# EDGAR Filing Document

**Accession Number:** 0001392116
**File Stem:** 0001752724-23-038634
**Filing Date:** 2023-2
**Character Count:** 300648
**Document Hash:** 8eef33873330307d6b0712b778c82654
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-038634.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-038634

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya Separate Portfolios Trust
- **CENTRAL INDEX KEY:** 0001392116
- **IRS NUMBER:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22025
- **FILM NUMBER:** 23664678

**BUSINESS ADDRESS:**
- **BUSINESS PHONE:** 800-992-0180

**MAIL ADDRESS:**
- **STREET 1:** 7337 EAST DOUBLETREE RANCH ROAD
- **STREET 2:** STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258-2034

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING Separate Portfolios Trust
- **DATE OF NAME CHANGE:** 20070306

## Series and Classes Contracts Data

### Voya Securitized Credit Fund (Series ID: S000046242)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000144550 | Class P      | VSCFX           |
| C000159005 | Class A      | VCFAX           |
| C000159006 | Class I      | VCFIX           |
| C000191194 | Class W      | VSCWX           |
| C000221175 | Class R6     | VCFRX           |

## Nport-Ex

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Principal <br> Amount†** | | **Value** | **Percentage<br> of Net<br> Assets** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS: 26.6%** | **COLLATERALIZED MORTGAGE OBLIGATIONS: 26.6%** | **COLLATERALIZED MORTGAGE OBLIGATIONS: 26.6%** |  |
| 1401665<sup>(1),(2)</sup> | Agate Bay Mortgage Trust 2015-1 B4, 3.666%, 01/25/2045 | $1057335 | 0.1 |
| 664837<sup>(1),(2)</sup> | Agate Bay Mortgage Trust 2015-3 B4, 3.543%, 04/25/2045 | 591031 | 0.1 |
| 530784<sup>(1),(2)</sup> | Agate Bay Mortgage Trust 2015-4 B3, 3.523%, 06/25/2045 | 434810 | 0 |
| 558015<sup>(1),(2)</sup> | Agate Bay Mortgage Trust 2016-1 B3, 3.659%, 12/25/2045 | 465967 | 0.1 |
| 646000<sup>(1),(2)</sup> | Agate Bay Mortgage Trust 2016-1 B4, 3.659%, 12/25/2045 | 526820 | 0.1 |
| 1258105<sup>(1),(2)</sup> | Agate Bay Mortgage Trust 2016-2 B3, 3.773%, 03/25/2046 | 1131789 | 0.1 |
| 998319<sup>(1),(2)</sup> | Agate Bay Mortgage Trust 2016-2 B4, 3.773%, 03/25/2046 | 684831 | 0.1 |
| 328734 | Alternative Loan Trust 2004-32CB 2A2, 4.789%, (US0001M + 0.400%), 02/25/2035 | 306928 | 0 |
| 502247 | Alternative Loan Trust 2004-J7 MI, 4.179%, (US0001M + 1.020%), 10/25/2034 | 500140 | 0.1 |
| 280827 | Alternative Loan Trust 2005-31 1A1, 4.949%, (US0001M + 0.560%), 08/25/2035 | 239921 | 0 |
| 214923 | Alternative Loan Trust 2005-65CB 1A3, 5.500%, 01/25/2036 | 148437 | 0 |
| 393797 | Alternative Loan Trust 2005-J2 1A12, 4.789%, (US0001M + 0.400%), 04/25/2035 | 308576 | 0 |
| 269680 | Alternative Loan Trust 2006-19CB A12, 4.789%, (US0001M + 0.400%), 08/25/2036 | 137366 | 0 |
| 617454 | Alternative Loan Trust 2006-20CB A9, 6.000%, 07/25/2036 | 301636 | 0 |
| 376645 | Alternative Loan Trust 2007-18CB 1A7, 4.859%, (US0001M + 0.470%), 08/25/2037 | 119987 | 0 |
| 953446 | Alternative Loan Trust 2007-OA4 A1, 4.729%, (US0001M + 0.170%), 05/25/2047 | 804329 | 0.1 |
| 758351<sup>(1),(2)</sup> | Arroyo Mortgage Trust 2019-3 A3, 3.416%, 10/25/2048 | 698157 | 0.1 |
| 1950349<sup>(1),(2)</sup> | Bayview MSR Opportunity Master Fund Trust 2021-5 B3A, 3.488%, 11/25/2051 | 1413741 | 0.2 |
| 2494710<sup>(1),(2)</sup> | Bayview MSR Opportunity Master Fund Trust 2021-6 B3A, 3.391%, 10/25/2051 | 1861622 | 0.2 |
| 2044965<sup>(1),(2)</sup> | Bayview MSR Opportunity Master Fund Trust 2022-2 B3A, 3.411%, 12/25/2051 | 1424446 | 0.2 |
| 141051<sup>(1)</sup> | Bear Stearns ALT-A Trust 2005-10 21A1, 3.449%, 01/25/2036 | 135850 | 0 |
| 130293<sup>(1)</sup> | Bear Stearns ALT-A Trust 2005-4 23A1, 3.115%, 05/25/2035 | 121170 | 0 |
| 236997<sup>(1)</sup> | Bear Stearns ALT-A Trust 2005-7 21A1, 3.899%, 09/25/2035 | 192932 | 0 |
| 1441689<sup>(1)</sup> | Bear Stearns ALT-A Trust 2005-9 26A1, 3.579%, 11/25/2035 | 967385 | 0.1 |
| 113390<sup>(1)</sup> | Chase Mortgage Finance Trust Series 2006-A1 2A3, 3.989%, 09/25/2036 | 97637 | 0 |
| 53993<sup>(1)</sup> | Chase Mortgage Finance Trust Series 2007-A1 1A2, 3.492%, 02/25/2037 | 51355 | 0 |
| 230315<sup>(1)</sup> | CHL Mortgage Pass-Through Trust 2004-22 A3, 3.793%, 11/25/2034 | 208127 | 0 |
| 432384 | CHL Mortgage Pass-Through Trust 2006-1 A2, 6.000%, 03/25/2036 | 248068 | 0 |
| 361277 | CHL Mortgage Pass-Through Trust 2007-7 A7, 5.750%, 06/25/2037 | 195341 | 0 |
| 466989<sup>(1),(2)</sup> | CIM Trust 2018-INV1 A10, 4.000%, 08/25/2048 | 437930 | 0.1 |
| 61855<sup>(1),(2)</sup> | CIM Trust 2019-INV1 A1, 4.000%, 02/25/2049 | 58115 | 0 |
| 267976<sup>(1),(2)</sup> | CIM Trust 2019-INV3 A15, 3.500%, 08/25/2049 | 243656 | 0 |
| 886109<sup>(1),(2)</sup> | CIM Trust 2019-J1 B3, 3.943%, 08/25/2049 | 704900 | 0.1 |
| 500000<sup>(1),(2)</sup> | CIM Trust 2019-R5 M2, 3.250%, 09/25/2059 | 435076 | 0 |
| 947274<sup>(1),(2)</sup> | CIM Trust 2020-J1 B3, 3.444%, 07/25/2050 | 730700 | 0.1 |
| 947220<sup>(1),(2)</sup> | CIM Trust 2020-J2 B2, 2.758%, 01/25/2051 | 667622 | 0.1 |
| 1249384<sup>(1),(2)</sup> | CIM Trust 2020-J2 B3, 2.758%, 01/25/2051 | 836673 | 0.1 |
| 235740<sup>(1)</sup> | Citigroup Mortgage Loan Trust 2006-AR2 1A1, 3.412%, 03/25/2036 | 183855 | 0 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 211672<sup>(1)</sup> | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.871%, 09/25/2037 | 182110 | 0.0 |
| 594516<sup>(1),(2)</sup> | Citigroup Mortgage Loan Trust 2013-7 2A2, 3.294%, 08/25/2036 | 561193 | 0.1 |
| 1496360<sup>(1),(2)</sup> | Citigroup Mortgage Loan Trust 2021-J3 B3W, 2.858%, 09/25/2051 | 1027479 | 0.1 |
| 466217 | Citigroup Mortgage Loan Trust, Inc. 2005-9 22A2, 6.000%, 11/25/2035 | 452482 | 0.1 |
| 139737 | CitiMortgage Alternative Loan Trust Series 2007-A6 1A10, 6.000%, 06/25/2037 | 119439 | 0.0 |
| 922075<sup>(1),(2)</sup> | COLT 2022-5 A1 Mortgage Loan Trust, 4.550%, 04/25/2067 | 892622 | 0.1 |
| 834009<sup>(2)</sup> | Connecticut Avenue Securities Trust 2020-R02 2M2, 6.389%, (US0001M + 2.000%), 01/25/2040 | 821902 | 0.1 |
| 3500000<sup>(2)</sup> | Connecticut Avenue Securities Trust 2022-R01 1B1, 7.078%, (SOFR30A + 3.150%), 12/25/2041 | 3295088 | 0.4 |
| 1500000<sup>(2)</sup> | Connecticut Avenue Securities Trust 2022-R02 2B1, 8.428%, (SOFR30A + 4.500%), 01/25/2042 | 1424185 | 0.2 |
| 617002<sup>(1),(2),(3)</sup> | CSMC 2019-AFC1 A3 Trust, 2.877% (Step Rate @ 3.877% on 08/01/2023), 07/25/2049 | 574104 | 0.1 |
| 1000000<sup>(1),(2)</sup> | CSMC 2021-AFC1 M1 Trust, 2.193%, 03/25/2056 | 662243 | 0.1 |
| 186377<sup>(1),(2)</sup> | CSMC Trust 2013-IVR3 B3, 3.402%, 05/25/2043 | 174047 | 0.0 |
| 230384<sup>(1),(2)</sup> | CSMC Trust 2013-IVR5 B3, 3.623%, 10/25/2043 | 216912 | 0.0 |
| 326891<sup>(1),(2)</sup> | CSMC Trust 2014-IVR1 B3, 3.594%, 11/25/2043 | 303529 | 0.0 |
| 278929<sup>(1),(2)</sup> | CSMC Trust 2014-IVR2 B3, 3.782%, 04/25/2044 | 261221 | 0.0 |
| 394978<sup>(1),(2)</sup> | CSMC Trust 2014-IVR3 B3, 4.050%, 07/25/2044 | 368200 | 0.0 |
| 2000000<sup>(1),(2)</sup> | Deephaven Residential Mortgage Trust 2021-4 M1, 3.257%, 11/25/2066 | 1279885 | 0.1 |
| 313678<sup>(1),(2)</sup> | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates Series 2007-WM1 A1, 3.465%, 06/27/2037 | 271028 | 0.0 |
| 1000000<sup>(2)</sup> | Eagle RE 2021-2 M1C Ltd., 7.378%, (SOFR30A + 3.450%), 04/25/2034 | 984229 | 0.1 |
| 2900000<sup>(2)</sup> | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 8.039%, (US0001M + 3.650%), 02/25/2040 | 2869984 | 0.3 |
| 1000000<sup>(2)</sup> | Fannie Mae Connecticut Avenue Securities 2021-R02 2B1, 7.228%, (SOFR30A + 3.300%), 11/25/2041 | 925888 | 0.1 |
| 846290<sup>(2)</sup> | Fannie Mae Connecticut Avenue Securities Trust 2019-R05 1B1, 8.489%, (US0001M + 4.100%), 07/25/2039 | 858210 | 0.1 |
| 23166<sup>(2)</sup> | Fannie Mae Connecticut Avenue Securities Trust 2019-R06 2M2, 6.489%, (US0001M + 2.100%), 09/25/2039 | 23136 | 0.0 |
| 348370<sup>(2)</sup> | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 6.439%, (US0001M + 2.050%), 01/25/2040 | 346186 | 0.0 |
| 888509<sup>(1),(2)</sup> | Figure Line of Credit Trust 2020-1 A, 4.040%, 09/25/2049 | 850797 | 0.1 |
| 899405<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2018-2 B2, 4.001%, 04/25/2048 | 758050 | 0.1 |
| 1390786<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2018-4 B3, 4.202%, 07/25/2048 | 1202166 | 0.1 |
| 4054<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2018-5 B2, 4.475%, 09/25/2048 | 3391 | 0.0 |
| 911513<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2018-5 B3, 4.475%, 09/25/2048 | 723812 | 0.1 |
| 910940<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2018-6RR B1, 4.920%, 10/25/2048 | 799537 | 0.1 |
| 313089<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2019-1INV A15, 3.500%, 10/25/2049 | 275757 | 0.0 |
| 936259<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2019-2 B2, 4.027%, 12/25/2049 | 804852 | 0.1 |
| 4742343<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2020-1NV B2A, 4.221%, 03/25/2050 | 3782920 | 0.4 |
| 2363608<sup>(1),(2)</sup> | Flagstar Mortgage Trust 2020-1NV B3, 4.221%, 03/25/2050 | 1874933 | 0.2 |
| 1287740<sup>(2)</sup> | Freddie Mac STACR Remic Trust 2020-DNA2 M2, 6.239%, (US0001M + 1.850%), 02/25/2050 | 1285654 | 0.1 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 1182126<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2020-DNA5 M2, 6.728%, (SOFR30A + 2.800%), 10/25/2050 | 1191835 | 0.1 |
| 1164256<sup>(2)</sup> | Freddie Mac Stacr Remic Trust 2020-HQA2 M2, 7.489%, (US0001M + 3.100%), 03/25/2050 | 1181232 | 0.1 |
| 11442<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2020-HQA4 M2, 7.539%, (US0001M + 3.150%), 09/25/2050 | 11449 | 0.0 |
| 811094<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2021-DNA5 M2, 5.578%, (SOFR30A + 1.650%), 01/25/2034 | 800310 | 0.1 |
| 3900000<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2021-DNA6 B1, 7.328%, (SOFR30A + 3.400%), 10/25/2041 | 3646822 | 0.4 |
| 2000000<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2021-HQA1 M2, 6.178%, (SOFR30A + 2.250%), 08/25/2033 | 1887597 | 0.2 |
| 5000000<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2021-HQA4 B1, 7.678%, (SOFR30A + 3.750%), 12/25/2041 | 4301372 | 0.5 |
| 10000000<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2022-DNA1 B1, 7.328%, (SOFR30A + 3.400%), 01/25/2042 | 8911450 | 0.9 |
| 3000000<sup>(2)</sup> | Freddie Mac STACR REMIC Trust 2022-DNA4 M2, 9.178%, (SOFR30A + 5.250%), 05/25/2042 | 3006219 | 0.3 |
| 1600000<sup>(2)</sup> | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, 6.228%, (SOFR30A + 2.300%), 08/25/2033 | 1582957 | 0.2 |
| 2000000<sup>(2)</sup> | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 B1, 7.578%, (SOFR30A + 3.650%), 11/25/2041 | 1863886 | 0.2 |
| 6250000<sup>(2)</sup> | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 B1, 8.678%, (SOFR30A + 4.750%), 02/25/2042 | 5735609 | 0.6 |
| 5000000<sup>(2)</sup> | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 M1B, 6.328%, (SOFR30A + 2.400%), 02/25/2042 | 4869297 | 0.5 |
| 5500000<sup>(2)</sup> | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 M2, 7.678%, (SOFR30A + 3.750%), 02/25/2042 | 5189735 | 0.6 |
| 493480<sup>(1),(2)</sup> | Galton Funding Mortgage Trust 2018-2 A51, 4.500%, 10/25/2058 | 467482 | 0.1 |
| 47391<sup>(1),(2)</sup> | Galton Funding Mortgage Trust 2019-1 A21, 4.500%, 02/25/2059 | 46010 | 0.0 |
| 947934<sup>(1),(2)</sup> | Galton Funding Mortgage Trust 2019-1 B2, 4.500%, 02/25/2059 | 826228 | 0.1 |
| 156586<sup>(1),(2)</sup> | GS Mortage-Backed Securities Trust 2020-PJ1 A1, 3.500%, 05/25/2050 | 136998 | 0.0 |
| 266197<sup>(1),(2)</sup> | GS Mortage-Backed Securities Trust 2020-PJ1 A4, 3.500%, 05/25/2050 | 224212 | 0.0 |
| 626376<sup>(1),(2)</sup> | GS Mortage-Backed Securities Trust 2020-PJ1 A8, 3.500%, 05/25/2050 | 548017 | 0.1 |
| 2104269<sup>(1),(2)</sup> | GS Mortage-Backed Securities Trust 2020-PJ1 B3, 3.625%, 05/25/2050 | 1645582 | 0.2 |
| 802846<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2019-PJ1 B3, 4.061%, 08/25/2049 | 650257 | 0.1 |
| 85884<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 81264 | 0.0 |
| 921743<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B2, 4.336%, 11/25/2049 | 796384 | 0.1 |
| 115588<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 A1, 3.500%, 03/25/2050 | 107316 | 0.0 |
| 908354<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B1, 3.986%, 03/25/2050 | 783487 | 0.1 |
| 3439332<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B2, 3.986%, 03/25/2050 | 2931530 | 0.3 |
| 2940466<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B3, 3.986%, 03/25/2050 | 2440890 | 0.3 |
| 1243557<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Corp. Trust 2021-PJ3 B3, 2.652%, 08/25/2051 | 828720 | 0.1 |
| 978452<sup>(1),(2)</sup> | GS Mortgage-Backed Securities Trust 2021-GR3 B3, 3.390%, 04/25/2052 | 681225 | 0.1 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 978452 | GS Mortgage-Backed Securities Trust 2021-GR3 B4, 3.390%, 04/25/2052 | 621538 | 0.1 |
| 93328<sup>(1)</sup> | GSR Mortgage Loan Trust 2005-AR5 2A3, 3.557%, 10/25/2035 | 54338 | 0.0 |
| 191228<sup>(1)</sup> | GSR Mortgage Loan Trust 2006-AR1 2A1, 3.796%, 01/25/2036 | 183887 | 0.0 |
| 671022 | HarborView Mortgage Loan Trust 2007-5 A1A, 4.529%, (US0001M + 0.190%), 09/19/2037 | 576416 | 0.1 |
| 4000000<sup>(2)</sup> | Home RE 2019-1 M2 Ltd., 7.639%, (US0001M + 3.250%), 05/25/2029 | 3949318 | 0.4 |
| 2473565<sup>(1),(2)</sup> | Hundred Acre Wood Trust 2021-INV3 B3, 3.326%, 10/25/2051 | 1743147 | 0.2 |
| 1500000<sup>(1),(2)</sup> | Imperial Fund Mortgage Trust 2021-NQM4 M1, 3.446%, 01/25/2057 | 970161 | 0.1 |
| 2454001 | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 4.809%, (US0001M + 0.420%), 02/25/2046 | 1734099 | 0.2 |
| 43818<sup>(1),(2)</sup> | J.P. Morgan Mortgage Trust 2019-2 A15, 4.000%, 08/25/2049 | 41854 | 0.0 |
| 30124<sup>(1),(2)</sup> | J.P. Morgan Mortgage Trust 2019-2 A3, 4.000%, 08/25/2049 | 28774 | 0.0 |
| 927166<sup>(1),(2)</sup> | J.P. Morgan Mortgage Trust 2019-2 B1, 4.488%, 08/25/2049 | 821822 | 0.1 |
| 927166<sup>(1),(2)</sup> | J.P. Morgan Mortgage Trust 2019-2 B2, 4.488%, 08/25/2049 | 800551 | 0.1 |
| 1089976<sup>(1),(2)</sup> | J.P. Morgan Mortgage Trust 2019-LTV1 B2, 4.545%, 06/25/2049 | 1020481 | 0.1 |
| 1466414<sup>(1),(2)</sup> | J.P. Morgan Mortgage Trust 2021-14 B4, 3.170%, 05/25/2052 | 927859 | 0.1 |
| 1665773<sup>(1),(2)</sup> | J.P. Morgan Mortgage Trust 2022-1 B3, 3.095%, 07/25/2052 | 1177435 | 0.1 |
| 468859 | JP Morgan Mortgage Trust 2006-S2 1A18, 6.000%, 07/25/2036 | 276613 | 0.0 |
| 103045<sup>(1)</sup> | JP Morgan Mortgage Trust 2007-A3 1A1, 3.427%, 05/25/2037 | 89180 | 0.0 |
| 929393 | JP Morgan Mortgage Trust 2007-S1 2A22, 5.750%, 03/25/2037 | 407414 | 0.0 |
| 1210082<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2014-1 B5, 3.676%, 01/25/2044 | 1034871 | 0.1 |
| 786000<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2014-5 B4, 2.787%, 10/25/2029 | 615839 | 0.1 |
| 1264067<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2015-4 B4, 3.548%, 06/25/2045 | 837815 | 0.1 |
| 1000000<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2016-1 B4, 3.786%, 05/25/2046 | 662375 | 0.1 |
