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2019-1                                                 | CUSIP: 89177BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2298519.00   | 0.09%             | 2058-03-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2294000 | PA      | $2042008.69   | 0.08%             | 2058-05-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2021-SJ2                                               | CUSIP: 89180LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2548781 | PA      | $2361239.15   | 0.09%             | 2061-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-3                                                 | CUSIP: 89183FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1525294.91   | 0.06%             | 2065-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP             | Reworld Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191180.48    | 0.01%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533449 | PA      | $224310.01    | 0.01%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1541101 | PA      | $936810.90    | 0.03%             | 2035-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LZY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1394484 | PA      | $921980.06    | 0.03%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1846479 | PA      | $558286.50    | 0.02%             | 2046-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492414 | PA      | $0.00         | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155249 | PA      | $79483.42     | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN         | RHP Hotel Properties LP / RHP Finance Corp                                       | CUSIP: 749571AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $255516.25    | 0.01%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27322 | PA      | $15426.77     | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161694 | PA      | $81964.76     | 0.00%             | 2037-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11073 | PA      | $5664.33      | 0.00%             | 2036-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356554 | PA      | $161244.55    | 0.01%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CEW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274177 | PA      | $132759.83    | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In   | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762396 | PA      | $353909.52    | 0.01%             | 2037-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2005-S7 Trust                                                       | CUSIP: 76111XA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11171 | PA      | $7245.77      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3943420 | PA      | $1136876.16   | 0.04%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati   | Residential Asset Securitization Trust 2007-A8                                   | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3864813 | PA      | $1841993.22   | 0.07%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC              | Resideo Funding Inc                                                              | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Long             | DBT              | CORP              | US        |    775000 | PA      | $787161.30    | 0.03%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I    | RFMSI Series 2006-S4 Trust                                                       | CUSIP: 762010AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104758 | PA      | $67752.14     | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-4                                                 | CUSIP: 89183GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2897000 | PA      | $2608699.25   | 0.10%             | 2064-10-27      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust        | Towd Point Mortgage Trust 2024-4                                                 | CUSIP: 89183GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4966000 | PA      | $4336499.91   | 0.16%             | 2064-10-27      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                        | Pike Corp                                                                        | CUSIP: 72108PAP9<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |    605506 | PA      | $601942.29    | 0.02%             | 2026-07-24      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    175891 | PA      | $175491.19    | 0.01%             | 2037-04-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    219408 | PA      | $222633.89    | 0.01%             | 2037-08-24      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| PHH MORTGAGE 30 YR AIM           | PHH MORTGAGE 30 YR AIM                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    269273 | PA      | $269697.75    | 0.01%             | 2037-05-24      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV1                                               | CUSIP: 46591NBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2687377 | PA      | $2382407.72   | 0.09%             | 2050-06-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ABZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196306 | PA      | $173528.67    | 0.01%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ACA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558232 | PA      | $1341371.11   | 0.05%             | 2050-08-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1701367 | PA      | $1376174.70   | 0.05%             | 2051-05-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2020-PJ6                                | CUSIP: 36260RBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474061 | PA      | $895583.25    | 0.03%             | 2051-05-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-12                                           | CUSIP: 41161PVT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6883293 | PA      | $68.83        | 0.00%             | 2035-10-19      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2005-13                                           | CUSIP: 41161PWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10660002 | PA      | $106.60       | 0.00%             | 2036-02-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2218553 | PA      | $1618450.02   | 0.06%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039000 | PA      | $514025.51    | 0.02%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182281 | PA      | $939211.44    | 0.03%             | 2051-08-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1192509 | PA      | $713874.02    | 0.03%             | 2051-08-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2006-14                                           | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14869858 | PA      | $13706886.01  | 0.51%             | 2047-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust   | HarborView Mortgage Loan Trust 2007-6                                            | CUSIP: 41165BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465735 | PA      | $1304674.15   | 0.05%             | 2037-08-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-1                                         | CUSIP: 36266XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7870000 | PA      | $8674762.59   | 0.32%             | 2030-03-15      | Fixed         | 11.42%                | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-3                                         | CUSIP: 36267PAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2685989.00   | 0.10%             | 2030-08-15      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2024-4                                         | CUSIP: 36270YAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1566683.40   | 0.06%             | 2031-08-15      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2025-1                                         | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1024441.40   | 0.04%             | 2032-03-15      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-4                                         | CUSIP: 362929AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5270000 | PA      | $5751306.47   | 0.21%             | 2030-08-15      | Fixed         | 9.72%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2024-3                                         | CUSIP: 37989AAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1032036.60   | 0.04%             | 2031-06-16      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2025-2                                         | CUSIP: 37989BAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4004000 | PA      | $4177964.19   | 0.15%             | 2032-06-15      | Fixed         | 7.73%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust       | GLS Auto Receivables Issuer Trust 2023-2                                         | CUSIP: 379928AL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3217835.40   | 0.12%             | 2030-01-15      | Fixed         | 9.37%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                       | goeasy Ltd                                                                       | CUSIP: 380355AJ6<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |   1950000 | PA      | $2009579.34   | 0.07%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6913792 | PA      | $6799209.59   | 0.25%             | 2051-06-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust   | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1878997 | PA      | $1857378.14   | 0.07%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Mortgage Pass-Th   | Goldman Sachs Mortgage Pass-Through Trust 2022-1                                 | CUSIP: 38151AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44282938 | PA      | $39887679.28  | 1.48%             | 2053-02-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                  | Goodgreen 2017-2 Trust                                                           | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2895762 | PA      | $2573040.21   | 0.10%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | GoodLeap Sustainable Home Solutions Trust 2021-3                                 | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    966413 | PA      | $754678.47    | 0.03%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr   | Goodleap Sustainable Home Solutions Trust 2023-2                                 | CUSIP: 38237AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $560040.57    | 0.02%             | 2055-05-20      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER           | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1456314.30   | 0.05%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HELIX ENERGY SOLUTIONS           | Helix Energy Solutions Group Inc                                                 | CUSIP: 42330PAL1<br>LEI: 416AP2JOUTCWEGSOZW41 | Long             | DBT              | CORP              | US        |    950000 | PA      | $992879.20    | 0.04%             | 2029-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                | Herc Holdings Inc                                                                | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2561330.00   | 0.10%             | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Greenacre Park CLO LLC           | Greenacre Park CLO LLC                                                           | CUSIP: 39355WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2999472.00   | 0.11%             | 2038-07-20      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| GREENFIRE RESOURCES LTD          | Greenfire Resources Ltd                                                          | CUSIP: 39525UAA5<br>LEI: 254900MTS0G2VGMJW059 | Long             | DBT              | CORP              | CA        |    196000 | PA      | $206423.28    | 0.01%             | 2028-10-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR1                                                    | CUSIP: 39538RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11013929 | PA      | $76712.02     | 0.00%             | 2045-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20298811 | PA      | $219064.76    | 0.01%             | 2045-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                   | Hertz Corp/The                                                                   | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    350000 | PA      | $365950.14    | 0.01%             | 2029-07-15      | Fixed         | 12.62%                | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2021-2 Ltd                                                               | CUSIP: 43730VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   8250000 | PA      | $8322468.00   | 0.31%             | 2034-01-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                      | Home RE 2023-1 Ltd                                                               | CUSIP: 43731BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3222552.00   | 0.12%             | 2033-10-25      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust          | HomeBanc Mortgage Trust 2004-2                                                   | CUSIP: 43739EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    764483 | PA      | $733146.19    | 0.03%             | 2034-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780833 | PA      | $716819.09    | 0.03%             | 2045-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2005-AR4                                       | CUSIP: 39538WCF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6709546 | PA      | $0.00         | 0.00%             | 2045-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-3                                                  | CUSIP: 46592KCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967749 | PA      | $1547439.76   | 0.06%             | 2051-07-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-13                                                 | CUSIP: 46592XAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $986511.00    | 0.04%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HOMESTREET INC                   | HomeStreet Inc                                                                   | CUSIP: 43785VAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $742093.04    | 0.03%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IP 2025-IP Mortgage Trust        | IP 2025-IP Mortgage Trust                                                        | CUSIP: 449843AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $755152.50    | 0.03%             | 2042-06-10      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr   | GreenPoint Mortgage Funding Trust 2006-AR3                                       | CUSIP: 39538WHJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13672515 | PA      | $447104.93    | 0.02%             | 2036-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2004-AR2                                                | CUSIP: BCC0H7063<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000 | PA      | $1.00         | 0.00%             | 2044-11-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DSLA Mortgage Loan Trust         | DSLA Mortgage Loan Trust 2005-AR2                                                | CUSIP: BCC0JHUY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | NS      | $0.00         | 0.00%             | 2045-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ICNQ Mortgage Trust              | ICNQ 2024-MF Mortgage Trust                                                      | CUSIP: 450953AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3254832.75   | 0.12%             | 2034-12-10      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.       | Impac Secured Assets Trust 2006-2                                                | CUSIP: 45256VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2952962 | PA      | $2646775.10   | 0.10%             | 2036-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR2                                        | CUSIP: 45660LCT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8958599 | PA      | $0.00         | 0.00%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR4                                        | CUSIP: 45660LEL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11233598 | PA      | $130354.67    | 0.00%             | 2035-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR8                                        | CUSIP: 45660LJN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14785790 | PA      | $147.86       | 0.00%             | 2035-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR10                                       | CUSIP: 45660LKZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23369994 | PA      | $233.70       | 0.00%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3308734 | PA      | $3053501.46   | 0.11%             | 2055-02-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-9                                                  | CUSIP: 46593DBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2676609 | PA      | $1811167.63   | 0.07%             | 2055-02-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR12                                       | CUSIP: 45660LML0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37281438 | PA      | $372.81       | 0.00%             | 2035-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR14                                       | CUSIP: 45660LSB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18382756 | PA      | $14320.17     | 0.00%             | 2035-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2005-AR16IP                                     | CUSIP: 45660LUG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10874059 | PA      | $4860.70      | 0.00%             | 2045-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2004-AR12                                       | CUSIP: 45660N5L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1345277 | PA      | $13.45        | 0.00%             | 2034-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC              | TreeHouse Foods Inc                                                              | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |    600000 | PA      | $555556.38    | 0.02%             | 2028-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XXII Ltd                                                            | CUSIP: 89640HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   5300000 | PA      | $5316127.90   | 0.20%             | 2036-07-20      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2023-9                                                  | CUSIP: 465988AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2967892 | PA      | $2644997.45   | 0.10%             | 2054-04-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV1                                               | CUSIP: 46650PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3670286 | PA      | $3484969.30   | 0.13%             | 2049-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV1                                               | CUSIP: 46650PBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1752008 | PA      | $1413094.37   | 0.05%             | 2049-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1697514 | PA      | $1523899.44   | 0.06%             | 2050-03-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-1                                                  | CUSIP: 46651XCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2025043 | PA      | $1745295.50   | 0.06%             | 2050-06-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1655655 | PA      | $1262842.87   | 0.05%             | 2050-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2020-LTV2                                               | CUSIP: 46653LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2943514 | PA      | $2481394.04   | 0.09%             | 2050-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-10                                                 | CUSIP: 46654ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2291450 | PA      | $1571169.09   | 0.06%             | 2051-12-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2021-INV6                                               | CUSIP: 46654FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064911 | PA      | $859094.69    | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2023-7                                                  | CUSIP: 46657DAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035500 | PA      | $819618.96    | 0.03%             | 2054-02-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2024-11                                                 | CUSIP: 46659AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5853351 | PA      | $5893089.02   | 0.22%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2913 | PA      | $0.03         | 0.00%             | 2033-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2006-AR25                                       | CUSIP: 45661HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3727674 | PA      | $2899716.45   | 0.11%             | 2036-09-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru   | IndyMac INDX Mortgage Loan Trust 2007-AR9                                        | CUSIP: 45669YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3027441 | PA      | $1868509.39   | 0.07%             | 2037-04-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-14                                                   | CUSIP: 12667GCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8917558 | PA      | $60202.44     | 0.00%             | 2035-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-16                                                   | CUSIP: 12667GMK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14240253 | PA      | $142.40       | 0.00%             | 2035-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust           | Invitation Homes 2024-SFR1 Trust                                                 | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2994870 | PA      | $2924124.97   | 0.11%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| iShares Broad USD High Yield C   | iShares Broad USD High Yield Corporate Bond ETF                                  | CUSIP: 46435U853<br>LEI: 549300X7H67ZLUE3IZ46 | Long             | EC               | RF                | US        |    371900 | NS      | $13905341.00  