# EDGAR Filing Document

**Accession Number:** 0001688554
**File Stem:** 0001688554-23-000008
**Filing Date:** 2023-3
**Character Count:** 435998
**Document Hash:** c12e056ac0949f55e0d283b06720d33b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001688554-23-000008.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001688554-23-000008

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Flexible Credit Income Fund
- **CENTRAL INDEX KEY:** 0001688554
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23211
- **FILM NUMBER:** 23688807

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** (844)337-4626

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Flexible Credit Income Fund

- **b. Investment Company Act file number:** 811-23211

- **c. CIK number of Registrant:** 0001688554

- **d. LEI of Registrant:** 549300R4RJB5MTHXES88

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 312-2113

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

- **a. Name of Series:** N/A

- **c. LEI of Series:** N/A

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

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

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $5072507407.22

**Total Liabilities:** $2347869830.55

**Net Assets:** $2724637576.67

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -16216.349500 | **1-Year:** 163959.285000 | **5-Year:** 442286.582400 | **10-Year:** -123476.361500 | **30-Year:** -261027.525700

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

- **3-Month:** 406766.915200 | **1-Year:** 268729.016300 | **5-Year:** 422468.118200 | **10-Year:** 410394.516900 | **30-Year:** 15433.030400

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -0.61%               | 1.27%                | -0.25%               |
| Class ID N/A | -0.56%               | 1.33%                | -0.19%               |
| Class ID N/A | -0.59%               | 1.29%                | -0.23%               |
| Class ID N/A | -0.61%               | 1.27%                | -0.25%               |
| Class ID N/A | -0.59%               | 1.29%                | -0.23%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-43754651.42            | $894003.44                                 |
| Month 2  | $-68392616.99            | $90647397.37                               |
| Month 3  | $2454231.39              | $-34439462.99                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ C 144A         | CUSIP: 05523GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $2725850.40   | 0.10%             | 2034-08-14      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                          | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ E 144A         | CUSIP: 05523GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2716000 | PA      | $1571542.24   | 0.06%             | 2034-08-14      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3                         | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 A 144A        | CUSIP: 05891HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $981838.80    | 0.04%             | 2037-03-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BHP3                         | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BHP3 E 144A        | CUSIP: 05891HAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $4274430.40   | 0.16%             | 2037-03-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                         | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX E 144A        | CUSIP: 05493LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24605000 | PA      | $21156619.09  | 0.78%             | 2038-09-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| BAMLL RE-REMIC TRUST 2016-RRLD11                                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 LD11 AJB 144A      | CUSIP: 05491JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $986250.00    | 0.04%             | 2050-06-17      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-4                                          | BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A11              | CUSIP: 05950FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575961 | PA      | $456327.40    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1028375.11   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.15000 06/17/20-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $192826.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.25000 03/18/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $2110894.72   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.50000 06/17/20-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $5756110.94   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $7395224.72   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1384695.58   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS EUR 1.50000 03/15/23-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $549883.48    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 4.50000 03/05/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-165425.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 4.55000 03/01/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-74271.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 7.49500 01/26/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $7452.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 7.49750 01/27/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $30896.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 8.41000 04/06/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $3904.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-R1                                         | BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A         | CUSIP: 05953BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1511361 | PA      | $1062844.72   | 0.04%             | 2047-08-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 8.66000 04/07/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $19326.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 8.67500 04/06/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $45889.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 8.70100 04/13/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $505.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 8.73000 04/12/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $1166.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 8.73200 04/12/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $22.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS MXN 8.75000 04/08/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $11120.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 6A2 144A        | CUSIP: 05990TAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2757299 | PA      | $2420895.48   | 0.09%             | 2037-02-27      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R4                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R4 5A2 144A        | CUSIP: 05990RAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17611800 | PA      | $6477896.46   | 0.24%             | 2036-10-25      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875      | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |  32041000 | PA      | $29501144.35  | 1.08%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 0.50000 06/16/21-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-39203933.00 | -1.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 1.00000 12/16/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10644395.78 | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625      | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |  10390000 | PA      | $10092654.13  | 0.37%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 1.15000 09/20/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10318631.34  | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 1.25000 06/16/21-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $30831755.51  | 1.