| 3335852<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2017-1 B4, 3.449%, 01/25/2047 | 2741471 | 0.3 |
| 841600<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2017-3 B1, 3.752%, 08/25/2047 | 726555 | 0.1 |
| 1325726<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2017-4 B2, 3.870%, 11/25/2048 | 1128429 | 0.1 |
| 1338294<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2017-6 B4, 3.782%, 12/25/2048 | 1110819 | 0.1 |
| 1445725<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-3 B2, 3.711%, 09/25/2048 | 1204719 | 0.1 |
| 2048482<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-3 B3, 3.711%, 09/25/2048 | 1677888 | 0.2 |
| 986005<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-4 B1, 3.716%, 10/25/2048 | 811583 | 0.1 |
| 2061646<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-4 B2, 3.716%, 10/25/2048 | 1686959 | 0.2 |
| 288555<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-6 1A10, 3.500%, 12/25/2048 | 247792 | 0.0 |
| 1820269<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-8 B1, 4.038%, 01/25/2049 | 1538223 | 0.2 |
| 910135<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-8 B2, 4.038%, 01/25/2049 | 767166 | 0.1 |
| 910178<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-9 B2, 4.223%, 02/25/2049 | 761737 | 0.1 |
| 912039<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2018-9 B3, 4.223%, 02/25/2049 | 749010 | 0.1 |
| 113560<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-1 A3, 4.000%, 05/25/2049 | 106581 | 0.0 |
| 1927309<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-5 B2, 4.485%, 11/25/2049 | 1708688 | 0.2 |
| 935582<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-6 B1, 4.207%, 12/25/2049 | 780104 | 0.1 |
| 1871164<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-6 B2, 4.207%, 12/25/2049 | 1624532 | 0.2 |
| 424783<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-7 A15, 3.500%, 02/25/2050 | 360218 | 0.0 |
| 2773289<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-7 B3A, 3.276%, 02/25/2050 | 2196153 | 0.2 |
| 382744<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-8 A15, 3.500%, 03/25/2050 | 326648 | 0.0 |
| 2791477<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-8 B3A, 3.418%, 03/25/2050 | 2274596 | 0.2 |
| 2430350<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-9 B2A, 3.401%, 05/25/2050 | 1914028 | 0.2 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 2972244 | JP Morgan Mortgage Trust 2019-HYB1 B1, 4.184%, 10/25/2049 | 2734114 | 0.3 |
| 1624251<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-INV1 B2, 4.978%, 10/25/2049 | 1432376 | 0.2 |
| 423091<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-INV2 A15, 3.500%, 02/25/2050 | 371629 | 0 |
| 183340<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-INV2 A3, 3.500%, 02/25/2050 | 165910 | 0 |
| 3310740<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-INV3 B3, 4.388%, 05/25/2050 | 2770557 | 0.3 |
| 1873008<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-LTV2 B2, 4.701%, 12/25/2049 | 1666267 | 0.2 |
| 1873008<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-LTV2 B3, 4.701%, 12/25/2049 | 1651928 | 0.2 |
| 14014<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-LTV3 A15, 3.500%, 03/25/2050 | 13577 | 0 |
| 56954<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-LTV3 A5, 3.500%, 03/25/2050 | 55253 | 0 |
| 947908<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-LTV3 B2, 4.381%, 03/25/2050 | 809627 | 0.1 |
| 2369769<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2019-LTV3 B3, 4.381%, 03/25/2050 | 2019894 | 0.2 |
| 379865<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2020-1 A7, 3.500%, 06/25/2050 | 329393 | 0 |
| 1410338<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2020-3 B2, 3.845%, 08/25/2050 | 1112586 | 0.1 |
| 1468593<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2020-4 B1, 3.653%, 11/25/2050 | 1176147 | 0.1 |
| 2368447<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2020-5 B1, 3.584%, 12/25/2050 | 1916338 | 0.2 |
| 1415791<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2020-8 B3, 3.510%, 03/25/2051 | 1046359 | 0.1 |
| 94352<sup>(1),(2)</sup> | JP Morgan Mortgage Trust 2020-LTV1 A15, 3.500%, 06/25/2050 | 91167 | 0 |
| 1638787<sup>(1),(2)</sup> | JP Morgan Trust 2015-1 B3, 4.694%, 12/25/2044 | 1532925 | 0.2 |
| 451479<sup>(1),(2)</sup> | JP Morgan Trust 2015-3 B3, 3.603%, 05/25/2045 | 389488 | 0 |
| 866534<sup>(1),(2)</sup> | JP Morgan Trust 2015-3 B4, 3.603%, 05/25/2045 | 592464 | 0.1 |
| 75386 | Lehman XS Trust Series 2005-5N 3A1B, 3.048%, (12MTA + 1.000%), 11/25/2035 | 73538 | 0 |
| 1929961<sup>(1),(2)</sup> | Mello Mortgage Capital Acceptance 2018-MTG2 B2, 4.324%, 10/25/2048 | 1665832 | 0.2 |
| 965217<sup>(1),(2)</sup> | Mello Mortgage Capital Acceptance 2021-MTG3 B3, 2.900%, 07/01/2051 | 699564 | 0.1 |
| 2454124<sup>(1),(2)</sup> | Mello Mortgage Capital Acceptance 2022-INV1 B3, 3.324%, 03/25/2052 | 1740588 | 0.2 |
| 387238<sup>(1),(2)</sup> | MFA 2020-NQM3 A3 Trust, 1.632%, 01/26/2065 | 356222 | 0 |
| 3489000<sup>(1),(2)</sup> | MFA 2021-INV2 M1 Trust, 3.199%, 11/25/2056 | 2201935 | 0.2 |
| 700000<sup>(1),(2)</sup> | MFRA Trust 2021-INV1 M1, 2.288%, 01/25/2056 | 517544 | 0.1 |
| 118929 | Morgan Stanley Mortgage Loan Trust 2005-10 4A1, 5.500%, 12/25/2035 | 73781 | 0 |
| 900000 | Morgan Stanley Mortgage Loan Trust 2005-5AR 1B1, 6.189%, (US0001M + 1.800%), 09/25/2035 | 857987 | 0.1 |
| 1823584<sup>(1),(2)</sup> | New Residential Mortgage Loan Trust 2017-6A B2, 4.000%, 08/27/2057 | 1665170 | 0.2 |
| 3800000<sup>(2)</sup> | Oaktown Re VII Ltd. 2021-2 M1C, 7.278%, (SOFR30A + 3.350%), 04/25/2034 | 3306178 | 0.4 |
| 49903<sup>(1),(2)</sup> | OBX 2019-EXP1 1A3 Trust, 4.000%, 01/25/2059 | 46914 | 0 |
| 152284<sup>(1),(2)</sup> | OBX 2019-EXP3 1A9 Trust, 3.500%, 10/25/2059 | 141080 | 0 |
| 146694<sup>(1),(2)</sup> | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | 137704 | 0 |
| 306303<sup>(1),(2)</sup> | OBX 2020-EXP3 1A9 Trust, 3.000%, 01/25/2060 | 266686 | 0 |
| 352796<sup>(1),(2)</sup> | OBX 2020-INV1 A21 Trust, 3.500%, 12/25/2049 | 304032 | 0 |
| 1408982<sup>(1),(2)</sup> | OBX 2022-J1 A14 Trust, 2.500%, 02/25/2052 | 1083392 | 0.1 |
| 3799123<sup>(1),(2)</sup> | Oceanview Mortgage Trust 2021-5 B3, 2.978%, 10/25/2051 | 2497122 | 0.3 |
| 1123264<sup>(1),(2)</sup> | Provident Funding Mortgage Trust 2020-1 B3, 3.255%, 02/25/2050 | 825068 | 0.1 |
| 43761<sup>(1),(2)</sup> | PSMC 2019-2 A1 Trust, 3.500%, 10/25/2049 | 42725 | 0 |
| 226681<sup>(1),(2)</sup> | PSMC 2019-3 A12 Trust, 3.500%, 11/25/2049 | 216949 | 0 |
| 2900000<sup>(2)</sup> | Radnor RE 2021-1 M1C Ltd., 6.628%, (SOFR30A + 2.700%), 12/27/2033 | 2711346 | 0.3 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 117188 | RCKT Mortgage Trust 2019-1 A13, 3.500%, 09/25/2049 | 102274 | 0 |
| 1302184<sup>(1),(2)</sup> | RCKT Mortgage Trust 2019-1 B1A, 3.830%, 09/25/2049 | 1073648 | 0.1 |
| 930132<sup>(1),(2)</sup> | RCKT Mortgage Trust 2019-1 B2A, 3.830%, 09/25/2049 | 764386 | 0.1 |
| 1904601<sup>(1),(2)</sup> | RCKT Mortgage Trust 2020-1 B2A, 3.472%, 02/25/2050 | 1513510 | 0.2 |
| 298913<sup>(2)</sup> | Sequoia Mortgage Trust 2013-9 B2, 3.500%, 07/25/2043 | 275844 | 0 |
| 272951<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2015-3 B3, 3.723%, 07/25/2045 | 194336 | 0 |
| 1844386<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2017-2 B2, 3.560%, 02/25/2047 | 1605436 | 0.2 |
| 2561685<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2017-5 B3, 3.794%, 08/25/2047 | 2119763 | 0.2 |
| 875313<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2017-CH1 B2B, 4.503%, 08/25/2047 | 789486 | 0.1 |
| 1358139<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-2 B3, 4.256%, 06/25/2049 | 1141764 | 0.1 |
| 368609<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-4 A19, 3.500%, 11/25/2049 | 308174 | 0 |
| 462257<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-5 B2, 3.720%, 12/25/2049 | 375065 | 0 |
| 462257<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-5 B3, 3.720%, 12/25/2049 | 356747 | 0 |
| 593091<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-CH1 B2B, 4.860%, 03/25/2049 | 562616 | 0.1 |
| 1637187<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-CH2 B2B, 4.925%, 08/25/2049 | 1520753 | 0.2 |
| 812312<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-CH3 A13, 4.000%, 09/25/2049 | 758144 | 0.1 |
| 2865988<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-CH3 B1B, 4.508%, 09/25/2049 | 2557566 | 0.3 |
| 1687696<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2019-CH3 B2B, 4.508%, 09/25/2049 | 1523297 | 0.2 |
| 948452<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2020-2 B2, 3.635%, 03/25/2050 | 742737 | 0.1 |
| 2369645<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2020-2 B3, 3.635%, 03/25/2050 | 1844599 | 0.2 |
| 1907658<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2020-3 B3, 3.327%, 04/25/2050 | 1442389 | 0.2 |
| 2476149<sup>(1),(2)</sup> | Sequoia Mortgage Trust 2021-7 B3, 2.866%, 11/25/2051 | 1690114 | 0.2 |
| 9066000<sup>(4)</sup> | Series RR 2014-1 F Trust, 0.000%, 05/25/2047 | 7951288 | 0.8 |
| 1311373<sup>(1),(2)</sup> | Shellpoint Co-Originator Trust 2017-2 B3, 3.641%, 10/25/2047 | 1144896 | 0.1 |
| 3000000<sup>(1),(2)</sup> | Starwood Mortgage Residential Trust 2020-1, 2.878%, 02/25/2050 | 2501859 | 0.3 |
| 2000000<sup>(1),(2)</sup> | Starwood Mortgage Residential Trust 2020-3 A2, 2.240%, 04/25/2065 | 1767306 | 0.2 |
| 2500000<sup>(2)</sup> | Starwood Mortgage Residential Trust 2020-INV1 M1, 2.501%, 11/25/2055 | 2116353 | 0.2 |
| 70118<sup>(1)</sup> | Structured Adjustable Rate Mortgage Loan Trust 2005-4 3A1, 3.670%, 03/25/2035 | 63188 | 0 |
| 3774111<sup>(1)</sup> | TBW Mortgage-Backed Trust 2006-6 A5B, 6.540%, 01/25/2037 | 992302 | 0.1 |
| 1467178<sup>(1),(2)</sup> | UWM Mortgage Trust 2021-INV4 B3, 3.229%, 12/25/2051 | 1037652 | 0.1 |
| 4794798<sup>(1),(2)</sup> | UWM Mortgage Trust 2021-INV5 B3, 3.242%, 01/25/2052 | 3376447 | 0.4 |
| 1152137<sup>(1),(2)</sup> | Verus Securitization Trust 2021-3 A1, 1.046%, 06/25/2066 | 925681 | 0.1 |
| 89229<sup>(1)</sup> | Wachovia Mortgage Loan LLC Series 2005-B 2A1, 4.160%, 10/20/2035 | 84521 | 0 |
| 115759<sup>(1)</sup> | Wachovia Mortgage Loan LLC Series 2005-B 2A2, 4.160%, 10/20/2035 | 109651 | 0 |
| 308574<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 A6 Trust, 3.469%, 06/25/2034 | 289694 | 0 |
| 400967<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2004-AR7 A6, 3.495%, 07/25/2034 | 374934 | 0 |
| 660460<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 1A3, 3.833%, 09/25/2035 | 585847 | 0.1 |
| 238579 | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 5.369%, (US0001M + 0.490%), 10/25/2045 | 219611 | 0 |
| 208285<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2005-AR16 1A1, 3.836%, 12/25/2035 | 187552 | 0 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 219730<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A3, 3.329%, 11/25/2036 | 185804 | 0.0 |
| 658573<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 1A1, 3.510%, 12/25/2036 | 570737 | 0.1 |
| 321156<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A3, 3.406%, 12/25/2036 | 301272 | 0.0 |
| 212044<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 2A3, 3.093%, 02/25/2037 | 189368 | 0.0 |
| 385084<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 3A2, 3.211%, 02/25/2037 | 345954 | 0.0 |
| 250274<sup>(1)</sup> | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.372%, 12/25/2036 | 221768 | 0.0 |
| 318502 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A9, 6.000%, 11/25/2035 | 297285 | 0.0 |
| 91662 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 1A4, 5.500%, 09/25/2035 | 79842 | 0.0 |
| 382155 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | 353911 | 0.0 |
| 492803 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A3, 4.849%, (US0001M + 0.460%), 01/25/2047 | 434690 | 0.0 |
| 100178 | Wells Fargo Alternative Loan 2007-PA3 3A1, 6.250%, 07/25/2037 | 83885 | 0.0 |
| 57764<sup>(1)</sup> | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 2.879%, 04/25/2036 | 53932 | 0.0 |
| 386530<sup>(1)</sup> | Wells Fargo Mortgage Backed Securities 2007-AR7 A1, 4.332%, 12/28/2037 | 336401 | 0.0 |
| 449355<sup>(1),(2)</sup> | Wells Fargo Mortgage Backed Securities 2018-1 B3, 3.665%, 07/25/2047 | 373562 | 0.0 |
| 164244<sup>(1),(2)</sup> | Wells Fargo Mortgage Backed Securities 2019-3 A17 Trust, 3.500%, 07/25/2049 | 144159 | 0.0 |
| 2018720<sup>(1),(2)</sup> | Wells Fargo Mortgage Backed Securities 2020-1 B3 Trust, 3.369%, 12/25/2049 | 1516963 | 0.2 |
| 1035607<sup>(1),(2)</sup> | Wells Fargo Mortgage Backed Securities 2020-4 B2 Trust, 3.163%, 07/25/2050 | 810635 | 0.1 |
| 1241699<sup>(1),(2)</sup> | Wells Fargo Mortgage Backed Securities 2021-1 B3 Trust, 2.711%, 12/25/2050 | 791048 | 0.1 |
|  | Total Collateralized Mortgage Obligations |  |  |
|  | (Cost $299,663,279) | **250718492** | **26.6** |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES: 38.3%** | **COMMERCIAL MORTGAGE-BACKED SECURITIES: 38.3%** | **COMMERCIAL MORTGAGE-BACKED SECURITIES: 38.3%** |  |
| 2580000<sup>(2)</sup> | Arbor Multifamily Mortgage Securities Trust 2020-MF3 D, 2.000%, 10/15/2054 | 1499176 | 0.2 |
| 5649000<sup>(2)</sup> | Arbor Multifamily Mortgage Securities Trust 2020-MF3 E, 2.000%, 10/15/2054 | 3062662 | 0.3 |
| 3500000<sup>(2)</sup> | AREIT 2019-CRE3 D Trust, 7.090%, (TSFR1M + 2.650%), 09/14/2036 | 3281282 | 0.3 |
| 2200000<sup>(2)</sup> | BANK 2017-BNK4 D, 3.357%, 05/15/2050 | 1570723 | 0.2 |
| 5680000<sup>(2)</sup> | BANK 2017-BNK4 E, 3.357%, 05/15/2050 | 3432542 | 0.4 |
| 7060000<sup>(1),(2),(5)</sup> | BANK 2017-BNK4 XE, 1.482%, 05/15/2050 | 342651 | 0.0 |
| 21150000<sup>(1),(2),(5)</sup> | BANK 2017-BNK8 XE, 1.296%, 11/15/2050 | 1053454 | 0.1 |
| 9363500<sup>(1),(2),(5)</sup> | BANK 2018-BNK12 XD, 1.414%, 05/15/2061 | 601160 | 0.1 |
| 10987040<sup>(1),(5)</sup> | Bank 2019-BNK19 XA, 0.949%, 08/15/2061 | 519653 | 0.1 |
| 52677821<sup>(1),(5)</sup> | BANK 2020-BNK27 XA, 1.159%, 04/15/2063 | 3267526 | 0.3 |
| 17793294<sup>(1),(5)</sup> | BANK 2020-BNK30 XA, 1.317%, 12/15/2053 | 1240944 | 0.1 |
| 14831662<sup>(1),(5)</sup> | BANK 2021-BNK31 XA, 1.326%, 02/15/2054 | 1077862 | 0.1 |
| 47271071<sup>(1),(5)</sup> | Barclays Commercial Mortgage Trust 2019-C4 XA, 1.554%, 08/15/2052 | 3381664 | 0.4 |
| 103000000<sup>(1),(2),(5)</sup> | BBCCRE Trust 2015-GTP XB, 0.215%, 08/10/2033 | 559990 | 0.1 |
| 39179327<sup>(1),(5)</sup> | BBCMS Mortgage Trust 2020-C7 XA, 1.623%, 04/15/2053 | 2848674 | 0.3 |
| 6605167<sup>(1),(5)</sup> | BBCMS Trust 2021-C10 XA, 1.298%, 07/15/2054 | 477760 | 0.1 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 18964000 | Benchmark 2018-B5 XD Mortgage Trust, 1.500%, 07/15/2051 | 1243425 | 0.1 |
| 50165729<sup>(1),(5)</sup> | Benchmark 2018-B7 XA Mortgage Trust, 0.427%, 05/15/2053 | 848212 | 0.1 |
| 20122115<sup>(1),(5)</sup> | BENCHMARK 2019-B10 XA Mortgage Trust, 1.221%, 03/15/2062 | 1036584 | 0.1 |
| 14907500<sup>(1),(2),(5)</sup> | Benchmark 2019-B14 XD Mortgage Trust, 1.274%, 12/15/2062 | 1066814 | 0.1 |
| 1350000<sup>(2)</sup> | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | 899721 | 0.1 |
| 3220000<sup>(1),(2),(5)</sup> | Benchmark 2019-B9 XD Mortgage Trust, 2.001%, 03/15/2052 | 310688 | 0.0 |