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-27                                                   | CUSIP: 12667GN82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16047370 | PA      | $160.47       | 0.00%             | 2035-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-24                                                   | CUSIP: 12667GNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6058990 | PA      | $4465.48      | 0.00%             | 2035-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management    | JPMorgan Chase Bank NA - JPMWM                                                   | CUSIP: 46591HBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367425 | PA      | $335211.99    | 0.01%             | 2051-03-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| LMST 2019-1 CERT                 | LMST 2019-1 CERT                                                                 | CUSIP: 510861AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2485398 | PA      | $2460906.64   | 0.09%             | 2049-08-15      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| LSALT 2019-1B PT                 | LSALT 2019-1B PT                                                                 | CUSIP: 510861AB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9194942 | PA      | $8987182.67   | 0.33%             | 2049-08-28      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                  | Lehman XS Trust Series 2007-7N                                                   | CUSIP: 52524GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2441846 | PA      | $2285528.91   | 0.08%             | 2047-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2022-A Asset Securitization Trust                                   | CUSIP: 52605AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3320000 | PA      | $33.20        | 0.00%             | 2029-06-15      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-7                                      | CUSIP: 52605F106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19049500 | PA      | $34807.59     | 0.00%             | 2027-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T   | Alternative Loan Trust 2005-38                                                   | CUSIP: 12667GZ71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33656013 | PA      | $471.18       | 0.00%             | 2035-09-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED ENERGY FIN          | Consolidated Energy Finance SA                                                   | CUSIP: 20914UAH9<br>LEI: 549300PUNIS0USNSL750 | Long             | DBT              | CORP              | LU        |    400000 | PA      | $376366.45    | 0.01%             | 2031-02-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XXII Ltd                                                            | CUSIP: 89640NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   3000000 | PA      | $3022602.00   | 0.11%             | 2036-07-20      | Floating      | 13.04%                | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                 | Trinitas CLO XIV Ltd                                                             | CUSIP: 89641QAJ9<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3008274.00   | 0.11%             | 2034-01-25      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| DYNEX CAPITAL INC                | Dynex Capital Inc                                                                | CUSIP: 26817Q878<br>LEI: 5CIJ4S9HAEBWILA19B65 | Long             | EP               | CORP              | US        |    173425 | NS      | $4503847.25   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4010100 | PA      | $4016905.14   | 0.15%             | 2067-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20802921 | PA      | $11243791.50  | 0.42%             | 2067-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-INV2                                                                   | CUSIP: 26844LAG3<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   6155807 | PA      | $5623064.99   | 0.21%             | 2069-10-25      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2897500 | PA      | $2791839.77   | 0.10%             | 2069-11-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2739000 | PA      | $2570899.35   | 0.10%             | 2069-11-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-NQM1                                                                   | CUSIP: 26846CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5008000 | PA      | $4650183.41   | 0.17%             | 2070-01-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                     | Eagle RE 2021-2 Ltd                                                              | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3000000 | PA      | $3084261.00   | 0.11%             | 2034-04-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550000 | PA      | $1543903.85   | 0.06%             | 2060-01-26      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1409924.95   | 0.05%             | 2060-01-26      | Variable      | 8.03%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2024-CES1                                                                   | CUSIP: 281907AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3588553 | PA      | $3636987.70   | 0.13%             | 2060-01-26      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | EFMT 2025-CES2                                                                   | CUSIP: 28225GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2854000 | PA      | $2845292.45   | 0.11%             | 2060-02-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Inc          | Ellington Financial Inc                                                          | CUSIP: 28852N109<br>LEI: 60GS1D1R1YY5G1W7IT74 | Long             | EC               | CORP              | US        |    103500 | NS      | $1313415.00   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| EZCORP INC                       | EZCORP Inc                                                                       | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1487643.00   | 0.06%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MCF CLO LLC                      | MCF CLO VII LLC                                                                  | CUSIP: 55281FAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.11%             | 2033-07-20      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2007-HF1                                            | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9522417 | PA      | $3709381.50   | 0.14%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LendingClub Receivables Trust    | LendingClub Receivables Trust Series 2019-7                                      | CUSIP: 52605F205<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4408000 | PA      | $8054.38      | 0.00%             | 2027-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitizat   | Lendingpoint 2021-B Asset Securitization Trust                                   | CUSIP: 52607HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    281203 | PA      | $276265.54    | 0.01%             | 2029-02-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403 | PA      | $0.00         | 0.00%             | 2037-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust    | MASTR Alternative Loan Trust 2004-6                                              | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73067 | PA      | $60111.26     | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus   | LendingPoint Pass-Through Trust Series 2022-ST3                                  | CUSIP: 52607TAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576000 | PA      | $143682.38    | 0.01%             | 2028-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                | Lithia Motors Inc                                                                | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1225722.68   | 0.05%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DSWC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20492777 | PA      | $20936118.02  | 0.78%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DT3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8067706 | PA      | $7895589.99   | 0.29%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2921539 | PA      | $2584016.57   | 0.10%             | 2036-04-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-1                                                   | CUSIP: 550279AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20701846 | PA      | $72477.16     | 0.00%             | 2036-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DTM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7755149 | PA      | $7910810.66   | 0.29%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12532471 | PA      | $9841824.70   | 0.37%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-2                                                   | CUSIP: 550279BD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29019728 | PA      | $290.20       | 0.00%             | 2046-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust          | Luminent Mortgage Trust 2006-5                                                   | CUSIP: 55027XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24798736 | PA      | $247.99       | 0.00%             | 2036-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru   | MASTR Asset Securitization Trust 2005-2                                          | CUSIP: 57643MLN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9823 | PA      | $5662.40      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG2                                      | CUSIP: 585494CJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1564417 | PA      | $1123890.00   | 0.04%             | 2051-06-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD         | Macquarie Airfinance Holdings Ltd                                                | CUSIP: 55609NAB4<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $209202.60    | 0.01%             | 2029-03-30      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd         | Madison Park Funding XXXVIII Ltd                                                 | CUSIP: 55821KAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3410000 | PA      | $3416727.93   | 0.13%             | 2034-07-17      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132DWG72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345408 | PA      | $327811.91    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3132E0BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1362395 | PA      | $1389314.60   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133C7AE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17401795 | PA      | $16526517.62  | 0.61%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                      | Freddie Mac Pool                                                                 | CUSIP: 3133CQHA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10839272 | PA      | $11050063.32  | 0.41%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Man US CLO Ltd                   | Man US CLO 2024-1 Ltd                                                            | CUSIP: 56167CAN4<br>LEI: 2549007JRE3Q11AV7970 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2008398.00   | 0.07%             | 2037-07-20      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| MARBLE PT LOAN FIN/MPLF          | Marble Point Loan Financing Ltd / MPLF Funding I LLC                             | CUSIP: 56607VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |   1750000 | PA      | $1739062.50   | 0.06%             | 2025-11-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ADFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4139747 | PA      | $4122256.23   | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AGLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197925 | PA      | $1199232.43   | 0.04%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495ES9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023882 | PA      | $788813.30    | 0.03%             | 2051-04-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG1                                      | CUSIP: 585495EU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511496 | PA      | $273641.53    | 0.01%             | 2051-04-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIV Ltd        | Marble Point Clo XXIV Ltd                                                        | CUSIP: 56607XAA4<br>LEI: 549300110Z5KVNWF6X83 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3010062.00   | 0.11%             | 2035-04-20      | Floating      | 12.51%                | No            |                  2 | On Loan: No      |