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625      | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   3664000 | PA      | $3732696.06   | 0.14%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 1.42000 08/17/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12011623.90  | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 1.50000 06/21/17-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1214872.07  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 1.50000 12/15/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3363452.73  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR        | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |  21218000 | PA      | $18364023.46  | 0.67%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR        | CUSIP: ACI1J42S1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   6887000 | PA      | $6468724.30   | 0.24%             | 2030-01-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 2.25000 06/20/18-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4988304.03  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 2.50000 12/20/17-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-173041.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | IRS USD 3.00000 06/19/19-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3170316.57  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5       | CUSIP: ACI1DBG64<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |  22387000 | PA      | $22256706.90  | 0.82%             | 2029-07-23      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR        | CUSIP: ACI1R35P7<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1500000 | PA      | $1416333.13   | 0.05%             | 2030-09-10      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/0.75000 09/21/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $2661754.71   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $10846463.84  | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $783587.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                                 | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65       | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |   1300000 | PA      | $319799.83    | 0.01%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $17464805.28  | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 06/15/22-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $15288425.24  | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 06/15/22-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-21976154.48 | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11576418.70  | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.00000 12/21/22-2Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-32022011.41 | -1.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.00000 12/21/22-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-27892804.07 | -1.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.00000 12/21/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-24502349.77 | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $245525.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $954311.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1912876.70   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.14 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-16117.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.16 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11016.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-23596.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11575.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11442.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.35 03/28/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11834.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-3787.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-16750.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.7883 08/30/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1233722.85   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-32405.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 12 03/23/22-01/02/25 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-16896.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 12.015 03/17/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-814527.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 12.08 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-25271.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 12.14 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11613.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 12.145 03/22/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11300.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ZCS BRL 12.16 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-22237.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | TEAM HEALTH HOLDINGS INC TL TRS BKL BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1890781.65  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2                                  | THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A        | CUSIP: 05972AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2816800 | PA      | $2796170.69   | 0.10%             | 2032-08-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | WINDSTREAM HOLDINGS II, LLC 8725909B2                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   1366195 | NC      | $27657067.14  | 1.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-300561.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1B3             | CUSIP: 06050HKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21315 | PA      | $19190.18     | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E B1              | CUSIP: 05949AHJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170007 | PA      | $136260.82    | 0.01%             | 2034-06-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TD 144A      | CUSIP: 05492TBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $3818626.20   | 0.14%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                           | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    725704 | NS      | $761989.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                        | BBCCRE TRUST BBCCR 2015 GTP E 144A                          | CUSIP: 05490TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12020000 | PA      | $10058400.91  | 0.37%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                        | BBCCRE TRUST BBCCR 2015 GTP F 144A                          | CUSIP: 05490TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3660000 | PA      | $2941898.85   | 0.11%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                         | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A        | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22100000 | PA      | $20586835.10  | 0.76%             | 2037-07-15      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| BBVA-6 FTPYME FTA 6                                                          | BBVA 6 FTPYME FTA BBVAP 6 C REGS                            | CUSIP: E22473AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |    603436 | PA      | $387539.85    | 0.01%             | 2046-03-22      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR4                                                      | BCAP LLC TRUST BCAP 2009 RR4 1A2 144A                       | CUSIP: 05531RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2001266 | PA      | $564326.72    | 0.02%             | 2037-06-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR5                                                      | BCAP LLC TRUST BCAP 2009 RR5 5A2 144A                       | CUSIP: 05531UAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7255360 | PA      | $5772862.55   | 0.21%             | 2037-05-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR9                                                      | BCAP LLC TRUST BCAP 2010 RR9 1A5 144A                       | CUSIP: 05533GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11004876 | PA      | $6944214.51   | 0.25%             | 2037-08-28      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2014-RR2                                                      | BCAP LLC TRUST BCAP 2014 RR2 11A4 144A                      | CUSIP: 05543DCD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2307513 | PA      | $1927272.31   | 0.07%             | 2037-05-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N E 144A                              | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $4035417.54   | 0.15%             | 2038-06-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                          | BCP TRUST BCP 2021 330N F 144A                              | CUSIP: 05553BAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $3985383.60   | 0.15%             | 2038-06-15      | Floating      | 8.