| 12504178<sup>(1),(5)</sup> | Benchmark 2020-B17 XA Mortgage Trust, 1.416%, 03/15/2053 | 744703 | 0.1 |
| 6115000<sup>(2)</sup> | Benchmark 2020-B18 AGNF Mortgage Trust, 4.139%, 07/15/2053 | 4952478 | 0.5 |
| 22599190<sup>(1),(5)</sup> | Benchmark 2020-B18 XA Mortgage Trust, 1.789%, 07/15/2053 | 1755375 | 0.2 |
| 7234269<sup>(1),(5)</sup> | Benchmark 2020-B20 XA Mortgage Trust, 1.618%, 10/15/2053 | 559244 | 0.1 |
| 15933838<sup>(1),(5)</sup> | Benchmark 2020-B22 XA Mortgage Trust, 1.516%, 01/15/2054 | 1368376 | 0.1 |
| 18414818<sup>(1),(5)</sup> | Benchmark 2021-B23 XA Mortgage Trust, 1.272%, 02/15/2054 | 1213235 | 0.1 |
| 34516722<sup>(1),(5)</sup> | Benchmark 2021-B25 XA Mortgage Trust, 1.102%, 04/15/2054 | 2141737 | 0.2 |
| 4957958<sup>(1),(5)</sup> | Benchmark 2021-B28 XA Mortgage Trust, 1.283%, 08/15/2054 | 350468 | 0.0 |
| 8000000<sup>(1),(2),(5)</sup> | BMARK 2018-B4 XD, 1.750%, 07/15/2051 | 619188 | 0.1 |
| 6580000<sup>(2),(4)</sup> | BMD2 Re-Remic Trust 2019-FRR1 3AB, 0.000%, 05/25/2052 | 4027815 | 0.4 |
| 3350000<sup>(2),(4)</sup> | BMD2 Re-Remic Trust 2019-FRR1 4A, 0.000%, 05/25/2052 | 2022884 | 0.2 |
| 8425000<sup>(1),(2)</sup> | BMD2 Re-Remic Trust 2019-FRR1 6B10, 2.516%, 05/25/2052 | 5670042 | 0.6 |
| 5000000<sup>(2)</sup> | BPR Trust 2021-WILL E, 11.068%, (US0001M + 6.750%), 06/15/2038 | 4560675 | 0.5 |
| 2403000<sup>(2)</sup> | BX Commercial Mortgage Trust 2019-IMC D, 6.218%, (US0001M + 1.900%), 04/15/2034 | 2259400 | 0.2 |
| 500000<sup>(2)</sup> | BX Trust 2022-VAMF F, 7.635%, (TSFR1M + 3.299%), 01/15/2039 | 458354 | 0.1 |
| 1910000<sup>(1),(2)</sup> | CALI Mortgage Trust 2019-101C E, 4.324%, 03/10/2039 | 1327155 | 0.1 |
| 1250000<sup>(1),(2)</sup> | Cantor Commercial Real Estate Lending 2019-CF3 D, 2.500%, 01/15/2053 | 746898 | 0.1 |
| 1470000<sup>(2)</sup> | Cascade Funding Mortgage Trust 2021-FRR1 AK99, 7.760%, 09/29/2029 | 872230 | 0.1 |
| 5600000<sup>(2)</sup> | Cascade Funding Mortgage Trust 2021-FRR1 BK98, 9.040%, 08/29/2029 | 3073039 | 0.3 |
| 8930000<sup>(2)</sup> | Cascade Funding Mortgage Trust 2021-FRR1 CK98, 9.690%, 08/29/2029 | 4696172 | 0.5 |
| 17685004<sup>(1),(5)</sup> | CD 2019-CD8 XA Mortgage Trust, 1.405%, 08/15/2057 | 1163512 | 0.1 |
| 2810000<sup>(1),(2)</sup> | Citigroup Commercial Mortgage Trust 2014-GC19 E, 4.588%, 03/11/2047 | 2561859 | 0.3 |
| 44693343<sup>(1),(2),(5)</sup> | Citigroup Commercial Mortgage Trust 2014-GC19 XD, 1.423%, 03/11/2047 | 670492 | 0.1 |
| 4231000<sup>(1),(2)</sup> | Citigroup Commercial Mortgage Trust 2016-P4 E, 4.692%, 07/10/2049 | 2774551 | 0.3 |
| 2010000<sup>(1),(2)</sup> | Citigroup Commercial Mortgage Trust 2016-P4 F, 4.692%, 07/10/2049 | 1141750 | 0.1 |
| 5150000<sup>(2)</sup> | Citigroup Commercial Mortgage Trust 2016-P5 D, 3.000%, 10/10/2049 | 3868625 | 0.4 |
| 20655000<sup>(1),(2),(5)</sup> | Citigroup Commercial Mortgage Trust 2017-P8 XE, 1.263%, 09/15/2050 | 1015881 | 0.1 |
| 2240000<sup>(1),(2)</sup> | Citigroup COmmercial Mortgage Trust 2018-C6 D, 5.064%, 11/10/2051 | 1686673 | 0.2 |
| 3563390<sup>(1),(5)</sup> | COMM 2012-CR3 XA, 1.530%, 10/15/2045 | 9084 | 0.0 |
| 1230000<sup>(1),(2)</sup> | COMM 2013-CR10 F Mortgage Trust, 4.869%, 08/10/2046 | 1074149 | 0.1 |
| 1820000<sup>(1),(2)</sup> | COMM 2020-CBM F Mortgage Trust, 3.633%, 02/10/2037 | 1541751 | 0.2 |
| 16406000<sup>(1),(2),(5)</sup> | CSAIL 2017-CX10 XE Commercial Mortgage Trust, 0.825%, 11/15/2050 | 611144 | 0.1 |
| 1000000<sup>(1),(2)</sup> | DBWF 2015-LCM D Mortgage Trust, 3.421%, 06/10/2034 | 770771 | 0.1 |
| 13724801<sup>(1),(2),(5)</sup> | Freddie Mac Multifamily ML Certificates 2021-ML11 XUS, 0.769%, 03/25/2038 | 763461 | 0.1 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued)** |  |
| 14780673<sup>(1),(5)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K107 X1, 1.691%, 03/25/2030 | 1403166 | 0.2 |
| 24657632<sup>(1),(5)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K122 X1, 0.882%, 11/25/2030 | 1284108 | 0.1 |
| 29722183<sup>(1),(5)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K123 X1, 0.774%, 12/25/2030 | 1346737 | 0.1 |
| 3384258<sup>(1),(5)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K-1515 X1, 1.511%, 02/25/2035 | 381329 | 0 |
| 13033670<sup>(1),(5)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates K-1521 X1, 0.980%, 08/25/2036 | 1077915 | 0.1 |
| 22039000<sup>(1),(5)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates KG01 X3, 3.124%, 05/25/2029 | 3489389 | 0.4 |
| 5490776<sup>(1),(5)</sup> | Freddie Mac Multifamily Structured Pass Through Certificates KG04 X1, 0.851%, 11/25/2030 | 277520 | 0 |
| 12250292<sup>(2),(5)</sup> | FREMF 2016-K57 X2B Mortgage Trust, 0.100%, 08/25/2049 | 36764 | 0 |
| 4833678<sup>(2),(4)</sup> | FREMF 2016-K57 D Mortgage Trust, 0.000%, 08/25/2049 | 3403478 | 0.4 |
| 50400983<sup>(2),(5)</sup> | FREMF 2016-K57 X2A Mortgage Trust, 0.100%, 08/25/2049 | 134462 | 0 |
| 449682<sup>(2),(4)</sup> | FREMF 2018-K156 C Mortgage Trust, 0.000%, 07/25/2036 | 175261 | 0 |
| 2300000<sup>(2),(4)</sup> | FREMF 2019-KG01 C Mortgage Trust, 0.000%, 05/25/2029 | 1169239 | 0.1 |
| 29286038<sup>(2),(5)</sup> | FREMF 2019-KG01 X2A Mortgage Trust, 0.100%, 04/25/2029 | 103134 | 0 |
| 3260000<sup>(2),(5)</sup> | FREMF 2019-KG01 X2B Mortgage Trust, 0.100%, 05/25/2029 | 14449 | 0 |
| 7087000<sup>(1),(2)</sup> | GAM RE-REMIC TR 2021-FFR2 BK78, 2.430%, 09/27/2051 | 4901607 | 0.5 |
| 5395000<sup>(2),(4)</sup> | GAM RE-REMIC TR 2021-FFR2 C730, 0.000%, 09/27/2051 | 4415124 | 0.5 |
| 6557000<sup>(2),(4)</sup> | GAM RE-REMIC TR 2021-FFR2 CK44, 0.000%, 09/27/2051 | 5318139 | 0.6 |
| 5334000<sup>(1),(2)</sup> | GAM RE-REMIC TR 2021-FFR2 CK49, 1.040%, 09/27/2051 | 4263593 | 0.5 |
| 4526000<sup>(2),(4)</sup> | GAM RE-REMIC TR 2021-FFR2 CK78, 0.000%, 09/27/2051 | 2470843 | 0.3 |
| 5392000<sup>(2),(4)</sup> | GAM RE-REMIC TR 2021-FFR2 D730, 0.000%, 09/27/2051 | 4309403 | 0.5 |
| 5331000<sup>(2),(4)</sup> | GAM RE-REMIC TR 2021-FFR2 DK49, 0.000%, 09/27/2051 | 4047909 | 0.4 |
| 3000000<sup>(2)</sup> | GAM Re-REMIC Trust 2021-FRR1 1B, 1.500%, 11/29/2050 | 1971680 | 0.2 |
| 7423000<sup>(2)</sup> | GAM Re-REMIC Trust 2021-FRR1 1C, 1.690%, 11/29/2050 | 4635990 | 0.5 |
| 11147000<sup>(2)</sup> | GAM Re-REMIC Trust 2021-FRR1 1D, 1.720%, 11/29/2050 | 6902621 | 0.7 |
| 5000000<sup>(2)</sup> | GAM Re-REMIC Trust 2021-FRR1 1E, 2.230%, 11/29/2050 | 2686134 | 0.3 |
| 5000000<sup>(2)</sup> | GAM Re-REMIC Trust 2021-FRR1 2B, 1.660%, 11/29/2050 | 3150877 | 0.3 |
| 8020000<sup>(2)</sup> | GAM Re-REMIC Trust 2021-FRR1 2C, 1.890%, 11/29/2050 | 4739926 | 0.5 |
| 16000000<sup>(2),(4)</sup> | GAM RE-REMIC Trust 2022-FRR3 DK89, 0.000%, 01/27/2052 | 6805876 | 0.7 |
| 9937000<sup>(1),(2),(5)</sup> | GAM Resecuritization Trust 2022-FRR3 BK47, 2.030%, 11/27/2050 | 7029169 | 0.7 |
| 6762000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 BK61, 1.290%, 01/29/2052 | 4652969 | 0.5 |
| 7361000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 BK89, 2.000%, 01/27/2052 | 4116209 | 0.4 |
| 3846000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 C728, 0.600%, 08/27/2050 | 3254268 | 0.3 |
| 3915000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 CK47, 0.920%, 05/27/2048 | 3103137 | 0.3 |
| 4744000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 CK61, 1.570%, 11/27/2049 | 3107271 | 0.3 |
| 3310000<sup>(1),(2),(5)</sup> | GAM Resecuritization Trust 2022-FRR3 CK71, 1.410%, 01/29/2052 | 2136437 | 0.2 |
| 3856000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 CK89, 2.260%, 01/27/2052 | 2002826 | 0.2 |
| 3849000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 D728, 0.690%, 01/29/2052 | 3150902 | 0.3 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 5194000 | GAM Resecuritization Trust 2022-FRR3 DK27, 0.030%, 12/27/2045 | 5157067 | 0.5 |
| 3094000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 DK41, 0.770%, 10/27/2047 | 2558131 | 0.3 |
| 3914000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 DK47, 1.000%, 05/27/2048 | 3034650 | 0.3 |
| 1295000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 EK27, 0.040%, 12/27/2045 | 1284535 | 0.1 |
| 2064000<sup>(2),(6)</sup> | GAM Resecuritization Trust 2022-FRR3 EK41, 0.700%, 01/29/2052 | 1684295 | 0.2 |
| 4220407<sup>(1),(2),(5)</sup> | GS Mortgage Securities Corp. II 2011-GC3 X, 0.291%, 03/10/2044 | 5 | 0 |
| 522695<sup>(1),(2)</sup> | GS Mortgage Securities Trust 2012-GCJ7 E, 5.000%, 05/10/2045 | 109492 | 0 |
| 6291216<sup>(1),(5)</sup> | GS Mortgage Securities Trust 2019-GC38 XA, 0.952%, 02/10/2052 | 269626 | 0 |
| 2170000<sup>(2)</sup> | GS Mortgage Securities Trust 2019-GC39 D, 3.000%, 05/10/2052 | 1443866 | 0.2 |
| 14385067<sup>(1),(5)</sup> | GS Mortgage Securities Trust 2019-GC40 XA, 1.078%, 07/10/2052 | 639713 | 0.1 |
| 1800000<sup>(2)</sup> | GS Mortgage Securities Trust 2021-GSA3 D, 2.250%, 12/15/2054 | 951524 | 0.1 |
| 500000<sup>(2)</sup> | GS Mortgage Securities Trust 2021-GSA3 E, 2.250%, 12/15/2054 | 240266 | 0 |
| 5860000<sup>(1),(2)</sup> | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON E, 5.220%, 01/05/2034 | 5444110 | 0.6 |
| 1930000<sup>(2)</sup> | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP E, 6.478%, (US0001M + 2.160%), 07/15/2036 | 1797321 | 0.2 |
| 1330000<sup>(1),(2)</sup> | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.862%, 12/05/2038 | 917002 | 0.1 |
| 1360000<sup>(1),(2)</sup> | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP F, 3.862%, 12/05/2038 | 794617 | 0.1 |
| 30239986<sup>(1),(2),(5)</sup> | JPMBB Commercial Mortgage Securities Trust 2013-C15 XC, 1.620%, 11/15/2045 | 347550 | 0 |
| 3550000<sup>(1),(2)</sup> | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 4.883%, 01/15/2047 | 3305634 | 0.4 |
| 734000<sup>(1),(2)</sup> | JPMBB Commercial Mortgage Securities Trust 2013-C17 F, 3.867%, 01/15/2047 | 596974 | 0.1 |
| 46979000<sup>(1),(2),(5)</sup> | JPMBB Commercial Mortgage Securities Trust 2014-C26 XD, 0.500%, 01/15/2048 | 396768 | 0 |
| 34428000<sup>(1),(2),(5)</sup> | JPMBB Commercial Mortgage Securities Trust 2014-C26 XE, 0.375%, 01/15/2048 | 270573 | 0 |
| 13000000<sup>(1),(2)</sup> | LSTAR Commercial Mortgage Trust 2016-4 F, 4.601%, 03/10/2049 | 8950308 | 1 |
| 4930763<sup>(2)</sup> | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 C, 4.500%, 08/15/2045 | 4487113 | 0.5 |
| 3250000<sup>(1),(2)</sup> | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 E, 4.523%, 11/15/2045 | 2679226 | 0.3 |
| 4950000<sup>(1),(2)</sup> | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 E, 4.368%, 10/15/2048 | 3783660 | 0.4 |
| 7861000<sup>(1),(2)</sup> | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 F, 4.368%, 10/15/2048 | 5623183 | 0.6 |
| 3650000<sup>(2),(7)</sup> | Morgan Stanley Capital I Trust 2011-C1 K, 4.193%, 09/15/2047 | 3650000 | 0.4 |
| 2600000<sup>(2),(7)</sup> | Morgan Stanley Capital I Trust 2011-C1 L, 4.193%, 09/15/2047 | 777400 | 0.1 |
| 680158<sup>(2),(7)</sup> | Morgan Stanley Capital I Trust 2011-C1 M, 4.193%, 09/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;– | &nbsp;&nbsp;&nbsp;&nbsp;– |
| 1590000<sup>(1),(2)</sup> | Morgan Stanley Capital I Trust 2016-BNK2 D, 3.000%, 11/15/2049 | 1166424 | 0.1 |
| 40410945<sup>(1),(5)</sup> | Morgan Stanley Capital I Trust 2019-H7 XA, 1.300%, 07/15/2052 | 2272677 | 0.2 |
| 6586500<sup>(1),(2),(5)</sup> | Morgan Stanley Capital I Trust 2019-H7 XD, 1.394%, 07/15/2052 | 485662 | 0.1 |
| 14471340<sup>(1),(5)</sup> | Morgan Stanley Capital I, Inc. 2017-HR2 XA, 0.868%, 12/15/2050 | 481189 | 0.1 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 15555000 | Morgan Stanley Capital I, Inc. 2017-HR2 XD, 1.605%, 12/15/2050 | 1026898 | 0.1 |
| 2170000<sup>(2)</sup> | Prima Capital CRE Securitization 2019-7A C Ltd., 3.250%, 12/25/2050 | 1974532 | 0.2 |
| 10000000<sup>(2)</sup> | Prima Capital CRE Securitization 2019-7A D Ltd., 4.250%, 12/25/2050 | 8050377 | 0.9 |
| 16080000<sup>(2)</sup> | RFM Reremic Trust 2022-FRR1 AB55, 1.120%, 03/28/2049 | 11977884 | 1.3 |
| 13630000<sup>(1),(2)</sup> | RFM Reremic Trust 2022-FRR1 AB60, 2.470%, 11/08/2049 | 10661268 | 1.1 |
| 20520000<sup>(1),(2)</sup> | RFM Reremic Trust 2022-FRR1 AB64, 2.314%, 03/01/2050 | 15631865 | 1.7 |
| 5010000<sup>(2),(4)</sup> | RFM Reremic Trust 2022-FRR1 CK55, 0.000%, 03/28/2049 | 3541985 | 0.4 |
| 6300000<sup>(2),(4)</sup> | RFM Reremic Trust 2022-FRR1 CK60, 0.000%, 11/08/2049 | 4125044 | 0.4 |
| 5900000<sup>(2),(4)</sup> | RFM Reremic Trust 2022-FRR1 CK64, 0.000%, 03/01/2050 | 3777169 | 0.4 |
| 3320000<sup>(1),(2)</sup> | SG Commercial Mortgage Securities Trust 2020-COVE E, 3.728%, 03/15/2037 | 2923147 | 0.3 |
| 5000000<sup>(2),(4)</sup> | TPI RE-REMIC Trust 2022-FRR1 AK34, 0.000%, 07/25/2046 | 4809042 | 0.5 |
| 15104615<sup>(1),(5)</sup> | UBS Commercial Mortgage Trust 2019-C16 XA, 1.532%, 04/15/2052 | 940809 | 0.1 |
| 116105<sup>(1),(2)</sup> | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.096%, 12/10/2045 | 110735 | 0 |
| 5452113<sup>(1),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2014-LC18 XA, 1.011%, 12/15/2047 | 94015 | 0 |
| 16657000<sup>(1),(2),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2015-C30 XE, 1.248%, 09/15/2058 | 481785 | 0.1 |
| 16657000<sup>(1),(2),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2015-C30 XFG, 1.248%, 09/15/2058 | 480305 | 0.1 |
| 32664000<sup>(1),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2016-NXS6 XB, 0.577%, 11/15/2049 | 602386 | 0.1 |
| 7605000<sup>(1),(2),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2016-NXS6 XFG, 2.000%, 11/15/2049 | 431890 | 0 |
| 32342372<sup>(1),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2017-C40 XA, 0.880%, 10/15/2050 | 1003910 | 0.1 |
| 14878393<sup>(1),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2018-C45 XA, 0.790%, 06/15/2051 | 515241 | 0.1 |
| 20635018<sup>(1),(5)</sup> | Wells Fargo Commercial Mortgage Trust 2021-C60 XA, 1.547%, 08/15/2054 | 1776378 | 0.2 |
| 6088168<sup>(1),(2),(5)</sup> | WFRBS Commercial Mortgage Trust 2012-C10 XA, 1.181%, 12/15/2045 | 10922 | 0 |
| 2020000<sup>(2)</sup> | WFRBS Commercial Mortgage Trust 2013-C12 F, 3.500%, 03/15/2048 | 1937796 | 0.2 |
| 97433<sup>(1),(2),(5)</sup> | WFRBS Commercial Mortgage Trust 2013-C12 XA, 0.910%, 03/15/2048 | 124 | 0 |
| 14390000<sup>(1),(2)</sup> | WFRBS Commercial Mortgage Trust 2013-C14 D, 3.957%, 06/15/2046 | 9206814 | 1 |
| 5146000<sup>(2)</sup> | WFRBS Commercial Mortgage Trust 2013-C17 E, 3.500%, 12/15/2046 | 4594811 | 0.5 |
|  | Total Commercial Mortgage-Backed Securities |  |  |
|  | (Cost $419,871,290) | **360453892** | **38.3** |
| **ASSET-BACKED SECURITIES: 29.9%** | **ASSET-BACKED SECURITIES: 29.9%** | **ASSET-BACKED SECURITIES: 29.9%** |  |
|  | **Automobile Asset-Backed Securities: 1.2%** | **Automobile Asset-Backed Securities: 1.2%** | **Automobile Asset-Backed Securities: 1.2%** |
| 1082277 | Americredit Automobile Receivables Trust 2019-1 C, 3.360%, 02/18/2025 | 1076064 | 0.1 |
| 1800000 | Americredit Automobile Receivables Trust 2019-2 D, 2.990%, 06/18/2025 | 1753222 | 0.2 |
| 3350000 | AmeriCredit Automobile Receivables Trust 2019-3 D, 2.580%, 09/18/2025 | 3221954 | 0.3 |
| 2350000 | AmeriCredit Automobile Receivables Trust 2020-2 D, 2.130%, 03/18/2026 | 2200864 | 0.2 |
| 750000 | Carmax Auto Owner Trust 2019-3 D, 2.850%, 01/15/2026 | 728242 | 0.1 |
| 831454 | Santander Drive Auto Receivables Trust 2019-1 D, 3.650%, 04/15/2025 | 830039 | 0.1 |