| Marlette Funding Trust           | Marlette Funding Trust 2025-1                                                    | CUSIP: 570920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1501036.50   | 0.06%             | 2035-07-16      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ANNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1468433 | PA      | $1441464.14   | 0.05%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-2                                        | CUSIP: 31572LAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2710000 | PA      | $1843022.22   | 0.07%             | 2066-06-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799000 | PA      | $1287564.09   | 0.05%             | 2048-03-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2018-MTG1                                      | CUSIP: 585498BL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499000 | PA      | $1050313.32   | 0.04%             | 2048-03-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| TRINITAS CAPITAL MGMT            | Trinitas Capital Management LLC                                                  | CUSIP: 89642CAC4<br>LEI: 254900JU042545A6UD08 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3845000.00   | 0.14%             | 2026-07-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCTAVIA US                       | OCTAVIA US                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     80038 | NS      | $9091459.63   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-2                                        | CUSIP: 31572LAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3320000 | PA      | $2380323.80   | 0.09%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2021-3                                        | CUSIP: 31573JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2910000 | PA      | $2166046.86   | 0.08%             | 2066-09-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-6INV                                                | CUSIP: 33851GBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2903616 | PA      | $2222456.43   | 0.08%             | 2051-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 182936090 | PA      | $2295299.12   | 0.09%             | 2041-09-25      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-MTG3                                      | CUSIP: 58549RCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488000 | PA      | $213354.01    | 0.01%             | 2051-07-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta   | Mello Mortgage Capital Acceptance 2021-INV4                                      | CUSIP: 58550NBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1135024 | PA      | $869273.14    | 0.03%             | 2051-12-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445209 | PA      | $402330.33    | 0.01%             | 2041-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-9INV                                                | CUSIP: 33851MAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1211408 | PA      | $763283.76    | 0.03%             | 2041-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| MERCER INTL INC                  | Mercer International Inc                                                         | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1129047.36   | 0.04%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo   | Merrill Lynch Mortgage Investors Trust Series 2003-OPT1                          | CUSIP: 5899295M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558243 | PA      | $1252659.11   | 0.05%             | 2034-07-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor   | Morgan Stanley Residential Mortgage Loan Trust 2021-5                            | CUSIP: 61772NCA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1949864 | PA      | $1112430.31   | 0.04%             | 2051-08-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                 | MortgageIT Mortgage Loan Trust 2006-1                                            | CUSIP: 61915RCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6995826 | PA      | $0.00         | 0.00%             | 2036-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340188 | PA      | $726926.09    | 0.03%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust          | Flagstar Mortgage Trust 2021-2                                                   | CUSIP: 33852EBU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343000 | PA      | $663882.50    | 0.02%             | 2051-04-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FLUSHING FINANCIAL CORP          | Flushing Financial Corp                                                          | CUSIP: 343873AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2500966.83   | 0.09%             | 2031-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST         | FTAI Aviation Investors LLC                                                      | CUSIP: 34960PAH4<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1190586.96   | 0.04%             | 2033-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA - HIGH BALANCE 30 YR. FIXED | FNMA - HIGH BALANCE 30 YR. FIXED                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    463069 | PA      | $436435.14    | 0.02%             | 2048-05-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93187 | PA      | $87144.83     | 0.00%             | 2043-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC           | Mosaic Solar Loan Trust 2021-2                                                   | CUSIP: 61946RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    768699 | PA      | $561650.00    | 0.02%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| MOSS CREEK RESOURCES HLD         | Moss Creek Resources Holdings Inc                                                | CUSIP: 61965RAC9<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |    800000 | PA      | $781688.72    | 0.03%             | 2031-09-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP              | Medline Borrower LP                                                              | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    900000 | PA      | $882978.21    | 0.03%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage   | MASTR Adjustable Rate Mortgages Trust 2005-7                                     | CUSIP: 576433D45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882978 | PA      | $809876.92    | 0.03%             | 2035-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| MP Clo VIII, LTD                 | MP CLO VIII Ltd                                                                  | CUSIP: 62481WAQ0<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3009204.00   | 0.11%             | 2034-04-28      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC         | OBX 2021-NQM2 Trust                                                              | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770718 | PA      | $1461239.03   | 0.05%             | 2061-05-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1113387 | PA      | $1096146.99   | 0.04%             | 2031-10-08      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1511377.50   | 0.06%             | 2049-10-25      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue   | Multifamily Connecticut Avenue Securities Trust 2019-01                          | CUSIP: 62547NAD1<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2028590.00   | 0.08%             | 2049-10-25      | Floating      | 13.21%                | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 264240443 | PA      | $891283.01    | 0.03%             | 2067-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T   | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 264240443 | PA      | $524517.28    | 0.02%             | 2067-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                | Elmwood CLO X Ltd                                                                | CUSIP: 29002VBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $6020238.00   | 0.22%             | 2038-07-20      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC         | Encore Capital Group Inc                                                         | CUSIP: 292554AR3<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |    500000 | PA      | $529807.36    | 0.02%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Enviva LLC                       | Enviva LLC                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |      3638 | NS      | $71850.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC           | EquipmentShare.com Inc                                                           | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $2004834.40   | 0.07%             | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ENVIVA ESCROW                    | ENVIVA ESCROW                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |    100000 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-3                                       | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11784000 | PA      | $12351852.11  | 0.46%             | 2031-10-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-5                                       | CUSIP: 30165BAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6170880.00   | 0.23%             | 2032-05-17      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-2                                       | CUSIP: 30166DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4096000 | PA      | $4303916.65   | 0.16%             | 2031-10-15      | Fixed         | 7.98%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-2                                       | CUSIP: 30166QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9300000 | PA      | $8620694.52   | 0.32%             | 2029-10-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-5                                       | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7146000 | PA      | $7521985.36   | 0.28%             | 2030-04-15      | Fixed         | 10.45%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-1                                       | CUSIP: 30167JAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5878483.80   | 0.22%             | 2029-10-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2025-1                                       | CUSIP: 30167MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6989000 | PA      | $7206525.64   | 0.27%             | 2032-09-15      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2024-1                                       | CUSIP: 30167PAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375000 | PA      | $2490171.35   | 0.09%             | 2031-08-15      | Fixed         | 7.89%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2022-6                                       | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $6045328.85   | 0.22%             | 2030-06-17      | Fixed         | 11.61%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2023-2                                       | CUSIP: 30168CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2640000 | PA      | $2871197.47   | 0.11%             | 2030-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables    | Exeter Automobile Receivables Trust 2023-3                                       | CUSIP: 301989AG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3028000 | PA      | $3304032.48   | 0.12%             | 2031-01-15      | Fixed         | 9.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140AQYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2812846 | PA      | $2744047.01   | 0.10%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ARQC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20130369 | PA      | $19606536.16  | 0.73%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ATJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2967240 | PA      | $2912743.76   | 0.11%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140ATLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2916850 | PA      | $2909085.07   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140NGD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2824974 | PA      | $2822750.90   | 0.10%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                       | Fannie Mae Pool                                                                  | CUSIP: 3140QFCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6750007 | PA      | $5551376.67   | 0.21%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                 | NetCredit Combined Receivables A LLC                                             | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2771568 | PA      | $2796620.08   | 0.10%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corpo   | Triangle Re 2023-1 Ltd                                                           | CUSIP: 89589AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3030722 | PA      | $3055040.89   | 0.11%             | 2033-11-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ3                                     | CUSIP: 36269TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340000 | PA      | $1862909.10   | 0.07%             | 2054-08-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ5                                     | CUSIP: 36269XCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1613000 | PA      | $1375479.30   | 0.05%             | 2054-09-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities    | GS Mortgage-Backed Securities Trust 2024-PJ6                                     | CUSIP: 36270CCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1584000 | PA      | $1329185.09   | 0.05%             | 2054-10-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40617780 | PA      | $274291.87    | 0.01%             | 2050-03-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4417421 | PA      | $3454931.31   | 0.13%             | 2035-10-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2006-A6                                                 | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1326423 | PA      | $999915.77    | 0.04%             | 2036-10-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2007-A4                                                 | CUSIP: 46631JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1104755 | PA      | $868316.42    | 0.03%             | 2037-06-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17928457 | PA      | $53.79        | 0.00%             | 2050-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2715715 | PA      | $2182832.02   | 0.08%             | 2050-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199000 | PA      | $817128.09    | 0.03%             | 2050-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust         | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2374490 | PA      | $2092656.73   | 0.08%             | 2050-05-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE   | Multifamily Connecticut Avenue Securities Trust 2020-01                          | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $8295704.00   | 0.31%             | 2050-03-25      | Floating      | 11.96%                | No            |                  2 | On Loan: No      |
| NBBLUE 2025-1A B                 | NBBLUE 2025-1A B                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3103260.00   | 0.12%             | 2040-04-15      | Fixed         | 9.74%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC              | Oportun Issuance Trust 2025-B                                                    | CUSIP: 68378QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1992658.00   | 0.07%             | 2033-05-09      | Fixed         | 9.40%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                   | Owens-Brockway Glass Container Inc                                               | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1923725.30   | 0.07%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                 | Owl Rock CLO XIII LLC                                                            | CUSIP: 69120GAA2<br>LEI: 254900P65RXI0LEC4D85 | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3004146.00   | 0.11%             | 2035-09-20      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| PBF HOLDING CO LLC               | PBF Holding Co LLC / PBF Finance Corp                                            | CUSIP: 69318FAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $963219.40    | 0.04%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust   | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10576 | PA      | $8671.87      | 0.00%             | 2037-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Trust 2022-1                                                      | CUSIP: 69546MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10487177 | PA      | $10400632.18  | 0.39%             | 2029-10-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-3                                            | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    724699 | PA      | $711495.13    | 0.03%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2499788 | PA      | $2574501.63   | 0.10%             | 2032-06-15      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-10                                             | CUSIP: 69546UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1999831 | PA      | $1863504.12   | 0.07%             | 2032-06-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | PAGAYA AI Debt Trust 2022-2                                                      | CUSIP: 69546VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4342872 | PA      | $4375893.12   | 0.16%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Trust 2025-4                                                      | CUSIP: 69547DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2007208.20   | 0.07%             | 2033-01-17      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-5                                            | CUSIP: 69547EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    872736 | PA      | $855692.43    | 0.03%             | 2029-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD              | NCL Corp Ltd                                                                     | CUSIP: 62886HBP5<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |   1350000 | PA      | $1367190.90   | 0.05%             | 2030-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NARRAGANSETT FINANCIAL           | Narragansett Financial Corp                                                      | CUSIP: 631004AE8<br>LEI: N/A                  | Long             | SN               | CORP              | US        |   2000000 | PA      | $1899813.30   | 0.07%             | 2031-05-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC           | Nationstar Mortgage Holdings Inc                                                 | CUSIP: 63861CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1254056.78   | 0.05%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC            | NESCO Holdings II Inc                                                            | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |    300000 | PA      | $292738.04    | 0.01%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers   | Neuberger Berman Loan Advisers LaSalle Street Lending CLO II Ltd                 | CUSIP: 64135QAA4<br>LEI: 254900IOVQ7KBVZKPZ16 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001194.00   | 0.07%             | 2038-04-20      | Floating      | 11.83%                | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC          | New Fortress Energy Inc                                                          | CUSIP: 644393AB6<br>LEI: 254900EICTYTCHA5X705 | Long             | DBT              | CORP              | US        |    200000 | PA      | $70161.00     | 0.00%             | 2026-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust 2021-1                                            | CUSIP: 69547JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1097324 | PA      | $1084449.46   | 0.04%             | 2027-11-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-11                                             | CUSIP: 69548EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5999311 | PA      | $6148782.45   | 0.23%             | 2032-07-15      | Fixed         | 10.33%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-11                                             | CUSIP: 69548EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1749799 | PA      | $1658381.79   | 0.06%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-6 And Pagaya AI Debt Trust 2024-6              | CUSIP: 69548LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    351685 | PA      | $360989.41    | 0.01%             | 2031-11-15      | Fixed         | 11.35%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Selection Trust                                                   | CUSIP: 