| 1500000<sup>(2)</sup> | Tesla Auto Lease Trust 2020-A E, 4.640%, 08/20/2024 | 1489571 | 0.2 |
|  |  | **11299956** | **1.2** |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
|  | **Home Equity Asset-Backed Securities: 0.3%** | **Home Equity Asset-Backed Securities: 0.3%** | **Home Equity Asset-Backed Securities: 0.3%** |
| 646472<sup>(1),(2)</sup> | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | 506715 | 0.1 |
| 691320<sup>(2)</sup> | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A3, 7.250%, 02/25/2038 | 536927 | 0.1 |
| 2443557 | GSAA Home Equity Trust 2006-14 A3A, 4.889%, (US0001M + 0.250%), 09/25/2036 | 842852 | 0.1 |
| 934089 | GSAA Home Equity Trust 2007-1 1A1, 4.549%, (US0001M + 0.080%), 02/25/2037 | 304716 | 0.0 |
| 378122<sup>(1)</sup> | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | 371449 | 0.0 |
| 474956<sup>(1)</sup> | Renaissance Home Equity Loan Trust 2005-4 A6, 5.749%, 02/25/2036 | 413255 | 0.0 |
|  |  | **2975914** | **0.3** |
|  | **Other Asset-Backed Securities: 25.6%** | **Other Asset-Backed Securities: 25.6%** | **Other Asset-Backed Securities: 25.6%** |
| 2000000<sup>(2)</sup> | AIG CLO 2019-2A DR Ltd., 7.408%, (US0003M + 3.050%), 10/25/2033 | 1844260 | 0.2 |
| 3000000<sup>(1),(2)</sup> | Ajax Mortgage Loan Trust 2019-D A2, 3.500%, 09/25/2065 | 2681137 | 0.3 |
| 1500000<sup>(2)</sup> | Ajax Mortgage Loan Trust 2019-F A2, 3.500%, 07/25/2059 | 1353721 | 0.1 |
| 1043428<sup>(1),(2),(5),(7)</sup> | American Homes 4 Rent 2015-SFR1 XS, 3.232%, 04/17/2052 | &nbsp;&nbsp;&nbsp;&nbsp;– |  |
| 3500000<sup>(2)</sup> | Apidos CLO XXXI 2019-31A DR, 7.179%, (US0003M + 3.100%), 04/15/2031 | 3305068 | 0.3 |
| 3500000<sup>(2)</sup> | Apidos CLO XXXIII 2020-33A DR, 7.325%, (US0003M + 3.000%), 10/24/2034 | 3319131 | 0.4 |
| 6500000<sup>(2)</sup> | Apidos CLO XXXVI 2021-36A D, 7.143%, (US0003M + 2.900%), 07/20/2034 | 6130378 | 0.6 |
| 1089000<sup>(2)</sup> | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2II, 4.723%, 06/05/2049 | 995763 | 0.1 |
| 5800000<sup>(2)</sup> | Aqua Finance Trust 2017-A B, 2.400%, 07/17/2046 | 4890295 | 0.5 |
| 606968<sup>(2)</sup> | Aqua Finance Trust 2019-A A, 3.140%, 07/16/2040 | 571853 | 0.1 |
| 2785875<sup>(2)</sup> | Arbys Funding LLC 2020-1A A2, 3.237%, 07/30/2050 | 2365829 | 0.3 |
| 5000000<sup>(2)</sup> | Atrium XIV LLC 14A A2BR, 2.304%, 08/23/2030 | 4378380 | 0.5 |
| 239891<sup>(2)</sup> | Babson CLO Ltd. 2014-IA C, 7.693%, (US0003M + 3.450%), 07/20/2025 | 239750 | 0.0 |
| 4500000<sup>(2)</sup> | Babson CLO Ltd. 2018-3A B2R, 2.268%, 07/20/2029 | 4044848 | 0.4 |
| 4000000<sup>(2)</sup> | Barings CLO Ltd. 2021-1A D, 7.258%, (US0003M + 2.900%), 04/25/2034 | 3564888 | 0.4 |
| 188954<sup>(1)</sup> | Bear Stearns Asset Backed Securities Trust 2006-SD4 1A1, 4.081%, 10/25/2036 | 183877 | 0.0 |
| 5000000<sup>(2)</sup> | Benefit Street Partners CLO Ltd. 2021-23A D, 8.008%, (US0003M + 3.650%), 04/25/2034 | 4667170 | 0.5 |
| 5000000<sup>(2)</sup> | Benefit Street Partners CLO XVIII Ltd. 2019-18A DR, 7.479%, (US0003M + 3.400%), 10/15/2034 | 4670535 | 0.5 |
| 3750000<sup>(2)</sup> | BlueMountain CLO XXX Ltd. 2020-30A CR, 6.014%, (TSFR3M + 2.150%), 04/15/2035 | 3485685 | 0.4 |
| 7250000<sup>(2)</sup> | BlueMountain CLO XXXII Ltd. 2021-32A D, 7.479%, (US0003M + 3.400%), 10/15/2034 | 6654398 | 0.7 |
| 4565500<sup>(2)</sup> | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | 4108808 | 0.4 |
| 5000000<sup>(2)</sup> | Carlyle Global Market Strategies 2021-7A C, 7.179%, (US0003M + 3.100%), 10/15/2035 | 4677765 | 0.5 |
| 5800000<sup>(2)</sup> | CARLYLE US CLO 2021-8A D Ltd., 7.279%, (US0003M + 3.200%), 10/15/2034 | 5250108 | 0.6 |
| 2885727<sup>(2)</sup> | CLI Funding VIII LLC 2021-1A A, 1.640%, 02/18/2046 | 2465389 | 0.3 |
| 1852800<sup>(2)</sup> | Domino's Pizza Master Issuer LLC 2018-1A A211, 4.328%, 07/25/2048 | 1719587 | 0.2 |
| 1392000<sup>(2)</sup> | Domino's Pizza Master Issuer LLC 2018-1A A2I, 4.116%, 07/25/2048 | 1322890 | 0.1 |
| 1312875<sup>(2)</sup> | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | 1138239 | 0.1 |
| 2050000<sup>(2)</sup> | Driven Brands Funding LLC 2022-1A A2, 7.393%, 10/20/2052 | 2053182 | 0.2 |
| 5750000<sup>(2)</sup> | Dryden 86 CLO Ltd. 2020-86A DR, 7.279%, (US0003M + 3.200%), 07/17/2034 | 5288287 | 0.6 |
| 5000000<sup>(2)</sup> | Dryden 95 CLO Ltd. 2021-95A D, 7.575%, (US0003M + 2.900%), 08/20/2034 | 4615720 | 0.5 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 4400000<sup>(2)</sup> | Dryden Senior Loan Fund 2021-92A E, 11.175%, (US0003M + 6.500%), 11/20/2034 | 3836012 | 0.4 |
| 1481250<sup>(2)</sup> | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | 1391105 | 0.1 |
| 4500000<sup>(2)</sup> | Galaxy XXIII CLO Ltd. 2017-23A DR, 7.725%, (US0003M + 3.400%), 04/24/2029 | 4189086 | 0.4 |
| 2250000<sup>(2)</sup> | Goddard Funding LLC 2022-1A A2, 6.864%, 10/30/2052 | 2104943 | 0.2 |
| 2250000<sup>(2)</sup> | Greystone Commercial Real Estate Notes 2021-FL3 E, 7.068%, (US0001M + 2.750%), 07/15/2039 | 2017323 | 0.2 |
| 1509317<sup>(2)</sup> | Helios Issuer LLC 2020-AA A, 2.980%, 06/20/2047 | 1291864 | 0.1 |
| 854126<sup>(2)</sup> | Helios Issuer, LLC 2018-1A A, 4.870%, 07/20/2048 | 756574 | 0.1 |
| 1982573<sup>(2)</sup> | Helios Issuer, LLC 2018-1A B, 7.710%, 07/20/2048 | 1645052 | 0.2 |
| 626870<sup>(2)</sup> | J.G. Wentworth XLI LLC 2018-1A B, 4.700%, 10/15/2074 | 523714 | 0.1 |
| 740874<sup>(2)</sup> | JG Wentworth XLII LLC 2018-2A B, 4.700%, 10/15/2077 | 645125 | 0.1 |
| 813577<sup>(2)</sup> | LCSS Financing 2018-A A LLC, 4.700%, 12/15/2062 | 698768 | 0.1 |
| 1811608<sup>(2)</sup> | Loanpal Solar Loan Ltd. 2020-3GS B, 3.450%, 12/20/2047 | 1363267 | 0.1 |
| 5000000<sup>(2)</sup> | Magnetite XXVI Ltd. 2020-26A DR, 7.208%, (US0003M + 2.850%), 07/25/2034 | 4716320 | 0.5 |
| 90710<sup>(2)</sup> | Marlette Funding Trust 2018-4A C, 4.910%, 12/15/2028 | 90507 | 0.0 |
| 900000<sup>(1),(2)</sup> | Mill City Mortgage Loan Trust 2017-2 M2, 3.250%, 07/25/2059 | 822060 | 0.1 |
| 1800000<sup>(1),(2)</sup> | Mill City Mortgage Trust 2015-2 B2, 3.665%, 09/25/2057 | 1577130 | 0.2 |
| 1528261<sup>(2)</sup> | Mill City Solar Loan 2019-2GS A Ltd., 3.690%, 07/20/2043 | 1374285 | 0.1 |
| 1045211<sup>(2)</sup> | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | 965979 | 0.1 |
| 962753<sup>(2)</sup> | Mosaic Solar Loan Trust 2018-2-GS A, 4.200%, 02/22/2044 | 873392 | 0.1 |
| 1046080<sup>(2)</sup> | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | 968824 | 0.1 |
| 1332067<sup>(2)</sup> | Mosaic Solar Loan Trust 2020-1A B, 3.100%, 04/20/2046 | 1173901 | 0.1 |
| 979947<sup>(2)</sup> | Mosaic Solar Loan Trust 2021-1A B, 2.050%, 12/20/2046 | 741869 | 0.1 |
| 689494<sup>(2)</sup> | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | 639878 | 0.1 |
| 2250000<sup>(2)</sup> | Neuberger Berman Loan Advisers Clo 42 Ltd. 2021-42A D, 6.879%, (US0003M + 2.800%), 07/16/2035 | 2099637 | 0.2 |
| 4850000<sup>(2)</sup> | Neuberger Berman Loan Advisers Clo 44 Ltd. 2021-44A D, 6.929%, (US0003M + 2.850%), 10/16/2034 | 4542670 | 0.5 |
| 3000000<sup>(2)</sup> | NYACK Park CLO Ltd. 2021-1A D, 7.043%, (US0003M + 2.800%), 10/20/2034 | 2680986 | 0.3 |
| 3000500<sup>(2)</sup> | Oaktree CLO 2020-1A ER Ltd., 10.589%, (US0003M + 6.510%), 07/15/2034 | 2722513 | 0.3 |
| 3000000<sup>(2)</sup> | Oaktree CLO Ltd. 2021-1A D, 7.329%, (US0003M + 3.250%), 07/15/2034 | 2778177 | 0.3 |
| 6000000<sup>(2)</sup> | OHA Credit Partners XVI 2021-16A D, 7.044%, (US0003M + 2.850%), 10/18/2034 | 5639952 | 0.6 |
| 4550000<sup>(2)</sup> | Palmer Square CLO 2021-4A D Ltd., 7.029%, (US0003M + 2.950%), 10/15/2034 | 4293744 | 0.5 |
| 3800000<sup>(2)</sup> | Palmer Square CLO Ltd. 2021-2A E, 10.429%, (US0003M + 6.350%), 07/15/2034 | 3311616 | 0.4 |
| 3125000<sup>(2)</sup> | Palmer Square Loan Funding 2021-2A D Ltd., 9.675%, (US0003M + 5.000%), 05/20/2029 | 2832809 | 0.3 |
| 86319<sup>(1)</sup> | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.527%, 01/25/2036 | 84192 | 0.0 |
| 2214944<sup>(2)</sup> | SoFi Consumer Loan Program 2020-1 C Trust, 2.500%, 01/25/2029 | 2191685 | 0.2 |
| 1780000<sup>(2)</sup> | SoFi Consumer Loan Program 2020-1 D Trust, 2.940%, 01/25/2029 | 1724941 | 0.2 |
| 950000<sup>(2)</sup> | SoFi Consumer Loan Program 2021-1 D Trust, 2.040%, 09/25/2030 | 861576 | 0.1 |
| 4500000<sup>(2)</sup> | Sound Point Clo XIV Ltd. 2016-3A DR, 7.975%, (US0003M + 3.650%), 01/23/2029 | 4280580 | 0.5 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 126678 | Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC5 A4, 4.729%, (US0001M + 0.340%), 12/25/2036 | 123927 | 0.0 |
| 7728380<sup>(2)</sup> | Sunnova Helios Issuer II LLC 2021-B B, 2.010%, 07/20/2048 | 5694309 | 0.6 |
| 3796432<sup>(2)</sup> | Sunnova Sol II Issuer LLC 2020-2A A, 2.730%, 11/01/2055 | 2989340 | 0.3 |
| 3309600<sup>(2)</sup> | Sunrun Atlas Issuer 2019-2 A LLC, 3.610%, 02/01/2055 | 2919241 | 0.3 |
| 6573523<sup>(2)</sup> | Sunrun Jupiter Issuer 2022-1A A LLC, 4.750%, 07/30/2057 | 6032402 | 0.6 |
| 1564130<sup>(2)</sup> | Sunrun Xanadu Issuer 2019-1A A LLC, 3.980%, 06/30/2054 | 1387184 | 0.1 |
| 4200000<sup>(2)</sup> | Symphony CLO XIV Ltd. 2014-14A DR, 7.111%, (US0003M + 3.100%), 07/14/2026 | 4201147 | 0.4 |
| 7000000<sup>(2)</sup> | Symphony Static CLO I Ltd. 2021-1A D, 7.108%, (US0003M + 2.750%), 10/25/2029 | 6422640 | 0.7 |
| 2000000<sup>(2)</sup> | TCW CLO 2017-1A DRR Ltd., 8.085%, (US0003M + 3.670%), 10/29/2034 | 1841934 | 0.2 |
| 6000000<sup>(2)</sup> | TCW CLO 2020-1A DRR Ltd., 7.643%, (US0003M + 3.400%), 04/20/2034 | 5495226 | 0.6 |
| 3000000<sup>(2)</sup> | TCW CLO 2021-2A D Ltd., 7.608%, (US0003M + 3.250%), 07/25/2034 | 2747964 | 0.3 |
| 2000000<sup>(2)</sup> | THL Credit Wind River 2014-1 CRR CLO Ltd., 6.144%, (US0003M + 1.950%), 07/18/2031 | 1854738 | 0.2 |
| 5000000<sup>(2)</sup> | THL Credit Wind River 2017-3A CR Clo Ltd., 6.579%, (US0003M + 2.500%), 04/15/2035 | 4709700 | 0.5 |
| 1958354<sup>(2)</sup> | TIF Funding II LLC 2021-1A A, 1.650%, 02/20/2046 | 1627981 | 0.2 |
| 1100000<sup>(1),(2)</sup> | Towd Point Mortgage Trust 2015-2 2B2, 4.166%, 11/25/2057 | 1049369 | 0.1 |
| 2450000<sup>(2)</sup> | Trafigura Securitisation Finance PLC 2021-1A B, 1.780%, 01/15/2025 | 2172155 | 0.2 |
| 2553750<sup>(2)</sup> | Triton Container Finance VIII LLC 2021-1A B, 2.580%, 03/20/2046 | 2101093 | 0.2 |
| 1047106<sup>(2)</sup> | Upstart Securitization Trust 2021-5 A, 1.310%, 11/20/2031 | 1002650 | 0.1 |
| 1600000<sup>(2)</sup> | Venture 33 CLO Ltd. 2018-33A CR, 6.359%, (US0003M + 2.280%), 07/15/2031 | 1464254 | 0.2 |
| 5412500<sup>(2)</sup> | Venture XXI CLO Ltd. 2015-21A DR, 6.879%, (US0003M + 2.800%), 07/15/2027 | 5269128 | 0.6 |
| 2207176<sup>(2)</sup> | Vivint Solar Financing VII LLC 2020-1A A, 2.210%, 07/31/2051 | 1695324 | 0.2 |
| 1600000<sup>(2)</sup> | Whetstone Park CLO Ltd. 2021-1A D, 7.143%, (US0003M + 2.900%), 01/20/2035 | 1397256 | 0.1 |
| 5714280<sup>(2)</sup> | Wingstop Funding LLC 2020-1A A2, 2.841%, 12/05/2050 | 4851975 | 0.5 |
| 6468125<sup>(2)</sup> | Zaxby's Funding LLC 2021-1A A2, 3.238%, 07/30/2051 | 5231718 | 0.6 |
|  |  | **240721652** | **25.6** |
|  | **Student Loan Asset-Backed Securities: 2.8%** | **Student Loan Asset-Backed Securities: 2.8%** | **Student Loan Asset-Backed Securities: 2.8%** |
| 129376<sup>(2)</sup> | Commonbond Student Loan Trust 2016-A B, 4.000%, 05/25/2040 | 116316 | 0.0 |
| 307032<sup>(2)</sup> | Commonbond Student Loan Trust 2016-B, 4.000%, 10/25/2040 | 276016 | 0.0 |
| 219054<sup>(2)</sup> | Commonbond Student Loan Trust 2017-AGS C, 5.280%, 05/25/2041 | 208209 | 0.0 |
| 85953<sup>(2)</sup> | Commonbond Student Loan Trust 2017-BGS C, 4.440%, 09/25/2042 | 75931 | 0.0 |
| 20289<sup>(2)</sup> | Commonbond Student Loan Trust 2018-BGS C, 4.120%, 09/25/2045 | 17751 | 0.0 |
| 572146<sup>(2)</sup> | Commonbond Student Loan Trust 2020-AGS B, 3.160%, 08/25/2050 | 486996 | 0.1 |
| 597694<sup>(1),(2)</sup> | DRB Prime Student Loan Trust 2017-A B, 3.100%, 05/27/2042 | 592754 | 0.1 |
| 118155<sup>(2)</sup> | ELFI Graduate Loan Program 2018-A B LLC, 4.000%, 08/25/2042 | 106208 | 0.0 |
| 685853<sup>(1),(2)</sup> | ELFI Graduate Loan Program 2019-A B LLC, 2.940%, 03/25/2044 | 621386 | 0.1 |
| 464225<sup>(2)</sup> | Laurel Road Prime Student Loan Trust 2018-B BFX, 3.720%, 05/26/2043 | 429683 | 0.1 |
| 1037846<sup>(2)</sup> | Laurel Road Prime Student Loan Trust 2019-A BFX, 3.000%, 10/25/2048 | 955989 | 0.1 |
| 324804<sup>(2)</sup> | Navient Private Education Refi Loan Trust 2020-HA A, 1.310%, 01/15/2069 | 291744 | 0.0 |
| 850000<sup>(2)</sup> | Navient Private Education Refi Loan Trust 2021-F B, 2.120%, 02/18/2070 | 549950 | 0.1 |
| 2623000<sup>(2)</sup> | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | 2224821 | 0.2 |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| 1000000<sup>(2)</sup> | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | 917276 | 0.1 |
| 1525000<sup>(1),(2)</sup> | SoFi Professional Loan Program 2017-A C, 4.430%, 03/26/2040 | 1360242 | 0.1 |
| 1250000<sup>(1),(2)</sup> | SoFi Professional Loan Program 2017-C C, 4.210%, 07/25/2040 | 1076469 | 0.1 |
| 1250000<sup>(2)</sup> | SoFi Professional Loan Program 2017-D BFX LLC, 3.610%, 09/25/2040 | 1087357 | 0.1 |
| 1000000<sup>(2)</sup> | SoFi Professional Loan Program 2017-E C LLC, 4.160%, 11/26/2040 | 872758 | 0.1 |
| 4000000<sup>(2)</sup> | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | 3463095 | 0.4 |
| 2000000<sup>(2)</sup> | Sofi Professional Loan Program 2018-C BFX Trust, 4.130%, 01/25/2048 | 1867379 | 0.2 |
| 2100000<sup>(2)</sup> | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | 1865281 | 0.2 |
| 5050000<sup>(2)</sup> | SoFi Professional Loan Program 2020-B BFX Trust, 2.730%, 05/15/2046 | 3964326 | 0.4 |
| 4100000<sup>(2)</sup> | SoFi Professional Loan Program 2020-C BFX Trust, 3.360%, 02/15/2046 | 3083967 | 0.3 |
|  |  | **26511904** | **2.8** |
|  | Total Asset-Backed Securities |  |  |
|  | (Cost $314,240,588) | **281509426** | **29.9** |
|  | Total Long-Term Investments |  |  |
|  | (Cost $1,033,775,157) | **892681810** | **94.8** |
| **Principal<br> Amount†** |  | **Value** | **Percentage<br> of Net<br> Assets** |
| **SHORT-TERM INVESTMENTS: 4.6%** | **SHORT-TERM INVESTMENTS: 4.6%** | **SHORT-TERM INVESTMENTS: 4.6%** | **SHORT-TERM INVESTMENTS: 4.6%** |
|  | **Commercial Paper: 1.5%** | **Commercial Paper: 1.5%** | **Commercial Paper: 1.5%** |
| 5000000 | McKesson Corp., 6.150%, 01/03/2023 | 4997475 | 0.6 |
| 5000000 | Mondelez International, Inc., 5.770%, 01/04/2023 | 4996838 | 0.5 |
| 4000000 | Verizon Communications, Inc., 5.770%, 01/04/2023 | 3997471 | 0.4 |
|  | Total Commercial Paper |  |  |
|  | (Cost $13,995,344) | **13991784** | **1.5** |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | | **Value** | **Percentage<br> of Net<br> Assets** |
|  | **Mutual Funds: 3.1%** | **Mutual Funds: 3.1%** | **Mutual Funds: 3.1%** |
| 29522000<sup>(8)</sup> | Goldman Sachs Financial Square Government Fund - Institutional Shares, 4.150% |  |  |
|  | (Cost $29,522,000) | **29522000** | **3.1** |
|  | Total Short-Term Investments |  |  |
|  | (Cost $43,517,344) | **43513784** | **4.6** |
|  | **Total Investments in Securities**<br> **(Cost $1,077,292,501)** | $**936195594** | **99.4** |
|  | **Assets in Excess of Other Liabilities** | **5830859** | **0.6** |
|  | **Net Assets** | $**942026453** | **100.0** |