69548MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1741905 | PA      | $1807147.99   | 0.07%             | 2031-12-15      | Fixed         | 10.89%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2024-8                                              | CUSIP: 69548PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2428944 | PA      | $2505094.96   | 0.09%             | 2032-01-15      | Fixed         | 10.41%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya Ai Debt Grantor Trust 2024-9                                              | CUSIP: 69548QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    892083 | PA      | $917262.87    | 0.03%             | 2032-03-15      | Fixed         | 10.11%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-1                                              | CUSIP: 69548VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5259551 | PA      | $5335736.55   | 0.20%             | 2032-07-15      | Fixed         | 10.08%                | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2018-2                                       | CUSIP: 64828CEN5<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |   1176570 | PA      | $931968.49    | 0.03%             | 2058-02-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-6                                       | CUSIP: 64828GCH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12508763 | PA      | $804663.69    | 0.03%             | 2059-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4964073 | PA      | $4043182.91   | 0.15%             | 2057-12-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAG3<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |   5116000 | PA      | $5000112.37   | 0.19%             | 2065-04-25      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | NEW Residential Mortgage Loan Trust 2025-Nqm2                                    | CUSIP: 64831XAJ7<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |  11758000 | PA      | $10451309.94  | 0.39%             | 2065-04-25      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan    | New Residential Mortgage Loan Trust 2025-NQM3                                    | CUSIP: 64832CAG8<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   2784000 | PA      | $2709990.14   | 0.10%             | 2065-05-25      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-1                                              | CUSIP: 69548VAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1249893 | PA      | $1208990.14   | 0.04%             | 2032-07-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-5                                              | CUSIP: 69548WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2001439.20   | 0.07%             | 2033-03-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust   | Pagaya AI Debt Grantor Trust 2025-5                                              | CUSIP: 69548XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $947439.00    | 0.04%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER            | Panther Escrow Issuer LLC                                                        | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1241684.88   | 0.05%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PennyMac Mortgage Investment T   | PennyMac Mortgage Investment Trust                                               | CUSIP: 70931T103<br>LEI: 549300BSSOQO1ZWDUJ97 | Long             | EC               | CORP              | US        |     81182 | NS      | $957135.78    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    900000 | PA      | $862773.39    | 0.03%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC            | PennyMac Financial Services Inc                                                  | CUSIP: 70932MAC1<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |    800000 | PA      | $783692.48    | 0.03%             | 2031-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I         | Performance Food Group Inc                                                       | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    900000 | PA      | $866069.73    | 0.03%             | 2029-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITE         | Perrigo Finance Unlimited Co                                                     | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   1200000 | PA      | $1213681.20   | 0.05%             | 2032-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PHH ESCROW ISS LCC/PHH C         | PHH Escrow Issuer LLC/PHH Corp                                                   | CUSIP: 716964AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $802255.20    | 0.03%             | 2029-11-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $412135.60    | 0.02%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                       | Phinia Inc                                                                       | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |    600000 | PA      | $611764.52    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                   | Orion CLO 2023-2 Ltd                                                             | CUSIP: BCC3CWD22<br>LEI: 2138006PMRY9TD8ETL33 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2004758.00   | 0.07%             | 2037-01-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| Helios Issuer VI, LLC            | SUNNOVA HELIOS II ISSUER LLC 2021-B                                              | CUSIP: 86744TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2046107 | PA      | $1696530.80   | 0.06%             | 2048-07-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| HELIOS 2024-1                    | HELIOS 2024-1                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | USGSE             | US        |  57675844 | PA      | $61141758.21  | 2.27%             | 2034-06-06      | Fixed         | 12.63%                | No            |                  2 | On Loan: No      |
| N/A                              | US 5YR NOTE (CBT) Sep25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       304 | NC      | $-67564.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                              | CDX44IG CDS (BUY PROTECTION)                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |         1 | NC      | $-11386333.33 | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                              | US 10YR NOTE (CBT)Sep25                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -766 | NC      | $212740.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2382859 | PA      | $1660888.18   | 0.06%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RCA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566000 | PA      | $740887.13    | 0.03%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9256925 | PA      | $7065283.22   | 0.26%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management      | RCKT Mortgage Trust 2022-1                                                       | CUSIP: 74938FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5197193 | PA      | $3621991.37   | 0.13%             | 2052-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2963880 | PA      | $2515661.34   | 0.09%             | 2061-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2021-2                                             | CUSIP: 78432YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1587747 | PA      | $1278020.45   | 0.05%             | 2061-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust             | STAR 2022-SFR3 Trust                                                             | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1967852 | PA      | $1977261.67   | 0.07%             | 2039-05-17      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC         | Sensata Technologies Inc                                                         | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $913360.40    | 0.03%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-4                                                    | CUSIP: 81743JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1901778 | PA      | $1906066.43   | 0.07%             | 2053-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2005-2                                                    | CUSIP: 81744FHD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2853756 | PA      | $0.00         | 0.00%             | 2035-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2007-1                                                    | CUSIP: 81744HAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1612944 | PA      | $1156564.50   | 0.04%             | 2046-10-20      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2021-1                                                    | CUSIP: 81747KCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2344337 | PA      | $1426625.16   | 0.05%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2024-7                                                    | CUSIP: 81748EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3492801 | PA      | $3526520.27   | 0.13%             | 2054-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2023-5                                                    | CUSIP: 81749FCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1191000 | PA      | $917240.31    | 0.03%             | 2053-12-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust           | Sequoia Mortgage Trust 2024-8                                                    | CUSIP: 81749NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2821975 | PA      | $2562458.09   | 0.10%             | 2054-09-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners              | SG Residential Mortgage Trust 2020-2                                             | CUSIP: 81882JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518034 | PA      | $473721.28    | 0.02%             | 2065-05-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| SHELF DRILL HOLD LTD             | Shelf Drilling Holdings Ltd                                                      | CUSIP: 822538AH7<br>LEI: 54930078ZJ3XP4MRYB68 | Long             | DBT              | CORP              | KY        |   1510000 | PA      | $1294376.98   | 0.05%             | 2029-04-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust   | Shellpoint Asset Funding Trust 2013-1                                            | CUSIP: 822804AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782566 | PA      | $684937.88    | 0.03%             | 2043-07-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd            | Silver Point CLO 10 Ltd                                                          | CUSIP: 827920AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3000000.00   | 0.11%             | 2038-07-15      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOOD INC/SIMMONS         | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed   | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $331660.98    | 0.01%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SKOPOS AUTO RECEIVABLES TRUST    | Skopos Auto Receivables Trust 2019-1                                             | CUSIP: 83085DAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    707993 | PA      | $709418.05    | 0.03%             | 2026-06-15      