---

† Unless otherwise indicated, principal amount is shown in USD.

(1) Variable rate security. Rate shown is the rate in effect as of December 31, 2022.

(2) Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject
 to that rule except to qualified institutional buyers.

(3) Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rates
 shown reflect the current and next coupon rate as of December 31, 2022.

(4) Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
 No payments of interest on the pool are passed through the principal only security.

(5) Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans.
 Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool
 reduce the value of the interest only security.

(6) Represents a zero coupon bond. Rate shown reflects the effective yield as of December 31, 2022.

(7) For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant
 unobservable inputs.

(8) Rate shown is the 7-day yield as of December 31, 2022.

---

| | |
|:---|:---|
| Reference Rate Abbreviations: | Reference Rate Abbreviations: |
| 12MTA | 12-month Treasury Average |
| SOFR30A | 30-day Secured Overnight Financing Rate |
| TSFR1M | 1-month CME Term Secured Overnight Financing Rate |
| TSFR3M | 3-month CME Term Secured Overnight Financing Rate |
| US0001M | 1-month LIBOR |
| US0003M | 3-month LIBOR |

---

<u>Voya Securitized Credit Fund</u> PORTFOLIO OF INVESTMENTS <br> <u>as of December 31, 2022 (Unaudited) (Continued)</u>

**Fair Value Measurements**

The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Quoted Prices<br> in Active Markets<br> for Identical<br> Investments<br> (Level 1)** | **Significant<br> Other<br> Observable<br> Inputs<br> (Level 2)** | **Significant<br> Unobservable<br> Inputs<br> (Level 3)** | **Fair Value<br> at<br> December 31, <br> 2022** |
| **Asset Table** |  |  |  |  |
| **Investments, at fair value** |  |  |  |  |
| Collateralized Mortgage Obligations | $– | $250718492 | $– | $250718492 |
| Asset-Backed Securities |  | 281509426 |  | 281509426 |
| Commercial Mortgage-Backed Securities |  | 356026492 | 4427400 | 360453892 |
| Short-Term Investments | 29522000 | 13991784 | – | 43513784 |
| Total Investments, at fair value | $29522000 | $902246194 | $4427400 | $936195594 |
| **Other Financial Instruments+** |  |  |  |  |
| Futures | 340197 | – | – | 340197 |
| Total Assets | $29862197 | $902246194 | $4427400 | $936535791 |
| **Liabilities Table** |  |  |  |  |
| **Other Financial Instruments+** |  |  |  |  |
| Futures | $(388897) | $– | $– | $(388897) |
| Total Liabilities | $(388897) | $– | $– | $(388897) |

---

---

| | |
|:---|:---|
| + | Other Financial Instruments may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are fair valued at the unrealized appreciation (depreciation) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |

---

At December 31, 2022, the following futures contracts were outstanding for Voya Securitized Credit Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number<br> of Contracts** | **Expiration<br> Date** | **Notional<br> Amount** | **Unrealized<br> Appreciation/<br> (Depreciation)** |
| Long Contracts: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 2-Year Note | 89 | 03/31/23 | $18251953 | $22891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Long Bond | 83 | 03/22/23 | 10403531 | (93551) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Ultra 10-Year Note | 135 | 03/22/23 | 15967969 | (112073) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Ultra Long Bond | 128 | 03/22/23 | 17192000 | (183273) |
|  |  |  | $61815453 | $(366006) |
| Short Contracts: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 10-Year Note | (92) | 03/22/23 | (10331313) | 54996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 5-Year Note | (2089) | 03/31/23 | (225465117) | 262310 |
|  |  |  | $(235796430) | $317306 |

---

At December 31, 2022, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were:

---

| | |
|:---|:---|
| Cost for federal income tax purposes was $1,087,903,811. | Cost for federal income tax purposes was $1,087,903,811. |
| Net unrealized depreciation consisted of: | Net unrealized depreciation consisted of: |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gross Unrealized Appreciation | $1476969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gross Unrealized Depreciation | (153233886) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Unrealized Depreciation | $(151756917) |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Separate Portfolios Trust

- **b. Investment Company Act file number:** 811-22025

- **c. CIK number of Registrant:** 0001392116

- **d. LEI of Registrant:** 549300ZK3E04XAD4QG44

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA SECURITIZED CREDIT FUND

- **b. EDGAR series identifier (if any):** S000046242

- **c. LEI of Series:** 549300IRVV55AI1KRN67

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

- **a. Date of fiscal year-end:** 2023-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $945308940.37