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| SOUTH ST SEC FUND LLC            | South Street Securities Funding LLC                                              | CUSIP: 84046SAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1002511.87   | 0.04%             | 2026-12-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS   | Spruce Hill Mortgage Loan Trust 2020-SH1                                         | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5336946.00   | 0.20%             | 2050-01-28      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET         | Smyrna Ready Mix Concrete LLC                                                    | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1895303.20   | 0.07%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI         | Standard Building Solutions Inc                                                  | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1226258.40   | 0.05%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential    | Starwood Mortgage Residential Trust 2021-2                                       | CUSIP: 85573HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126639 | PA      | $119577.86    | 0.00%             | 2065-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                     | US Foods Inc                                                                     | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |    200000 | PA      | $208622.40    | 0.01%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82357 | PA      | $82076.64     | 0.00%             | 2025-10-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $550518.67    | 0.02%             | 2025-12-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC            | US Auto Funding Trust 2022-1                                                     | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2053000 | PA      | $20.53        | 0.00%             | 2027-07-15      | Fixed         | 9.14%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2023-1                                              | CUSIP: 91679AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3686976.00   | 0.14%             | 2033-02-20      | Fixed         | 11.10%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2025-2                                              | CUSIP: 91679EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3277915.55   | 0.12%             | 2035-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-5                                              | CUSIP: 91679JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6379122 | PA      | $6306247.42   | 0.23%             | 2031-11-20      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-2                                              | CUSIP: 91679TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3313058 | PA      | $2966532.23   | 0.11%             | 2032-05-20      | Fixed         | 8.43%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2022-1                                              | CUSIP: 91679WAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1062939.78   | 0.04%             | 2032-03-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2021-4                                              | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2487060 | PA      | $2455295.50   | 0.09%             | 2031-09-20      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2023-2                                              | CUSIP: 91683VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2131173.60   | 0.08%             | 2033-06-20      | Fixed         | 11.87%                | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust     | Upstart Securitization Trust 2025-1                                              | CUSIP: 91684PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2820000 | PA      | $2861958.78   | 0.11%             | 2035-04-20      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN         | USA Compression Partners LP / USA Compression Finance Corp                       | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $644444.82    | 0.02%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC   | VCAT 2025-NPL1 LLC                                                               | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    839932 | PA      | $846108.66    | 0.03%             | 2055-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    950000 | PA      | $983286.10    | 0.04%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC           | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | EP               | CORP              | US        |    215000 | PA      | $215248.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2025-1                                              | CUSIP: 92511BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1420108.76   | 0.05%             | 2029-12-17      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2025-1                                              | CUSIP: 92511BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1561182.15   | 0.06%             | 2032-05-17      | Fixed         | 8.79%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust     | Veros Auto Receivables Trust 2024-1                                              | CUSIP: 92512WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3700246.20   | 0.14%             | 2031-05-15      | Fixed         | 9.87%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1840982.50   | 0.07%             | 2066-06-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2023-6                                                | CUSIP: 92539XAF1<br>LEI: 984500915DDB7T2ACA27 | Long             | ABS-MBS          | CORP              | US        |   3450000 | PA      | $3468084.90   | 0.13%             | 2068-09-25      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-1                                                | CUSIP: 92540TAF7<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1192022.50   | 0.04%             | 2070-01-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2025-5                                                | CUSIP: 92540XAF8<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1319066.10   | 0.05%             | 2070-06-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| WFLD MORTGAGE TRUST              | WFLD 2014-MONT Mortgage Trust                                                    | CUSIP: 92939GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1561964 | PA      | $1499864.59   | 0.06%             | 2031-08-10      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818000 | PA      | $969863.00    | 0.04%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1011000 | PA      | $498133.85    | 0.02%             | 2050-12-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477144 | PA      | $1132891.04   | 0.04%             | 2051-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2022-1 Trust                              | CUSIP: 95003HBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158000 | PA      | $534778.30    | 0.02%             | 2051-08-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNF4<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |  11520106 | PA      | $11364112.34  | 0.42%             | 2059-07-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNG2<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6729107 | PA      | $6559243.78   | 0.24%             | 2059-07-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Western Alliance Bank            | Western Alliance Bank                                                            | CUSIP: 95763PNH0<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   6600000 | PA      | $6551054.40   | 0.24%             | 2059-07-25      | Floating      | 12.85%                | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable   | Westlake Automobile Receivables Trust 2021-3                                     | CUSIP: 96043JAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2960217.00   | 0.11%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC              | White Cap Buyer LLC                                                              | CUSIP: 96350RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3094280.81   | 0.11%             | 2028-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Whitehorse Ltd                   | Whitehorse XII Ltd                                                               | CUSIP: 96525YAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2130000 | PA      | $2130768.93   | 0.08%             | 2031-10-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO         | Wildfire Intermediate Holdings LLC                                               | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199508.17    | 0.01%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC            | Williams Scotsman Inc                                                            | CUSIP: 96949VAN3<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1031825.50   | 0.04%             | 2030-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd               | Wind River 2023-1 CLO Ltd                                                        | CUSIP: 97316RAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4029704.00   | 0.15%             | 2038-07-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-1                                              | CUSIP: 97652PAY7<br>LEI: 5493002CYMIHYUBDIR84 | Long             | ABS-MBS          | CORP              | US        |   2370000 | PA      | $1840160.43   | 0.07%             | 2044-06-20      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust     | WinWater Mortgage Loan Trust 2014-2                                              | CUSIP: 97652QBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938000 | PA      | $1629588.62   | 0.06%             | 2044-09-20      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                  | Venture XVIII CLO Ltd                                                            | CUSIP: BCC2EMJ10<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |   2074673 | PA      | $2078339.22   | 0.08%             | 2029-10-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp               | Rithm Capital Corp                                                               | CUSIP: 64828T201<br>LEI: 549300WNTHGEO5LP2G31 | Long             | EC               | CORP              | US        |    158870 | NS      | $1911206.10   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| SAKS GLOBAL ENTERPRS LLC         | Saks Global Enterprises LLC                                                      | CUSIP: 79380MAA3<br>LEI: 5493007HQSJGRH78Q684 | Long             | DBT              | CORP              | US        |    350000 | PA      | $80500.00     | 0.00%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS/SALLY CAP         | Sally Holdings LLC / Sally Capital Inc                                           | CUSIP: 79546VAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $924815.70    | 0.03%             | 2032-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                | CUSIP: 79581PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2243944 | PA      | $2180628.52   | 0.08%             | 2050-05-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Tr   | Sunbit Asset Securitization Trust 2025-1                                         | CUSIP: 86709SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $999803.00    | 0.04%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Sunbit Asset Securitization Tr   | Sunbit Asset Securitization Tr                                                   | CUSIP: 86709SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $749952.08    | 0.03%             | 2030-07-15      | Fixed         | 7.92%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC               | SunCoke Energy Inc                                                               | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2334359.51   | 0.09%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL         | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2251632.15   | 0.08%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-8                                                | CUSIP: 924922AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534906 | PA      | $541053.31    | 0.02%             | 2067-09-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-INV2                                             | CUSIP: 924923AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1401381.80   | 0.05%             | 2067-10-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1512741 | PA      | $1233586.14   | 0.05%             | 2066-07-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-4                                                | CUSIP: 92538NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8741000 | PA      | $8024001.99   | 0.30%             | 2067-04-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2071327.50   | 0.08%             | 2067-02-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5296000 | PA      | $4024594.58   | 0.15%             | 2067-02-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-2                                                | CUSIP: 92538XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6743650 | PA      | $5682637.83   | 0.21%             | 2067-02-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2023-INV1                                             | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2336737.90   | 0.09%             | 2068-02-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-INV1                                             | CUSIP: 92539JAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3483000 | PA      | $3406736.23   | 0.13%             | 2067-08-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-INV1                                             | CUSIP: 92539JAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2121178.40   | 0.08%             | 2067-08-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1258934.25   | 0.05%             | 2066-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2270000 | PA      | $1622078.44   | 0.06%             | 2066-06-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-7                                                | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $963723.00    | 0.04%             | 2067-07-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-7                                                | CUSIP: 92539NAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3119000 | PA      | $3074111.35   | 0.11%             | 2067-07-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust       | Verus Securitization Trust 2022-7                                                | CUSIP: 92539NAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5880672.00   | 0.22%             | 2067-07-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                  | Vibrant CLO XII Ltd                                                              | CUSIP: 92558WAW2<br>LEI: 5493000EYQWTOWOLAO60 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4012312.00   | 0.15%             | 2034-04-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES1                                       | CUSIP: 92839HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1051967.00   | 0.04%             | 2054-05-25      | Variable      | 10.35%                | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES3                                       | CUSIP: 92841WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2020308.00   | 0.07%             | 2055-01-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust 2024-CES3                                       | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1772914.50   | 0.07%             | 2055-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust Series 2024-CES2                                | CUSIP: 92841YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $991217.00    | 0.04%             | 2054-10-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru   | Vista Point Securitization Trust Series 2024-CES2                                | CUSIP: 92841YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1018287.00   | 0.04%             | 2054-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-3 Trust                              | CUSIP: 949831BL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627000 | PA      | $1119265.36   | 0.04%             | 2049-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se   | Wells Fargo Mortgage Backed Securities 2019-4 Trust                              | CUSIP: 95002FBL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124000 | PA      | $1366175.92   | 0.05%             | 2049-09-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   7825000 | PA      | $7558325.57   | 0.28%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RGG3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $711485.11    | 0.03%             | 2029-04-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RJS4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5063722.00   | 0.19%             | 2029-06-20      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2786568.13   | 0.10%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding   | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RKH6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1257803.50   | 0.05%             | 2028-02-20      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4773724.80   | 0.18%             | 2041-02-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-BIO                                                                | CUSIP: 05612AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3278454.30   | 0.12%             | 2041-02-15      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2467516 | PA      | $2480642.81   | 0.09%             | 2034-05-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $291447.90    | 0.01%             | 2029-07-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4408420.50   | 0.16%             | 2029-07-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Trust 2025-VLT7                                                               | CUSIP: 123913AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3716934.90   | 0.14%             | 2044-07-15      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                         | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1591532 | PA      | $1600600.41   | 0.06%             | 2039-08-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC            | Caesars Entertainment Inc                                                        | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1636145.25   | 0.06%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAL Receivables LLC              | CAL Receivables 2022-1 LLC                                                       | CUSIP: 12804BAB4<br>LEI: 549300GJW1JSYKS6S265 | Long             | ABS-O            | CORP              | US        |   4354668 | PA      | $4348240.90   | 0.16%             | 2026-10-15      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD           | Calumet Specialty Products Partners LP / Calumet Finance Corp                    | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $480372.50    | 0.02%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO              | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAQ9<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |   8500000 | PA      | $8533549.50   | 0.32%             | 2037-01-20      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| CAPSTONE COPPER CORP             | Capstone Copper Corp                                                             | CUSIP: 14071LAA6<br>LEI: 549300III6KGKKC42W63 | Long             | DBT              | CORP              | CA        |   1900000 | PA      | $1937663.70   | 0.07%             | 2033-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi   | Carlyle US CLO 2022-6 Ltd                                                        | CUSIP: 14317NAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3036540.00   | 0.11%             | 2036-10-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                    | Carnival Corp                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    600000 | PA      | $611019.60    | 0.02%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust    | CarNow Auto Receivables Trust 2022-1                                             | CUSIP: 14367LAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2294439 | PA      | $2222364.75   | 0.08%             | 2027-09-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| CARS.COM INC                     | Cars.com Inc                                                                     | CUSIP: 14575EAA3<br>LEI: 5493002G6J07LNGX4M98 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2097428.34   | 0.08%             | 2028-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N2                                           | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11855105 | PA      | $11574423.49  | 0.43%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2019-4                                            | CUSIP: 14686YAK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13000 | PA      | $1728983.13   | 0.06%             | 2026-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust   | Carvana Auto Receivables Trust 2021-N1                                           | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865648 | PA      | $860108.65    | 0.03%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                  | ChaseFlex Trust Series 2005-2                                                    | CUSIP: 16165TBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1318596 | PA      | $753130.33    | 0.03%             | 2035-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4               | CUSIP: 16678RFZ5<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-MBS          | CORP              | US        |  14069040 | PA      | $191156.05    | 0.01%             | 2037-04-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora   | JPMorgan Chase Bank NA - CHASE                                                   | CUSIP: 46591HAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6690285 | PA      | $7022986.24   | 0.26%             | 2057-10-25      | Floating      | 14.47%                | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-22

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

**Signature:** /s/ Michael Colombo

**Name of Signer:** Michael Colombo

**Title:** Secretary