**Total Liabilities:** $4911072.94

**Net Assets:** $940397867.43

**Cash Not Reported:** $2899067.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18.00000000 | **1-Year:** 972.00000000 | **5-Year:** 12730.00000000 | **10-Year:** 64762.00000000 | **30-Year:** 183313.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 21.00000000 | **5-Year:** 15197.00000000 | **10-Year:** 56408.00000000 | **30-Year:** 71125.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000191194 | -1.47%               | -0.71%               | 0.53%                |
| Class ID C000144550 | -1.52%               | -0.54%               | 0.47%                |
| Class ID C000159005 | -1.50%               | -0.73%               | 0.51%                |
| Class ID C000221175 | -1.58%               | -0.59%               | 0.53%                |
| Class ID C000159006 | -1.58%               | -0.59%               | 0.42%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-175648.34              | $-19263369.36                              |
| Month 2  | $-6312459.92             | $-2498001.31                               |
| Month 3  | $-1815782.88             | $2496389.88                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                           | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-8                                                  | CUSIP: 46650MBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910135 | PA      | $767166.38    | 0.08%             | 2049-01-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2021-BNK31                                                                  | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14831662 | PA      | $1077862.13   | 0.11%             | 2054-02-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                 | WFRBS Commercial Mortgage Trust 2013-C12                                         | CUSIP: 92937FAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020000 | PA      | $1937796.10   | 0.21%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-3                                                  | CUSIP: 46592ABT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410338 | PA      | $1112585.55   | 0.12%             | 2050-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                 | Cascade Funding Mortgage Trust 2021-FRR1                                         | CUSIP: 12529YCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $872229.79    | 0.09%             | 2029-09-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56954 | PA      | $55252.79     | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                          | Palmer Square CLO 2021-2 Ltd                                                     | CUSIP: 69702AAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $3311616.40   | 0.35%             | 2034-07-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                 | Renaissance Home Equity Loan Trust 2005-4                                        | CUSIP: 759950GA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    474956 | PA      | $413255.02    | 0.04%             | 2036-02-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                     | MFA 2020-NQM3 Trust                                                              | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387238 | PA      | $356221.53    | 0.04%             | 2065-01-26      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | Sofi Professional Loan Program 2018-C Trust                                      | CUSIP: 78490DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1867378.80   | 0.20%             | 2048-01-25      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2017-4                                                  | CUSIP: 46648UAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1325726 | PA      | $1128429.46   | 0.12%             | 2048-11-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust 2014-IVR3                                                             | CUSIP: 12648TAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394978 | PA      | $368200.25    | 0.04%             | 2044-07-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646472 | PA      | $506714.32    | 0.05%             | 2038-02-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                  | Commonbond Student Loan Trust 2018-BGS                                           | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-O            | CORP              | US        |     20289 | PA      | $17751.40     | 0.00%             | 2045-09-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43818 | PA      | $41853.82     | 0.00%             | 2049-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2019-EXP3 Trust                                                              | CUSIP: 67113AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152284 | PA      | $141080.22    | 0.02%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908354 | PA      | $783486.52    | 0.08%             | 2050-03-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2015-C30                                   | CUSIP: 94989NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16657000 | PA      | $480305.43    | 0.05%             | 2058-09-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-HQA1                                          | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1887596.80   | 0.20%             | 2033-08-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                          | American Homes 4 Rent 2015-SFR1 Trust                                            | CUSIP: 02666AAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1043428 | PA      | $0.00         | 0.00%             | 2052-04-17      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| Bayview Opportunity Master Fun                 | Bayview MSR Opportunity Master Fund Trust 2021-INV2                              | CUSIP: 07336NCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2044965 | PA      | $1424445.61   | 0.15%             | 2051-12-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                  | Commonbond Student Loan Trust 2016-B                                             | CUSIP: 20267UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307032 | PA      | $276015.91    | 0.03%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF 2018-K156 Mortgage Trust                                                   | CUSIP: 302957AS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    449682 | PA      | $175260.61    | 0.02%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden 95 CLO Ltd                                                                | CUSIP: 262487AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4615720.00   | 0.49%             | 2034-08-20      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                  | Starwood Mortgage Residential Trust 2020-3                                       | CUSIP: 85573MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1767306.00   | 0.19%             | 2065-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                            | BMD2 Re-Remic Trust 2019-FRR1                                                    | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6580000 | PA      | $4027815.40   | 0.43%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2015-1                                                  | CUSIP: 00841WBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1401665 | PA      | $1057334.85   | 0.11%             | 2045-01-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40410945 | PA      | $2272677.17   | 0.24%             | 2052-07-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2016-1                                                  | CUSIP: 00842TAU2<br>LEI: 549300SCHQRABPDKYY47 | Long             | ABS-MBS          | CORP              | US        |    558015 | PA      | $465966.89    | 0.05%             | 2045-12-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | SoFi Professional Loan Program 2017-D LLC                                        | CUSIP: 78471CAC3<br>LEI: 549300RC6OGKQI1MHM67 | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1087356.88   | 0.12%             | 2040-09-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Trust 2015-2                                                  | CUSIP: 599808BL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1577130.48   | 0.17%             | 2057-09-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $925888.20    | 0.10%             | 2041-11-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                 | Palmer Square Loan Funding 2021-2 Ltd                                            | CUSIP: 69702FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3125000 | PA      | $2832809.38   | 0.30%             | 2029-05-20      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5490776 | PA      | $277519.73    | 0.03%             | 2030-11-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                   | Eagle RE 2021-2 Ltd                                                              | CUSIP: 26982AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1000000 | PA      | $984229.40    | 0.10%             | 2034-04-25      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2791477 | PA      | $2274595.93   | 0.24%             | 2050-03-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-LTV1                                               | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94352 | PA      | $91166.63     | 0.01%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC 2019-AFC1 Trust                                                             | CUSIP: 12596XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617002 | PA      | $574103.94    | 0.06%             | 2049-07-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF 2019-KG01 Mortgage Trust                                                   | CUSIP: 30298CAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3260000 | PA      | $14449.14     | 0.00%             | 2029-05-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                             | Aqua Finance Trust 2019-A                                                        | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606968 | PA      | $571852.68    | 0.06%             | 2040-07-16      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Lt                 | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1528261 | PA      | $1374285.44   | 0.15%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-DNA6                                          | CUSIP: 35564KLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3646822.14   | 0.39%             | 2041-10-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                   | CD 2019-CD8 Mortgage Trust                                                       | CUSIP: 12515BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17685004 | PA      | $1163512.32   | 0.12%             | 2057-08-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                 | Bayview Opportunity Master Fund VI Trust 2021-INV6                               | CUSIP: 07335UCJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2494710 | PA      | $1861622.26   | 0.20%             | 2051-10-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec                 | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2580000 | PA      | $1499176.08   | 0.16%             | 2054-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                 | Babson CLO Ltd 2014-I                                                            | CUSIP: 05618DAG9<br>LEI: 549300SCEOLR3BTPYX35 | Long             | ABS-CBDO         | CORP              | KY        |    239891 | PA      | $239750.28    | 0.03%             | 2025-07-20      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2020-BNK27                                                                  | CUSIP: 06539XAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52677821 | PA      | $3267526.24   | 0.35%             | 2063-04-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                         | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1046080 | PA      | $968824.35    | 0.10%             | 2044-02-22      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Trafigura Securitisation Finan                 | Trafigura Securitisation Finance PLC 2021-1                                      | CUSIP: 892725AU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   2450000 | PA      | $2172155.30   | 0.23%             | 2025-01-15      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                 | AmeriCredit Automobile Receivables Trust 2020-2                                  | CUSIP: 03066EAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2200863.83   | 0.23%             | 2026-03-18      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2017-2                                                    | CUSIP: 81746KCC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1844386 | PA      | $1605435.95   | 0.17%             | 2047-02-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF 2019-KG01 Mortgage Trust                                                   | CUSIP: 30298CAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $1169239.39   | 0.12%             | 2029-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                            | BMD2 Re-Remic Trust 2019-FRR1                                                    | CUSIP: 055631FB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $2022884.44   | 0.22%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                        | GSR Mortgage Loan Trust 2006-AR1                                                 | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191228 | PA      | $183886.55    | 0.02%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1582957.28   | 0.17%             | 2033-08-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                     | Navient Private Education Refi Loan Trust 2021-F                                 | CUSIP: 63942GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $549949.83    | 0.06%             | 2070-02-18      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163ABR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6115000 | PA      | $4952477.96   | 0.53%             | 2053-07-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2021-14                                               | CUSIP: 46653QCH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1466414 | PA      | $927858.67    | 0.10%             | 2052-05-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC 2021-AFC1 Trust                                                             | CUSIP: 12657LAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $662242.70    | 0.07%             | 2056-03-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8020000 | PA      | $4739926.27   | 0.50%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $1971679.80   | 0.21%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2104269 | PA      | $1645582.31   | 0.17%             | 2050-05-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Five Guys Funding, LLC                         | Five Guys Funding LLC                                                            | CUSIP: 33830JAA3<br>LEI: 549300LV8X8T05G1H175 | Long             | ABS-O            | CORP              | US        |   1481250 | PA      | $1391105.27   | 0.15%             | 2047-07-25      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust                    | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250274 | PA      | $221767.60    | 0.02%             | 2036-12-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2020-1NV                                                 | CUSIP: 33851YBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4742343 | PA      | $3782920.40   | 0.40%             | 2050-03-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust 2014-IVR1                                                             | CUSIP: 12648ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326891 | PA      | $303529.18    | 0.03%             | 2043-11-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                | Oaktree CLO 2021-1 Ltd                                                           | CUSIP: 67402JAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2778177.00   | 0.30%             | 2034-07-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                 | WFRBS Commercial Mortgage Trust 2013-C14                                         | CUSIP: 92890PBG8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |  14390000 | PA      | $9206814.10   | 0.98%             | 2046-06-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2007-OA4                                                  | CUSIP: 02150DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953446 | PA      | $804329.29    | 0.09%             | 2047-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  50400983 | PA      | $134462.26    | 0.01%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393797 | PA      | $308576.38    | 0.03%             | 2035-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                      | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6                       | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2679225.58   | 0.28%             | 2045-11-15      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2016-2                                                  | CUSIP: 00842EAU5<br>LEI: 549300TSTBCBQ5EBD390 | Long             | ABS-MBS          | CORP              | US        |   1258105 | PA      | $1131789.03   | 0.12%             | 2046-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KSJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6250000 | PA      | $5735608.75   | 0.61%             | 2042-02-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                     | Navient Private Education Refi Loan Trust 2020-H                                 | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324804 | PA      | $291743.87    | 0.03%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-CH3                                                  | CUSIP: 81748GEJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2865988 | PA      | $2557565.67   | 0.27%             | 2049-09-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12504178 | PA      | $744702.58    | 0.08%             | 2053-03-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-LTV2                                               | CUSIP: 46651ABB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1873008 | PA      | $1666267.45   | 0.18%             | 2049-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                         | J.G. Wentworth XLI LLC                                                           | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    626870 | PA      | $523714.22    | 0.06%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust 2011-C1                                           | CUSIP: 617458BE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3650000 | PA      | $3650000.00   | 0.39%             | 2047-09-15      | Fixed         | 4.19%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2004-32CB                                                 | CUSIP: 12667FP41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328734 | PA      | $306928.19    | 0.03%             | 2035-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318502 | PA      | $297284.90    | 0.03%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                           | BlueMountain CLO XXXII Ltd                                                       | CUSIP: 09631EAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7250000 | PA      | $6654398.00   | 0.71%             | 2034-10-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4833678 | PA      | $3403478.23   | 0.36%             | 2049-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-INV1                                               | CUSIP: 46591DAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1624251 | PA      | $1432375.81   | 0.15%             | 2049-10-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                  | Starwood Mortgage Residential Trust 2020-1                                       | CUSIP: 85573AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2501858.70   | 0.27%             | 2050-02-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921743 | PA      | $796383.90    | 0.08%             | 2049-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                 | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1392000 | PA      | $1322889.57   | 0.14%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust 2011-C1                                           | CUSIP: 617458BJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680158 | PA      | $0.00         | 0.00%             | 2047-09-15      | Fixed         | 4.19%                 | No            |                  3 | On Loan: No      |
| United Wholesale Mortgage LLC                  | UWM Mortgage Trust 2021-INV5                                                     | CUSIP: 90355DBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4794798 | PA      | $3376446.95   | 0.36%             | 2052-01-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                         | Marlette Funding Trust 2018-4                                                    | CUSIP: 57109GAC8<br>LEI: 549300JRCMNFIBT50883 | Long             | ABS-O            | CORP              | US        |     90710 | PA      | $90507.36     | 0.01%             | 2028-12-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                 | JPMBB Commercial Mortgage Securities Trust 2014-C26                              | CUSIP: 46643TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  46979000 | PA      | $396768.19    | 0.04%             | 2048-01-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                 | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                            | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57764 | PA      | $53932.21     | 0.01%             | 2036-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       135 | NC      | $-112072.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2018-C45                                   | CUSIP: 95001NAZ1<br>LEI: 5493006021R83VCLAO08 | Long             | ABS-MBS          | CORP              | US        |  14878393 | PA      | $515240.98    | 0.05%             | 2051-06-15      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                 | Barings CLO Ltd 2018-III                                                         | CUSIP: 06760PAQ4<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4044847.50   | 0.43%             | 2029-07-20      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                | Lehman XS Trust Series 2005-5N                                                   | CUSIP: 86359DUS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75386 | PA      | $73538.38     | 0.01%             | 2035-11-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2014-LC18                                  | CUSIP: 94989AAX3<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |   5452113 | PA      | $94014.60     | 0.01%             | 2047-12-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF 2019-KG01 Mortgage Trust                                                   | CUSIP: 30298CAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29286038 | PA      | $103133.71    | 0.01%             | 2029-04-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| TPI Re-Remic Trust                             | TPI RE-REMIC Trust 2022-FRR1                                                     | CUSIP: 872659AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4809042.25   | 0.51%             | 2046-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PSMC Trust                                     | PSMC 2019-3 Trust                                                                | CUSIP: 69375BAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226681 | PA      | $216948.94    | 0.02%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-LTV2                                               | CUSIP: 46651ABC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1873008 | PA      | $1651927.68   | 0.18%             | 2049-12-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                         | Mosaic Solar Loans 2017-2 LLC                                                    | CUSIP: 61946GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    689494 | PA      | $639877.81    | 0.07%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU                 | SoFi Consumer Loan Program 2020-1 Trust                                          | CUSIP: 83407AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2214944 | PA      | $2191684.78   | 0.23%             | 2029-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-9                                                  | CUSIP: 46649YBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912039 | PA      | $749009.84    | 0.08%             | 2049-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3384258 | PA      | $381329.20    | 0.04%             | 2035-02-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                  | Commonbond Student Loan Trust 2016-A                                             | CUSIP: 20267TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129376 | PA      | $116315.66    | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,                  | Wachovia Mortgage Loan Trust LLC Series 2005-B Trust                             | CUSIP: 92977YBP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89229 | PA      | $84521.30     | 0.01%             | 2035-10-20      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6586500 | PA      | $485662.49    | 0.05%             | 2052-07-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2020-1NV                                                 | CUSIP: 33851YBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2363608 | PA      | $1874933.08   | 0.20%             | 2050-03-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2015-4                                                  | CUSIP: 46644VBT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264067 | PA      | $837815.24    | 0.09%             | 2045-06-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2021-7                                                    | CUSIP: 81748TCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2476149 | PA      | $1690113.86   | 0.18%             | 2051-11-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                   | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16080000 | PA      | $11977884.26  | 1.27%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2017-1                                                  | CUSIP: 46648CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3335852 | PA      | $2741470.95   | 0.29%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust 2013-IVR5                                                             | CUSIP: 12647VAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230384 | PA      | $216912.07    | 0.02%             | 2043-10-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate                  | Cantor Commercial Real Estate Lending 2019-CF3                                   | CUSIP: 12529TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $746897.50    | 0.08%             | 2053-01-15      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| LCSS Financing LLC                             | LCSS Financing 2018-A LLC                                                        | CUSIP: 50200XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813577 | PA      | $698768.37    | 0.07%             | 2062-12-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                         | GSAA Home Equity Trust 2007-1                                                    | CUSIP: 3622EQAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    934089 | PA      | $304716.12    | 0.03%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                    | Home RE 2019-1 Ltd                                                               | CUSIP: 43731AAB9<br>LEI: 254900GFKVQN72ENGJ20 | Long             | ABS-MBS          | CORP              | BM        |   4000000 | PA      | $3949318.40   | 0.42%             | 2029-05-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                              | Prima Capital CRE Securitization 2019-VII Ltd                                    | CUSIP: 74166QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2170000 | PA      | $1974531.50   | 0.21%             | 2050-12-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                      | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                      | CUSIP: 61690VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7861000 | PA      | $5623183.19   | 0.60%             | 2048-10-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Applebees/IHOP Funding LLC                     | Applebee's Funding LLC / IHOP Funding LLC                                        | CUSIP: 03789XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1089000 | PA      | $995763.30    | 0.11%             | 2049-06-05      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                           | BlueMountain CLO XXX Ltd                                                         | CUSIP: 09630QAQ4<br>LEI: 5493002GUQ80FGGGNP40 | Long             | ABS-CBDO         | CORP              | KY        |   3750000 | PA      | $3485685.00   | 0.37%             | 2035-04-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                    | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385084 | PA      | $345953.76    | 0.04%             | 2037-02-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $6805876.00   | 0.72%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2018-5                                                   | CUSIP: 33849NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    911513 | PA      | $723812.07    | 0.08%             | 2048-09-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-8                                                  | CUSIP: 46650MBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1820269 | PA      | $1538223.08   | 0.16%             | 2049-01-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec                 | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5649000 | PA      | $3062661.84   | 0.33%             | 2054-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                         | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361277 | PA      | $195341.35    | 0.02%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                  | Citigroup COmmercial Mortgage Trust 2018-C6                                      | CUSIP: 17327GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2240000 | PA      | $1686673.41   | 0.18%             | 2051-11-10      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2016-1                                                  | CUSIP: 00842TAV0<br>LEI: 549300SCHQRABPDKYY47 | Long             | ABS-MBS          | CORP              | US        |    646000 | PA      | $526819.52    | 0.06%             | 2045-12-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2020-SBT1                                    | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2869983.55   | 0.31%             | 2040-02-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2017-6                                                  | CUSIP: 46649HBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338294 | PA      | $1110818.88   | 0.12%             | 2048-12-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2015-C30                                   | CUSIP: 94989NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16657000 | PA      | $481784.57    | 0.05%             | 2058-09-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust | CUSIP: 93936FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492803 | PA      | $434689.69    | 0.05%             | 2047-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                 | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100178 | PA      | $83884.97     | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3220000 | PA      | $310688.14    | 0.03%             | 2052-03-15      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                 | Americredit Automobile Receivables Trust 2019-1                                  | CUSIP: 03066GAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1082277 | PA      | $1076063.87   | 0.11%             | 2025-02-18      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F8ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29722183 | PA      | $1346737.39   | 0.14%             | 2030-12-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2019-GC40                                           | CUSIP: 36257HBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14385067 | PA      | $639712.55    | 0.07%             | 2052-07-10      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                | Atrium XIV LLC                                                                   | CUSIP: 55820WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4378380.00   | 0.47%             | 2030-08-23      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                 | Benefit Street Partners CLO XXIII Ltd                                            | CUSIP: 08186VAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4667170.00   | 0.50%             | 2034-04-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Trust 2015-3                                                           | CUSIP: 46644MAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    866534 | PA      | $592464.44    | 0.06%             | 2045-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2005-65CB                                                 | CUSIP: 12668AX59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214923 | PA      | $148436.59    | 0.02%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                  | Citigroup Commercial Mortgage Trust 2014-GC19                                    | CUSIP: 17322AAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44693343 | PA      | $670491.77    | 0.07%             | 2047-03-11      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2014-5                                                  | CUSIP: 46643KBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786000 | PA      | $615838.94    | 0.07%             | 2029-10-25      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2012-GCJ7                                           | CUSIP: 36192KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    522695 | PA      | $109491.52    | 0.01%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-5                                                    | CUSIP: 81743ACC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462257 | PA      | $375064.64    | 0.04%             | 2049-12-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| TBW Mortgage Backed Pass Throu                 | TBW Mortgage-Backed Trust 2006-6                                                 | CUSIP: 87222PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3774111 | PA      | $992302.16    | 0.11%             | 2037-01-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2773289 | PA      | $2196153.09   | 0.23%             | 2050-02-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                   | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658573 | PA      | $570736.70    | 0.06%             | 2036-12-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Vivint Solar Financing LLC                     | Vivint Solar Financing VII LLC                                                   | CUSIP: 92855HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2207176 | PA      | $1695324.21   | 0.18%             | 2051-07-31      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2018-INV1                                                              | CUSIP: 12553XAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466989 | PA      | $437929.65    | 0.05%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | Sofi Professional Loan Program 2017-C LLC                                        | CUSIP: 83405DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1076469.63   | 0.11%             | 2040-07-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-HYB1                                               | CUSIP: 46651FAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2972244 | PA      | $2734114.42   | 0.29%             | 2049-10-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2007-A3                                                 | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103045 | PA      | $89179.72     | 0.01%             | 2037-05-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                 | Oaktown Re VII Ltd                                                               | CUSIP: 67389JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3800000 | PA      | $3306177.84   | 0.35%             | 2034-04-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLII LLC                        | JG Wentworth XLII LLC                                                            | CUSIP: 46590UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740874 | PA      | $645125.42    | 0.07%             | 2077-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2019-R05                                     | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846290 | PA      | $858210.00    | 0.09%             | 2039-07-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2006-20CB                                                 | CUSIP: 02147MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617454 | PA      | $301635.80    | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                         | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2443557 | PA      | $842851.89    | 0.09%             | 2036-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                  | Citigroup Mortgage Loan Trust 2021-J3                                            | CUSIP: 17330BDN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1496360 | PA      | $1027479.09   | 0.11%             | 2051-09-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J1                                                                | CUSIP: 12559YBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947274 | PA      | $730699.60    | 0.08%             | 2050-07-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156586 | PA      | $136997.55    | 0.01%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                             | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $4890294.94   | 0.52%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                       | Neuberger Berman Loan Advisers Clo 42 Ltd                                        | CUSIP: 64133WAG0<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2099637.00   | 0.22%             | 2035-07-16      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18414818 | PA      | $1213234.52   | 0.13%             | 2054-02-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3310000 | PA      | $2136436.52   | 0.23%             | 2050-11-27      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2017-5                                                    | CUSIP: 81746DCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2561685 | PA      | $2119762.75   | 0.23%             | 2047-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Whetstone Park CLO Ltd                         | Whetstone Park CLO Ltd                                                           | CUSIP: 96329YAJ6<br>LEI: 549300M54M5QSBMB3780 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1397256.00   | 0.15%             | 2035-01-20      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2019-J1                                                                | CUSIP: 12556MCR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886109 | PA      | $704899.62    | 0.07%             | 2049-08-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                  | Citigroup Commercial Mortgage Trust 2014-GC19                                    | CUSIP: 17322AAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2810000 | PA      | $2561858.74   | 0.27%             | 2047-03-11      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                 | JPMBB Commercial Mortgage Securities Trust 2014-C26                              | CUSIP: 46643TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34428000 | PA      | $270573.09    | 0.03%             | 2048-01-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-DNA5                                          | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    811094 | PA      | $800309.54    | 0.09%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2018-6RR                                                 | CUSIP: 33851FBP1<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    910940 | PA      | $799537.37    | 0.09%             | 2048-10-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF 2016-K57 Mortgage Trust                                                    | CUSIP: 30295DAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12250292 | PA      | $36763.74     | 0.00%             | 2049-08-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta                 | Mello Mortgage Capital Acceptance 2022-INV1                                      | CUSIP: 585490CB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2454124 | PA      | $1740587.53   | 0.19%             | 2052-03-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                            | Sound Point Clo XIV Ltd                                                          | CUSIP: 83609NAW0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4280580.00   | 0.46%             | 2029-01-23      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CME Ultra Long Term US Treasury Bond                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       128 | NC      | $-183272.91   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115588 | PA      | $107315.78    | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-8                                                  | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382744 | PA      | $326648.16    | 0.03%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                              | Prima Capital CRE Securitization 2019-VII Ltd                                    | CUSIP: 74166VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8050377.00   | 0.86%             | 2050-12-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DRB PRIME STUDENT LOAN TRUST                   | DRB Prime Student Loan Trust 2017-A                                              | CUSIP: 23342KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597694 | PA      | $592753.85    | 0.06%             | 2042-05-27      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2022-1                                                | CUSIP: 46654WCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1665773 | PA      | $1177434.88   | 0.13%             | 2052-07-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2018-5                                                   | CUSIP: 33849NAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4054 | PA      | $3390.69      | 0.00%             | 2048-09-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2007-S1                                                 | CUSIP: 46630RBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929393 | PA      | $407414.05    | 0.04%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                 | SMB Private Education Loan Trust 2014-A                                          | CUSIP: 784456AF2<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   2623000 | PA      | $2224820.73   | 0.24%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2021-2, Ltd.                           | TCW CLO 2021-2 Ltd                                                               | CUSIP: 87190MAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2747964.00   | 0.29%             | 2034-07-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                       | Bear Stearns ALT-A Trust 2005-9                                                  | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1441689 | PA      | $967385.39    | 0.10%             | 2035-11-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3439332 | PA      | $2931530.06   | 0.31%             | 2050-03-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2369769 | PA      | $2019893.67   | 0.21%             | 2050-03-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                       | Ajax Mortgage Loan Trust 2019-D                                                  | CUSIP: 00968FAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2681136.60   | 0.29%             | 2065-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                  | Citigroup Commercial Mortgage Trust 2016-P4                                      | CUSIP: 29429EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4231000 | PA      | $2774550.81   | 0.30%             | 2049-07-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                              | Magnetite XXVI Ltd                                                               | CUSIP: 55954YAQ8<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4716320.00   | 0.50%             | 2034-07-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-6                                                  | CUSIP: 46651BAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1871164 | PA      | $1624532.35   | 0.17%             | 2049-12-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Trust 2021-GR3                                     | CUSIP: 36263TBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978452 | PA      | $621537.80    | 0.07%             | 2052-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program                     | ELFI Graduate Loan Program 2018-A LLC                                            | CUSIP: 268571AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118155 | PA      | $106208.12    | 0.01%             | 2042-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA1                                          | CUSIP: 35564KQY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8911450.00   | 0.95%             | 2042-01-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5331000 | PA      | $4047909.06   | 0.43%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2019-GC38                                           | CUSIP: 36252SAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6291216 | PA      | $269626.11    | 0.03%             | 2052-02-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-9                                                  | CUSIP: 46651YBT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2430350 | PA      | $1914027.90   | 0.20%             | 2050-05-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2019-LTV1                                             | CUSIP: 46650PAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089976 | PA      | $1020480.78   | 0.11%             | 2049-06-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2017-BNK4                                                                   | CUSIP: 06541FAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5680000 | PA      | $3432541.86   | 0.37%             | 2050-05-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                     | MFA 2021-INV2 Trust                                                              | CUSIP: 552732AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3489000 | PA      | $2201934.77   | 0.23%             | 2056-11-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 Trust                    | CUSIP: 92922FPT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308574 | PA      | $289694.08    | 0.03%             | 2034-06-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2017-BNK8                                                                   | CUSIP: 06650AAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21150000 | PA      | $1053454.01   | 0.11%             | 2050-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5334000 | PA      | $4263593.15   | 0.45%             | 2051-09-27      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                 | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                  | CUSIP: 46651MAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1797320.80   | 0.19%             | 2036-07-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                 | Renaissance Home Equity Loan Trust 2005-3                                        | CUSIP: 75970NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378122 | PA      | $371448.82    | 0.04%             | 2035-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2019-INV3                                                              | CUSIP: 12557LAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267976 | PA      | $243655.72    | 0.03%             | 2049-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTL 01/04/2023                       | MONDELEZ INTL 01/04/2023                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4996838.20   | 0.53%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2021-GSA3                                           | CUSIP: 36263UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $240266.30    | 0.03%             | 2054-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                   | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6300000 | PA      | $4125044.07   | 0.44%             | 2049-11-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA4                                          | CUSIP: 35564KXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3006219.00   | 0.32%             | 2042-05-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2018-2                                                   | CUSIP: 33851HBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899405 | PA      | $758050.18    | 0.08%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2020-2                                                    | CUSIP: 81748KEG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2369645 | PA      | $1844598.78   | 0.20%             | 2050-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                 | Wells Fargo Mortgage Backed Securities 2018-1                                    | CUSIP: 94989UBK6<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |    449355 | PA      | $373562.04    | 0.04%             | 2047-07-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                 | Bear Stearns Asset Backed Securities Trust 2006-SD4                              | CUSIP: 07389NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188954 | PA      | $183877.39    | 0.02%             | 2036-10-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                 | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1852800 | PA      | $1719586.83   | 0.18%             | 2048-07-25      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | SoFi Professional Loan Program 2017-A LLC                                        | CUSIP: 83404FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1360241.75   | 0.14%             | 2040-03-26      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85884 | PA      | $81264.21     | 0.01%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7087000 | PA      | $4901606.97   | 0.52%             | 2051-09-27      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                       | OHA Credit Partners XVI                                                          | CUSIP: 67115LAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $5639952.00   | 0.60%             | 2034-10-18      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR Remic Trust 2020-DNA2                                          | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   1287740 | PA      | $1285654.11   | 0.14%             | 2050-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-6                                                  | CUSIP: 46650JAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288555 | PA      | $247791.90    | 0.03%             | 2048-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2018-B7 Mortgage Trust                                                 | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  50165729 | PA      | $848212.17    | 0.09%             | 2053-05-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                               | Symphony CLO XIV Ltd                                                             | CUSIP: 87159QCB2<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $4201146.60   | 0.45%             | 2026-07-14      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                 | WFRBS Commercial Mortgage Trust 2013-C12                                         | CUSIP: 92937FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97433 | PA      | $123.88       | 0.00%             | 2048-03-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7423000 | PA      | $4635990.11   | 0.49%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2020-BNK30                                                                  | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17793294 | PA      | $1240944.35   | 0.13%             | 2053-12-15      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                       | Bear Stearns ALT-A Trust 2005-10                                                 | CUSIP: 07386HZC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141051 | PA      | $135849.89    | 0.01%             | 2036-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                 | HarborView Mortgage Loan Trust 2007-5                                            | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671022 | PA      | $576416.29    | 0.06%             | 2037-09-19      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Bank                                           | Bank 2019-BNK19                                                                  | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10987040 | PA      | $519653.48    | 0.06%             | 2061-08-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,                 | Galton Funding Mortgage Trust 2018-2                                             | CUSIP: 36418GBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493480 | PA      | $467481.55    | 0.05%             | 2058-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                   | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20520000 | PA      | $15631865.14  | 1.66%             | 2050-03-01      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust 2016-BNK2                                         | CUSIP: 61690YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1590000 | PA      | $1166424.16   | 0.12%             | 2049-11-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-6                                                  | CUSIP: 46651BAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935582 | PA      | $780103.58    | 0.08%             | 2049-12-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2019-B14 Mortgage Trust                                                | CUSIP: 08162YAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14907500 | PA      | $1066814.24   | 0.11%             | 2062-12-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2018-4                                                   | CUSIP: 33851LAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390786 | PA      | $1202165.64   | 0.13%             | 2048-07-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                       | Neuberger Berman Loan Advisers Clo 44 Ltd                                        | CUSIP: 64133VAG2<br>LEI: 549300HMTDFWN3B2DI35 | Long             | ABS-CBDO         | CORP              | KY        |   4850000 | PA      | $4542670.05   | 0.48%             | 2034-10-16      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-3 Ltd                  | Loanpal Solar Loan Ltd                                                           | CUSIP: 53948NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1811608 | PA      | $1363267.29   | 0.14%             | 2047-12-20      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Figure Line of Credit Trust 20                 | Figure Line of Credit Trust 2020-1                                               | CUSIP: 302452AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    888509 | PA      | $850797.42    | 0.09%             | 2049-09-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2004-J7                                                   | CUSIP: 12667FTE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502247 | PA      | $500139.54    | 0.05%             | 2034-10-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                 | Barclays Commercial Mortgage Trust 2019-C4                                       | CUSIP: 07335CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  47271071 | PA      | $3381663.68   | 0.36%             | 2052-08-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                 | CARLYLE US CLO 2021-8 LTD                                                        | CUSIP: 143120AG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5800000 | PA      | $5250107.80   | 0.56%             | 2034-10-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-4                                                  | CUSIP: 46652FBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1468593 | PA      | $1176146.52   | 0.13%             | 2050-11-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-INV2                                               | CUSIP: 46651DAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183340 | PA      | $165910.16    | 0.02%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2021-C60                                   | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20635018 | PA      | $1776377.89   | 0.19%             | 2054-08-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                 | Wells Fargo Mortgage Backed Securities 2020-1 Trust                              | CUSIP: 95002KBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2018720 | PA      | $1516963.30   | 0.16%             | 2049-12-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2020-DNA5                                          | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182126 | PA      | $1191834.75   | 0.13%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-DNA7                                          | CUSIP: 35564KND7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1863886.40   | 0.20%             | 2041-11-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2019-EXP1 Trust                                                              | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |     49903 | PA      | $46914.41     | 0.00%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                  | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1467178 | PA      | $1037652.25   | 0.11%             | 2051-12-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust,                  | Wachovia Mortgage Loan Trust LLC Series 2005-B Trust                             | CUSIP: 92977YBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115759 | PA      | $109651.48    | 0.01%             | 2035-10-20      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4957958 | PA      | $350468.14    | 0.04%             | 2054-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                 | Wells Fargo Mortgage Backed Securities 2020-4 Trust                              | CUSIP: 95002VBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035607 | PA      | $810634.86    | 0.09%             | 2050-07-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2022-J1 Trust                                                                | CUSIP: 67116WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1408982 | PA      | $1083392.31   | 0.12%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM 2020-CBM Mortgage Trust                                                     | CUSIP: 20049AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1820000 | PA      | $1541751.30   | 0.16%             | 2037-02-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CBOT 10 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -131 | NC      | $78535.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Babson CLO Ltd                                 | Barings CLO Ltd 2021-I                                                           | CUSIP: 06762EAG9<br>LEI: 5493001QIXQNVJN0QT95 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3564888.00   | 0.38%             | 2034-04-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                        | GSR Mortgage Loan Trust 2005-AR5                                                 | CUSIP: 362341MC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93328 | PA      | $54337.94     | 0.01%             | 2035-10-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-4                                                  | CUSIP: 46649CBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2061646 | PA      | $1686958.78   | 0.18%             | 2048-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                  | Citigroup Mortgage Loan Trust 2006-AR2                                           | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235740 | PA      | $183854.69    | 0.02%             | 2036-03-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust                   | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660460 | PA      | $585847.36    | 0.06%             | 2035-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                 | IndyMac INDX Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2454001 | PA      | $1734098.99   | 0.18%             | 2046-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2005-31                                                   | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280827 | PA      | $239920.87    | 0.03%             | 2035-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                  | Citigroup Mortgage Loan Trust 2007-10                                            | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211672 | PA      | $182109.90    | 0.02%             | 2037-09-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                  | New Residential Mortgage Loan Trust 2017-6                                       | CUSIP: 64830BAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1823584 | PA      | $1665169.60   | 0.18%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3094000 | PA      | $2558131.42   | 0.27%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                  | CitiMortgage Alternative Loan Trust Series 2007-A6                               | CUSIP: 18976GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139737 | PA      | $119438.76    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                       | Ajax Mortgage Loan Trust 2019-F                                                  | CUSIP: 00969PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1353721.35   | 0.14%             | 2059-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                        | Carmax Auto Owner Trust 2019-3                                                   | CUSIP: 14315PAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $728242.28    | 0.08%             | 2026-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CBOT US Long Bond                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        83 | NC      | $-93550.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-7                                                  | CUSIP: 46651GAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424783 | PA      | $360217.76    | 0.04%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2064000 | PA      | $1684294.80   | 0.18%             | 2047-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-9                                                  | CUSIP: 46649YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910178 | PA      | $761737.35    | 0.08%             | 2049-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-CH1                                                  | CUSIP: 81747MCF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593091 | PA      | $562615.77    | 0.06%             | 2049-03-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                     | Sunrun Atlas Issuer 2019-2 LLC                                                   | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3309600 | PA      | $2919240.71   | 0.31%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                  | Citigroup Commercial Mortgage Trust 2016-P4                                      | CUSIP: 29429EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010000 | PA      | $1141750.35   | 0.12%             | 2049-07-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9937000 | PA      | $7029168.98   | 0.75%             | 2050-11-27      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3849000 | PA      | $3150902.44   | 0.34%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-INV2                                               | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423091 | PA      | $371629.37    | 0.04%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2019-B10 Mortgage Trust                                                | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20122115 | PA      | $1036583.73   | 0.11%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3856000 | PA      | $2002825.87   | 0.21%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        91 | NC      | $23410.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Structured Asset Securities Co                 | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC5                    | CUSIP: 86359SAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126678 | PA      | $123927.48    | 0.01%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                 | Structured Adjustable Rate Mortgage Loan Trust Series 2005-4                     | CUSIP: 863579MS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70118 | PA      | $63188.22     | 0.01%             | 2035-03-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | SoFi Professional Loan Program 2020-B Trust                                      | CUSIP: 83405FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5050000 | PA      | $3964325.75   | 0.42%             | 2046-05-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                            | BMD2 Re-Remic Trust 2019-FRR1                                                    | CUSIP: 055631HH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8425000 | PA      | $5670042.27   | 0.60%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden 92 CLO Ltd                                                                | CUSIP: 26251HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4400000 | PA      | $3836012.40   | 0.41%             | 2034-11-20      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                 | WFRBS Commercial Mortgage Trust 2013-C17                                         | CUSIP: 92938GAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5146000 | PA      | $4594810.91   | 0.49%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden 86 CLO Ltd                                                                | CUSIP: 26245XAU1<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   5750000 | PA      | $5288286.50   | 0.56%             | 2034-07-17      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2018-B4 Mortgage Trust                                                 | CUSIP: 08161HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $619187.60    | 0.07%             | 2051-07-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91662 | PA      | $79842.37     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4526000 | PA      | $2470842.97   | 0.26%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                               | COLT 2022-5 Mortgage Loan Trust                                                  | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922075 | PA      | $892621.92    | 0.09%             | 2067-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                      | BPR Trust 2021-WILL                                                              | CUSIP: 05591VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4560674.50   | 0.48%             | 2038-06-15      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                 | Bayview MSR Opportunity Master Fund Trust 2021-INV5                              | CUSIP: 07336JCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950349 | PA      | $1413740.77   | 0.15%             | 2051-11-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Arbys Funding LLC                              | Arbys Funding LLC                                                                | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2785875 | PA      | $2365829.13   | 0.25%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                            | ZAXBY'S FUNDING LLC                                                              | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6468125 | PA      | $5231718.33   | 0.56%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2018-BNK12                                                                  | CUSIP: 06541KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9363500 | PA      | $601160.11    | 0.06%             | 2061-05-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust 2015-2                                                 | CUSIP: 89171YBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1049369.31   | 0.11%             | 2057-11-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626376 | PA      | $548017.24    | 0.06%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2019-R5                                                                | CUSIP: 12558RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $435075.90    | 0.05%             | 2059-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Triton Container Finance LLC                   | Triton Container Finance VIII LLC                                                | CUSIP: 89680HAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2553750 | PA      | $2101093.00   | 0.22%             | 2046-03-20      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CBOT 10 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        39 | NC      | $-23539.12    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2020-R01                                     | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348370 | PA      | $346186.21    | 0.04%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                 | WFRBS Commercial Mortgage Trust 2012-C10                                         | CUSIP: 92890NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6088168 | PA      | $10922.48     | 0.00%             | 2045-12-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac Stacr Remic Trust 2020-HQA2                                          | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1164256 | PA      | $1181232.00   | 0.13%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Trust 2015-3                                                           | CUSIP: 46644MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451479 | PA      | $389488.01    | 0.04%             | 2045-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| TCW Gem Ltd                                    | TCW CLO 2020-1 Ltd                                                               | CUSIP: 87190CBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $5495226.00   | 0.58%             | 2034-04-20      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| SUNRUN JUPITER ISSUER 2022-1,                  | Sunrun Jupiter Issuer 2022-1 LLC                                                 | CUSIP: 86772RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6573523 | PA      | $6032401.74   | 0.64%             | 2057-07-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                 | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP                   | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330000 | PA      | $917001.75    | 0.10%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30124 | PA      | $28774.31     | 0.00%             | 2049-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | SoFi Professional Loan Program 2020-C Trust                                      | CUSIP: 83390UAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $3083966.70   | 0.33%             | 2046-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                         | Tesla Auto Lease Trust 2020-A                                                    | CUSIP: 88167HAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1489570.80   | 0.16%             | 2024-08-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                | CLI Funding VIII LLC                                                             | CUSIP: 12565KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2885727 | PA      | $2465388.65   | 0.26%             | 2046-02-18      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit                 | SG Commercial Mortgage Securities Trust 2020-COVE                                | CUSIP: 78397FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3320000 | PA      | $2923147.12   | 0.31%             | 2037-03-15      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3914000 | PA      | $3034650.04   | 0.32%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-1                                                  | CUSIP: 46650HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113560 | PA      | $106581.46    | 0.01%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                 | JPMBB Commercial Mortgage Securities Trust 2013-C15                              | CUSIP: 46640NAM0<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |  30239986 | PA      | $347549.67    | 0.04%             | 2045-11-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                     | MFA 2021-INV1 Trust                                                              | CUSIP: 552747AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $517544.09    | 0.06%             | 2056-01-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                 | JPMBB Commercial Mortgage Securities Trust 2013-C17                              | CUSIP: 46640UAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734000 | PA      | $596973.80    | 0.06%             | 2047-01-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                 | Greystone CRE Notes 2021-FL3 Ltd                                                 | CUSIP: 39809PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2017322.55   | 0.21%             | 2039-07-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust                    | CUSIP: 92925VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212044 | PA      | $189367.92    | 0.02%             | 2037-02-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2017-3                                                  | CUSIP: 46647SCQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    841600 | PA      | $726554.68    | 0.08%             | 2047-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage                 | Deephaven Residential Mortgage Trust 2021-4                                      | CUSIP: 24381JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1279884.80   | 0.14%             | 2066-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2016-1                                                  | CUSIP: 46646BBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $662375.40    | 0.07%             | 2046-05-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| PSMC 2019-2 Trust                              | PSMC 2019-2 Trust                                                                | CUSIP: 69374XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43761 | PA      | $42725.46     | 0.00%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11147000 | PA      | $6902620.91   | 0.73%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                  | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GL89<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    466217 | PA      | $452481.53    | 0.05%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-5                                                  | CUSIP: 46591FAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1927309 | PA      | $1708688.16   | 0.18%             | 2049-11-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                | Venture 33 CLO Ltd                                                               | CUSIP: 92330YAW3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1464254.40   | 0.16%             | 2031-07-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                  | CUSIP: 95000KBF1<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |  32664000 | PA      | $602386.22    | 0.06%             | 2049-11-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                  | CALI Mortgage Trust 2019-101C                                                    | CUSIP: 129890AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1910000 | PA      | $1327154.52   | 0.14%             | 2039-03-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                          | Arroyo Mortgage Trust 2019-3                                                     | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758351 | PA      | $698157.45    | 0.07%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2015-3                                                    | CUSIP: 81746LCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272951 | PA      | $194336.22    | 0.02%             | 2045-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus                 | LSTAR Commercial Mortgage Trust 2016-4                                           | CUSIP: 50219QAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $8950307.60   | 0.95%             | 2049-03-10      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                           | ACE Securities Corp Mortgage Loan Trust Series 2007-D1                           | CUSIP: 00083BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691320 | PA      | $536927.15    | 0.06%             | 2038-02-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927166 | PA      | $821822.28    | 0.09%             | 2049-08-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                  | Deutsche Mortgage Securities Inc Re-REMIC Trust Certificates Series 2007-WM1     | CUSIP: 25157TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313678 | PA      | $271027.79    | 0.03%             | 2037-06-27      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust 2019-1                                                       | CUSIP: 749357BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930132 | PA      | $764386.45    | 0.08%             | 2049-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Goddard Funding LLC                            | Goddard Funding LLC                                                              | CUSIP: 380241AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2104942.50   | 0.22%             | 2052-10-30      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | Sofi Professional Loan Program 2018-D Trust                                      | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $1865281.53   | 0.20%             | 2048-02-25      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                   | Upstart Securitization Trust 2021-5                                              | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1047106 | PA      | $1002649.71   | 0.11%             | 2031-11-20      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947908 | PA      | $809627.09    | 0.09%             | 2050-03-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                 | Americredit Automobile Receivables Trust 2019-2                                  | CUSIP: 03066KAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1753222.14   | 0.19%             | 2025-06-18      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2011-GC3                                            | CUSIP: 36248FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4220407 | PA      | $5.06         | 0.00%             | 2044-03-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta                 | Mello Mortgage Capital Acceptance 2018-MTG2                                      | CUSIP: 585499BR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1929961 | PA      | $1665832.04   | 0.18%             | 2048-10-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2019-INV1                                                              | CUSIP: 12555DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61855 | PA      | $58115.43     | 0.01%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-CH3                                                  | CUSIP: 81748GEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1687696 | PA      | $1523296.50   | 0.16%             | 2049-09-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust 2013-IVR3                                                             | CUSIP: 12646XAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186377 | PA      | $174047.39    | 0.02%             | 2043-05-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2020-B20 Mortgage Trust                                                | CUSIP: 08162XBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7234269 | PA      | $559244.46    | 0.06%             | 2053-10-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                      | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                      | CUSIP: 61690VAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4950000 | PA      | $3783660.21   | 0.40%             | 2048-10-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                            | DBWF Mortgage Trust                                                              | CUSIP: 23306NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $770771.10    | 0.08%             | 2034-06-10      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-INV3                                               | CUSIP: 46591LBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3310740 | PA      | $2770557.37   | 0.29%             | 2050-05-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-3                                                  | CUSIP: 46649TAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1445725 | PA      | $1204718.50   | 0.13%             | 2048-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Shellpoint Co-Originator Trust                 | Shellpoint Co-Originator Trust 2017-2                                            | CUSIP: 82281FCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1311373 | PA      | $1144896.37   | 0.12%             | 2047-10-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                  | Commonbond Student Loan Trust 2017-A-GS                                          | CUSIP: 20267VAD9<br>LEI: 549300LRCNJYVPZRKK63 | Long             | ABS-O            | CORP              | US        |    219054 | PA      | $208209.06    | 0.02%             | 2041-05-25      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BBCCRE Trust                                   | BBCCRE Trust 2015-GTP                                                            | CUSIP: 05490TAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 103000000 | PA      | $559990.40    | 0.06%             | 2033-08-10      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                      | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5                       | CUSIP: 61761AAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4930763 | PA      | $4487113.16   | 0.48%             | 2045-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta                 | Mello Mortgage Capital Acceptance 2021-MTG3                                      | CUSIP: 58549RCG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965217 | PA      | $699563.63    | 0.07%             | 2051-07-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                  | Radnor RE 2021-1 Ltd                                                             | CUSIP: 75279YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2900000 | PA      | $2711346.01   | 0.29%             | 2033-12-27      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                  | Citigroup Commercial Mortgage Trust 2017-P8                                      | CUSIP: 17326DAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20655000 | PA      | $1015881.06   | 0.11%             | 2050-09-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                       | Oceanview Mortgage Trust 2021-5                                                  | CUSIP: 67647ECF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3799123 | PA      | $2497122.47   | 0.27%             | 2051-10-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2019-1                                                   | CUSIP: 33852AAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313089 | PA      | $275756.87    | 0.03%             | 2049-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                         | CHL Mortgage Pass-Through Trust 2006-1                                           | CUSIP: 126694XC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432384 | PA      | $248067.56    | 0.03%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                     | Apidos CLO XXXIII                                                                | CUSIP: 03768MAQ0<br>LEI: 549300DDYHDQJDDDWB27 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3319130.50   | 0.35%             | 2034-10-24      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM 2013-CCRE10 Mortgage Trust                                                  | CUSIP: 12626BBA1<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |   1230000 | PA      | $1074148.67   | 0.11%             | 2046-08-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                       | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236997 | PA      | $192932.12    | 0.02%             | 2035-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                     | Apidos CLO XXXI                                                                  | CUSIP: 03767VAQ1<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3305067.50   | 0.35%             | 2031-04-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2017-1, Ltd                            | TCW CLO 2017-1A Ltd                                                              | CUSIP: 87240NBC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1841934.00   | 0.20%             | 2034-10-29      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5194000 | PA      | $5157067.02   | 0.55%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                 | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP                   | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360000 | PA      | $794617.26    | 0.08%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro                 | Popular ABS Mortgage Pass-Through Trust 2005-D                                   | CUSIP: 73316PHP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86319 | PA      | $84192.35     | 0.01%             | 2036-01-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ1                                | CUSIP: 36257TAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802846 | PA      | $650257.49    | 0.07%             | 2049-08-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2022-R01                                     | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3295088.30   | 0.35%             | 2041-12-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                 | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382155 | PA      | $353910.78    | 0.04%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Commercial Mortgage Trust 2019-IMC                                            | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2403000 | PA      | $2259400.32   | 0.24%             | 2034-04-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2021-HQA4                                          | CUSIP: 35564KPN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4301372.50   | 0.46%             | 2041-12-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                 | Cascade Funding Mortgage Trust 2021-FRR1                                         | CUSIP: 12529YBY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5600000 | PA      | $3073038.64   | 0.33%             | 2029-08-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J2                                                                | CUSIP: 12568PCG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947220 | PA      | $667621.51    | 0.07%             | 2051-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust                   | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208285 | PA      | $187552.23    | 0.02%             | 2035-12-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                 | BBCMS Mortgage Trust 2020-C7                                                     | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39179327 | PA      | $2848673.98   | 0.30%             | 2053-04-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan                 | Laurel Road Prime Student Loan Trust 2019-A                                      | CUSIP: 51889RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1037846 | PA      | $955989.29    | 0.10%             | 2048-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund | Goldman Sachs Financial Square Government Fund                                   | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | STIV             | RF                | US        |  29522000 | NS      | $29522000.00  | 3.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust 2019-1                                                       | CUSIP: 749357AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117188 | PA      | $102273.78    | 0.01%             | 2049-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                   | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13630000 | PA      | $10661268.10  | 1.13%             | 2049-11-08      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2020-EXP3 Trust                                                              | CUSIP: 67448WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306303 | PA      | $266685.79    | 0.03%             | 2060-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2368447 | PA      | $1916338.40   | 0.20%             | 2050-12-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                 | JPMBB Commercial Mortgage Securities Trust 2013-C17                              | CUSIP: 46640UAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3550000 | PA      | $3305634.33   | 0.35%             | 2047-01-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                                        | CUSIP: 83401BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3463094.80   | 0.37%             | 2041-01-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MCKESSON CORP                                  | MCKESSON CORP                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4997475.55   | 0.53%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3915000 | PA      | $3103137.45   | 0.33%             | 2048-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1                     | RCKT Mortgage Trust 2020-1                                                       | CUSIP: 749389BH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1904601 | PA      | $1513509.94   | 0.16%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 Trust                   | CUSIP: 93363PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219730 | PA      | $185804.45    | 0.02%             | 2036-11-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan                 | Laurel Road Prime Student Loan Trust 2018-B                                      | CUSIP: 51888RAC4<br>LEI: 549300XLHGW4YH0MCQ51 | Long             | ABS-O            | CORP              | US        |    464225 | PA      | $429683.19    | 0.05%             | 2043-05-26      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2019-2                                                | CUSIP: 46650TAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    927166 | PA      | $800551.34    | 0.09%             | 2049-08-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14471340 | PA      | $481188.70    | 0.05%             | 2050-12-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Trust 2015-1                                                           | CUSIP: 46643UDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1638787 | PA      | $1532925.40   | 0.16%             | 2044-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2017-BNK4                                                                   | CUSIP: 06541FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1570722.78   | 0.17%             | 2050-05-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2017-C40                                   | CUSIP: 95000YAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32342372 | PA      | $1003910.46   | 0.11%             | 2050-10-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $899721.14    | 0.10%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMD58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22039000 | PA      | $3489388.59   | 0.37%             | 2029-05-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-3                                                  | CUSIP: 46649TBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2048482 | PA      | $1677888.23   | 0.18%             | 2048-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4744000 | PA      | $3107271.37   | 0.33%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                 | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                  | CUSIP: 95000KAE5<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |   7605000 | PA      | $431889.85    | 0.05%             | 2049-11-15      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $2686134.00   | 0.29%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM 2012-CCRE3 Mortgage Trust                                                   | CUSIP: 12624PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3563390 | PA      | $9083.79      | 0.00%             | 2045-10-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13033670 | PA      | $1077914.49   | 0.11%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $458353.90    | 0.05%             | 2039-01-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                 | Santander Drive Auto Receivables Trust 2019-1                                    | CUSIP: 80285HAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    831454 | PA      | $830038.70    | 0.09%             | 2025-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily                        | Freddie Mac Multifamily ML Certificates                                          | CUSIP: 302610AD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13724801 | PA      | $763460.60    | 0.08%             | 2038-03-25      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                         | Mosaic Solar Loan Trust 2018-1                                                   | CUSIP: 61946FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045211 | PA      | $965978.56    | 0.10%             | 2043-06-22      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-CH2                                                  | CUSIP: 81747CCH2<br>LEI: 549300RES143ZXEZ6T39 | Long             | ABS-MBS          | CORP              | US        |   1637187 | PA      | $1520753.00   | 0.16%             | 2049-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2015-3                                                  | CUSIP: 00841YCF3<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |    664837 | PA      | $591031.07    | 0.06%             | 2045-04-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                       | Bear Stearns ALT-A Trust 2005-4                                                  | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130293 | PA      | $121170.34    | 0.01%             | 2035-05-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2016-2                                                  | CUSIP: 00842EAW1<br>LEI: 549300TSTBCBQ5EBD390 | Long             | ABS-MBS          | CORP              | US        |    998319 | PA      | $684831.13    | 0.07%             | 2046-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                        | Hundred Acre Wood Trust 2021-INV3                                                | CUSIP: 44555QCF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2473565 | PA      | $1743147.26   | 0.19%             | 2051-10-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                 | Carlyle US CLO 2021-7 LTD                                                        | CUSIP: 14316WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4677765.00   | 0.50%             | 2035-10-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                         | Mosaic Solar Loan Trust 2020-1                                                   | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1332067 | PA      | $1173900.84   | 0.12%             | 2046-04-20      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                      | CIM Trust 2020-J2                                                                | CUSIP: 12568PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1249384 | PA      | $836672.67    | 0.09%             | 2051-01-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                             | THL Credit Wind River 2017-3 Clo Ltd                                             | CUSIP: 97316LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4709700.00   | 0.50%             | 2035-04-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2022-R02                                     | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1424185.20   | 0.15%             | 2042-01-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2020-3                                                    | CUSIP: 81748ACE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1907658 | PA      | $1442388.86   | 0.15%             | 2050-04-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                 | SMB Private Education Loan Trust 2017-A                                          | CUSIP: 78448WAD7<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $917275.90    | 0.10%             | 2041-06-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                  | Citigroup Commercial Mortgage Trust 2016-P5                                      | CUSIP: 17325DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5150000 | PA      | $3868625.41   | 0.41%             | 2049-10-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15555000 | PA      | $1026897.55   | 0.11%             | 2050-12-15      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                 | Benefit Street Partners CLO XVIII Ltd                                            | CUSIP: 08186PAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4670535.00   | 0.50%             | 2034-10-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2013-9                                                    | CUSIP: 81745DAH4<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    298913 | PA      | $275844.13    | 0.03%             | 2043-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                  | UBS Commercial Mortgage Trust 2019-C16                                           | CUSIP: 90276YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15104615 | PA      | $940809.08    | 0.10%             | 2052-04-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                 | AmeriCredit Automobile Receivables Trust 2019-3                                  | CUSIP: 03066NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3221954.63   | 0.34%             | 2025-09-18      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust 2014-IVR2                                                             | CUSIP: 12648HBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278929 | PA      | $261220.66    | 0.03%             | 2044-04-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-2                                                    | CUSIP: 81746YCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1358139 | PA      | $1141764.08   | 0.12%             | 2049-06-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                   | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5900000 | PA      | $3777169.09   | 0.40%             | 2050-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2020-R02                                     | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834009 | PA      | $821902.50    | 0.09%             | 2040-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                 | SoFi Professional Loan Program 2017-E LLC                                        | CUSIP: 83404KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $872758.60    | 0.09%             | 2040-11-26      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,                 | Galton Funding Mortgage Trust 2019-1                                             | CUSIP: 36418WBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947934 | PA      | $826227.84    | 0.09%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                             | Wind River 2014-1 CLO Ltd                                                        | CUSIP: 88432CBD7<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1854738.00   | 0.20%             | 2031-07-18      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer, LLC                          | Bojangles Issuer LLC                                                             | CUSIP: 09748RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4565500 | PA      | $4108808.01   | 0.44%             | 2050-10-20      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6762000 | PA      | $4652969.39   | 0.49%             | 2049-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2019-PJ3                                | CUSIP: 36257QAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2940466 | PA      | $2440889.98   | 0.26%             | 2050-03-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2019-LTV3                                               | CUSIP: 46651HBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14014 | PA      | $13576.98     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Helios Issuer VI, LLC                          | SUNNOVA HELIOS II ISSUER LLC 2021-B                                              | CUSIP: 86744TAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7728380 | PA      | $5694309.24   | 0.61%             | 2048-07-20      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                  | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530784 | PA      | $434810.46    | 0.05%             | 2045-06-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-8                                                  | CUSIP: 46652TCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415791 | PA      | $1046359.00   | 0.11%             | 2051-03-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                 | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16406000 | PA      | $611144.01    | 0.06%             | 2050-11-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                           | Wingstop Funding LLC                                                             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5714280 | PA      | $4851974.58   | 0.52%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2018-4                                                  | CUSIP: 46649CBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986005 | PA      | $811583.30    | 0.09%             | 2048-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                         | CHL Mortgage Pass-Through Trust 2004-22                                          | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230315 | PA      | $208127.35    | 0.02%             | 2034-11-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                   | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238579 | PA      | $219611.21    | 0.02%             | 2045-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2006-S2                                                 | CUSIP: 46628YAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468859 | PA      | $276612.93    | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2020-B22 Mortgage Trust                                                | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15933838 | PA      | $1368375.69   | 0.15%             | 2054-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                   | CUSIP: 92925GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321156 | PA      | $301271.96    | 0.03%             | 2036-12-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-4                                                    | CUSIP: 81748JAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368609 | PA      | $308173.86    | 0.03%             | 2049-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                | AREIT 2019-CRE3 Trust                                                            | CUSIP: 00217LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3281281.68   | 0.35%             | 2036-09-14      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295000 | PA      | $1284534.91   | 0.14%             | 2045-12-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376645 | PA      | $119986.75    | 0.01%             | 2037-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6557000 | PA      | $5318138.78   | 0.57%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol Issuer,LLC                         | Sunnova Sol II Issuer LLC                                                        | CUSIP: 86745PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3796432 | PA      | $2989340.38   | 0.32%             | 2055-11-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,                 | Galton Funding Mortgage Trust 2019-1                                             | CUSIP: 36418WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47390 | PA      | $46009.58     | 0.00%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2014-1                                                  | CUSIP: 46641CBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1210082 | PA      | $1034871.18   | 0.11%             | 2044-01-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust 2020-1                                                  | CUSIP: 46651XAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379865 | PA      | $329392.53    | 0.04%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24657632 | PA      | $1284107.84   | 0.14%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| TIF Funding II LLC                             | TIF Funding II LLC                                                               | CUSIP: 872480AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1958354 | PA      | $1627981.22   | 0.17%             | 2046-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                 | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON                 | CUSIP: 46650RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5860000 | PA      | $5444110.23   | 0.58%             | 2034-01-05      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CBOT 5 Year US Treasury Note                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -2104 | NC      | $264266.45    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                 | Morgan Stanley Mortgage Loan Trust 2005-5AR                                      | CUSIP: 61748HLP4<br>LEI: 549300AT2084FJB5UN46 | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $857986.83    | 0.09%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                             | Sunnova Helios IV Issuer LLC                                                     | CUSIP: 86746CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1509317 | PA      | $1291864.48   | 0.14%             | 2047-06-20      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                     | Sunrun Xanadu Issuer 2019-1 LLC                                                  | CUSIP: 86773PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1564130 | PA      | $1387183.96   | 0.15%             | 2054-06-30      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Bank                                           | BANK 2017-BNK4                                                                   | CUSIP: 06541FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7060000 | PA      | $342650.75    | 0.04%             | 2050-05-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding, LLC                     | DRIVEN BRANDS FUNDING LLC                                                        | CUSIP: 26209XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2050000 | PA      | $2053181.60   | 0.22%             | 2052-10-20      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust 2011-C1                                           | CUSIP: 617458BG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $777400.00    | 0.08%             | 2047-09-15      | Fixed         | 4.19%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T                 | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269680 | PA      | $137365.58    | 0.01%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                       | Mill City Mortgage Loan Trust 2017-2                                             | CUSIP: 59980AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $822059.82    | 0.09%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                 | Wells Fargo Mortgage Backed Securities 2019-3 Trust                              | CUSIP: 949831AS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164244 | PA      | $144158.76    | 0.02%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                 | Wells Fargo Mortgage Backed Securities 2007-AR7 Trust                            | CUSIP: 94986KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386530 | PA      | $336400.83    | 0.04%             | 2037-12-28      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortage-Backed Securities Trust 2020-PJ1                                      | CUSIP: 36258FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266197 | PA      | $224211.89    | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                               | Connecticut Avenue Securities Trust 2019-R06                                     | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23166 | PA      | $23135.98     | 0.00%             | 2039-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2020-HQA4                                          | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11442 | PA      | $11448.14     | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL                 | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1312875 | PA      | $1138239.26   | 0.12%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                 | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HSH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118929 | PA      | $73780.51     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DDC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3846000 | PA      | $3254268.29   | 0.35%             | 2050-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                  | Citigroup Mortgage Loan Trust 2013-7                                             | CUSIP: 17321BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594516 | PA      | $561193.29    | 0.06%             | 2036-08-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                        | Flagstar Mortgage Trust 2019-2                                                   | CUSIP: 33852BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936259 | PA      | $804852.25    | 0.09%             | 2049-12-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2021-B25 Mortgage Trust                                                | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34516722 | PA      | $2141736.74   | 0.23%             | 2054-04-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                 | Galaxy XXIII CLO Ltd                                                             | CUSIP: 36319TAU0<br>LEI: 5493001X8XC4DMSYH466 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4189086.00   | 0.45%             | 2029-04-24      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                 | WaMu Mortgage Pass-Through Certificates Series 2004-AR7                          | CUSIP: 92922FTB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400967 | PA      | $374933.96    | 0.04%             | 2034-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5395000 | PA      | $4415123.68   | 0.47%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                          | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4550000 | PA      | $4293744.00   | 0.46%             | 2034-10-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                 | BBCMS Trust 2021-C10                                                             | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6605167 | PA      | $477759.96    | 0.05%             | 2054-07-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| VERIZON GLOBAL                                 | VERIZON COMMUN 01/04/2023                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3997470.56   | 0.43%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Symphony Static CLO Ltd                        | Symphony Static CLO I Ltd                                                        | CUSIP: 87190TAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6422640.00   | 0.68%             | 2029-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU                 | SoFi Consumer Loan Program 2020-1 Trust                                          | CUSIP: 83407AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1780000 | PA      | $1724941.04   | 0.18%             | 2029-01-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                 | Wells Fargo Mortgage Backed Securities 2021-1 Trust                              | CUSIP: 95003ABJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241699 | PA      | $791047.88    | 0.08%             | 2050-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Venture XXI CLO                                | Venture XXI CLO Ltd                                                              | CUSIP: 92330MAS8<br>LEI: 5493001C8B2BF8JNTO68 | Long             | ABS-CBDO         | CORP              | KY        |   5412500 | PA      | $5269128.29   | 0.56%             | 2027-07-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                             | SUNNOVA HELIOS II ISSUER LLC 2018-1                                              | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1982573 | PA      | $1645052.21   | 0.17%             | 2048-07-20      | Fixed         | 7.71%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CBOT 5 Year US Treasury Note                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        15 | NC      | $-1956.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust 2019-1                                                       | CUSIP: 749357BE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1302184 | PA      | $1073647.69   | 0.11%             | 2049-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2019-GC39                                           | CUSIP: 36260JAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2170000 | PA      | $1443866.35   | 0.15%             | 2052-05-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program                     | ELFI Graduate Loan Program 2019-A LLC                                            | CUSIP: 26857EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685853 | PA      | $621386.27    | 0.07%             | 2044-03-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2020-INV1 Trust                                                              | CUSIP: 67113CAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352796 | PA      | $304032.32    | 0.03%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18964000 | PA      | $1243424.91   | 0.13%             | 2051-07-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                  | Commonbond Student Loan Trust 2017-B-GS                                          | CUSIP: 20268KAD2<br>LEI: 549300KDXV3I7WKXA522 | Long             | ABS-O            | CORP              | US        |     85953 | PA      | $75930.84     | 0.01%             | 2042-09-25      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                  | Commonbond Student Loan Trust 2020-A-GS                                          | CUSIP: 20267WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572146 | PA      | $486995.70    | 0.05%             | 2050-08-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                  | Starwood Mortgage Residential Trust 2020-INV                                     | CUSIP: 85573EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2116353.00   | 0.23%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                              | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $970161.15    | 0.10%             | 2057-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                | Oaktree CLO 2020-1 Ltd                                                           | CUSIP: 67402GAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000500 | PA      | $2722512.68   | 0.29%             | 2034-07-15      | Floating      | 10.59%                | No            |                  2 | On Loan: No      |
| AIG CLO Ltd                                    | AIG CLO 2019-2 Ltd                                                               | CUSIP: 00142MAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1844260.00   | 0.20%             | 2033-10-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Corp Trust 2021-PJ3                                | CUSIP: 36262AAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1243557 | PA      | $828720.13    | 0.09%             | 2051-08-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                 | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14780673 | PA      | $1403166.23   | 0.15%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                         | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    962753 | PA      | $873391.61    | 0.09%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                  | GS Mortgage-Backed Securities Trust 2021-GR3                                     | CUSIP: 36263TBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978452 | PA      | $681225.22    | 0.07%             | 2052-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1152137 | PA      | $925681.37    | 0.10%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX 2019-INV2 Trust                                                              | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146694 | PA      | $137703.74    | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM Re-REMIC Trust 2021-FRR1                                                     | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3150876.75   | 0.34%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC TRUST 2021-FRR2                                                     | CUSIP: 36459TBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5392000 | PA      | $4309402.60   | 0.46%             | 2051-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Series RR Trust                                | Series RR 2014-1 Trust                                                           | CUSIP: 81753RAQ2<br>LEI: 5493009NOM6OPSHLLP64 | Long             | ABS-MBS          | CORP              | US        |   9066000 | PA      | $7951288.16   | 0.85%             | 2047-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-5                                                    | CUSIP: 81743ACD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462257 | PA      | $356747.05    | 0.04%             | 2049-12-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                 | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53993 | PA      | $51355.08     | 0.01%             | 2037-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                 | Cascade Funding Mortgage Trust 2021-FRR1                                         | CUSIP: 12529YCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8930000 | PA      | $4696172.25   | 0.50%             | 2029-08-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                 | Chase Mortgage Finance Trust Series 2006-A1                                      | CUSIP: 16163CAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113390 | PA      | $97637.19     | 0.01%             | 2036-09-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                     | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAJ7<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |   6500000 | PA      | $6130377.50   | 0.65%             | 2034-07-20      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2020-2                                                    | CUSIP: 81748KEE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948452 | PA      | $742737.18    | 0.08%             | 2050-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5189735.10   | 0.55%             | 2042-02-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                         | Mosaic Solar Loan Trust 2021-1                                                   | CUSIP: 61947DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    979947 | PA      | $741869.01    | 0.08%             | 2046-12-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                             | SUNNOVA HELIOS II ISSUER LLC 2018-1                                              | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    854126 | PA      | $756573.52    | 0.08%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Nyack Park CLO, Ltd.                           | NYACK Park CLO Ltd                                                               | CUSIP: 67080PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2680986.00   | 0.29%             | 2034-10-20      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                   | GS Mortgage Securities Trust 2021-GSA3                                           | CUSIP: 36263UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $951523.74    | 0.10%             | 2054-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU                 | SoFi Consumer Loan Program 2021-1 Trust                                          | CUSIP: 83407CAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $861575.71    | 0.09%             | 2030-09-25      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2019-CH3                                                  | CUSIP: 81748GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    812312 | PA      | $758144.02    | 0.08%             | 2049-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                            | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4869296.50   | 0.52%             | 2042-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortga                 | UBS-Barclays Commercial Mortgage Trust 2012-C4                                   | CUSIP: 90270RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116105 | PA      | $110735.01    | 0.01%             | 2045-12-10      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 2017-CH1                                                  | CUSIP: 81746HBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875313 | PA      | $789486.36    | 0.08%             | 2047-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                       | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22599190 | PA      | $1755375.12   | 0.19%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                 | Provident Funding Mortgage Trust 2020-1                                          | CUSIP: 743874AY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123264 | PA      | $825067.54    | 0.09%             | 2050-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 2YR NOTE (CBT)                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-519.59      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RFM RE-REMIC TRUST 2022-FRR1                   | RFM Reremic Trust 2022-FRR1                                                      | CUSIP: 74971BAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5010000 | PA      | $3541984.58   | 0.38%             | 2049-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                     | GAM RE-REMIC Trust 2022-FRR3                                                     | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7361000 | PA      | $4116209.37   | 0.44%             | 2052-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Voya Separate Portfolios Trust

**Signature:** Tin Bui

**Name of Signer:** Tin Bui

**Title:** Vice President