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                         | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A        | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40887 | PA      | $38334.29     | 0.00%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04              | CUSIP: 717158901<br>LEI: 549300506SI9CRFV9Z86 | Long             | EC               | CORP              | CH        |    115607 | NS      | $345576.98    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AQ1                          | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AQ1 A2            | CUSIP: 07389VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7692435 | PA      | $7152310.81   | 0.26%             | 2035-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M3              | CUSIP: 07388GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3918529 | PA      | $3458686.65   | 0.13%             | 2036-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2006-1A                                              | BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A                | CUSIP: 078452AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  96560572 | PA      | $713099.82    | 0.03%             | 2046-07-05      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                          | BFLD TRUST BFLD 2020 EYP E 144A                             | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $5738041.40   | 0.21%             | 2035-10-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                   | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111E 144A            | CUSIP: 05609MCS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12569000 | PA      | $10014375.89  | 0.37%             | 2055-02-17      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTG SEC-1999-B                                            | BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A6                | CUSIP: 09774XBG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4066206 | PA      | $652439.80    | 0.02%             | 2029-12-15      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 E 144A                   | CUSIP: 12430YAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7654000 | PA      | $6542469.66   | 0.24%             | 2036-09-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 F 144A                   | CUSIP: 12430YAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6611000 | PA      | $5321970.03   | 0.20%             | 2036-09-15      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                | BWAY MORTGAGE TRUST BWAY 2021 1450 G 144A                   | CUSIP: 12430YAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2325107.25   | 0.09%             | 2036-09-15      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                       | BX TRUST BX 2021 VINO E 144A                                | CUSIP: 05608KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $4587935.66   | 0.17%             | 2038-05-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                        | BX TRUST BX 2022 AHP E 144A                                 | CUSIP: 05610FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250000 | PA      | $9596602.48   | 0.35%             | 2039-01-17      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2017-APPL                                                           | BX TRUST BX 2017 APPL F 144A                                | CUSIP: 12433PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7884607 | PA      | $7751631.68   | 0.28%             | 2034-07-15      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2017-SLCT                                                           | BX TRUST BX 2017 SLCT E 144A                                | CUSIP: 05607DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8461509 | PA      | $8335451.24   | 0.31%             | 2034-07-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2017-SLCT                                                           | BX TRUST BX 2017 SLCT F 144A                                | CUSIP: 05607DAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18031050 | PA      | $17406838.49  | 0.64%             | 2034-07-15      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-GW 2018-GW                                                     | BX TRUST BX 2018 GW F 144A                                  | CUSIP: 12433UAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4306680.00   | 0.16%             | 2035-05-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-GW 2018-GW                                                     | BX TRUST BX 2018 GW G 144A                                  | CUSIP: 12433UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5345000 | PA      | $5011503.54   | 0.18%             | 2035-05-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-ATL                                                            | BX TRUST BX 2019 ATL F 144A                                 | CUSIP: 056058AQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3738500 | PA      | $3428233.29   | 0.13%             | 2036-10-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-ATL                                                            | BX TRUST BX 2019 ATL G 144A                                 | CUSIP: 056058AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2436000 | PA      | $2226859.66   | 0.08%             | 2036-10-15      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                           | BX TRUST BX 2021 BXMF E 144A                                | CUSIP: 05609RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4589246.50   | 0.17%             | 2026-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BXP TRUST 2021-601L                                                          | BXP TRUST BXP 2021 601L D 144A                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $4398931.60   | 0.16%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                      | C BASS LTD CBCL 16A A 144A                                  | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21287092 | PA      | $267323.30    | 0.01%             | 2041-09-06      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 13A                                                               | C BASS LTD CBCL 13A A 144A                                  | CUSIP: 12498FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  51642206 | PA      | $1155494.35   | 0.04%             | 2040-03-17      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 18A                                                               | C BASS LTD CBCL 18A A1 144A                                 | CUSIP: 1248MMAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  54781542 | PA      | $2713768.02   | 0.10%             | 2047-03-13      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 18A                                                               | C BASS LTD CBCL 18A A2 144A                                 | CUSIP: 1248MMAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  31296933 | PA      | $4999685.05   | 0.18%             | 2047-03-13      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                             | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A        | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $870359.34    | 0.03%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N4                                       | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 N 144A         | CUSIP: 14687HAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73004 | PA      | $72955.23     | 0.00%             | 2028-09-11      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N4                                       | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N4 R 144A         | CUSIP: 14687HAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12000 | PA      | $3537676.25   | 0.13%             | 2028-09-12      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CASINO GUICHARD PERRACHON SA                                                 | CASINO GUICHARD PERRACHON SA 2021 EUR TERM LOAN             | CUSIP: 944WEWII6<br>LEI: 969500VHL8F83GBL6L29 | Long             | LON              | CORP              | FR        |   9200000 | PA      | $8379532.15   | 0.31%             | 2025-08-31      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                  | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                           | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |   6732048 | PA      | $6041307.73   | 0.22%             | 2026-03-28      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE1                                          | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE1 B1                | CUSIP: 12506YCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658900 | PA      | $612279.50    | 0.02%             | 2034-06-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING IX CLO LTD 2018-9A                                             | CEDAR FUNDING LTD CEDF 2018 9A SUB 144A                     | CUSIP: 15033FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12000000 | PA      | $5556473.16   | 0.20%             | 2031-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                         | CENGAGE LEARNING INC 2021 TERM LOAN B                       | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |   2265419 | PA      | $2042773.82   | 0.07%             | 2026-07-14      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                       | CGG SA SR SECURED 144A 04/27 7.75                           | CUSIP: ACI1WM066<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |  16600000 | PA      | $14582064.40  | 0.54%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                       | CGG SA SR SECURED 144A 04/27 8.75                           | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |  22793000 | PA      | $18257320.87  | 0.67%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CHAMPION PATH HOLDINGS LIMITED                                               | CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/26 4.5          | CUSIP: ACI1V8V80<br>LEI: 549300QWJFPV5413KI88 | Long             | DBT              | CORP              | VG        |  12177000 | PA      | $10632347.55  | 0.39%             | 2026-01-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHAMPION PATH HOLDINGS LIMITED                                               | CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/28 4.85         | CUSIP: ACI1V8M31<br>LEI: 549300QWJFPV5413KI88 | Long             | DBT              | CORP              | VG        |  20944000 | PA      | $17670452.80  | 0.65%             | 2028-01-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11M1           | CUSIP: 161630BD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44843 | PA      | $40914.54     | 0.00%             | 2037-03-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                       | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A B1 144A        | CUSIP: 16678RCV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3917429 | PA      | $2650840.28   | 0.10%             | 2036-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                             | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |   4827000 | PA      | $4404637.50   | 0.16%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2013 375P E 144A        | CUSIP: 17320QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8200000 | PA      | $7246993.54   | 0.27%             | 2035-05-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR                                 | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 TBR E 144A         | CUSIP: 17326MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3801112.80   | 0.14%             | 2036-12-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2021 KEYS F 144A        | CUSIP: 17291GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13140000 | PA      | $12513583.35  | 0.46%             | 2036-10-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ              | CUSIP: 17311QBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716164 | PA      | $353427.16    | 0.01%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A       | CUSIP: 17311QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51771 | PA      | $25548.95     | 0.00%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2013-8                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 8 2A2 144A         | CUSIP: 17321PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477187 | PA      | $353851.52    | 0.01%             | 2036-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-C                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 C B2 144A          | CUSIP: 17323GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13555000 | PA      | $11823190.16  | 0.43%             | 2054-02-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-SHL1                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 SHL1 M3 144A       | CUSIP: 17309UAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2756000 | PA      | $2082210.64   | 0.08%             | 2045-11-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A3 144A        | CUSIP: 17307GY85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3171599 | PA      | $2319061.85   | 0.09%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-4                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 B1               | CUSIP: 17307GWF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3010690 | PA      | $2701548.02   | 0.10%             | 2035-08-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2007-2                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 2 1A2              | CUSIP: 17310SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4561632 | PA      | $3393854.94   | 0.12%             | 2036-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                     | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268446 | PA      | $236720.83    | 0.01%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                                         | CITY OF BUENOS AIRES UNSECURED 03/24 VAR                    | CUSIP: BD8QV0II3<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        | 328937000 | PA      | $1036541.33   | 0.04%             | 2024-03-29      | Floating      | 59.45%                | No            |                  2 | On Loan: No      |
| CITY OF DETROIT                                                              | DETROIT MI DET 04/44 ADJUSTABLE VAR                         | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |   7200000 | PA      | $5183526.96   | 0.19%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CLAVEAU RE LTD                                                               | CLAVEAU RE LTD UNSECURED 144A 07/28 VAR                     | CUSIP: 182896AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3400000 | PA      | $3329960.00   | 0.12%             | 2028-07-08      | Floating      | 17.25%                | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A           | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8250000 | PA      | $7610543.33   | 0.28%             | 2038-11-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                 | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A           | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12700000 | PA      | $11563700.52  | 0.42%             | 2038-11-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| COLT 2021-1R MORTGAGE LOAN TRUST                                             | COLT FUNDING LLC COLT 2021 1R B1 144A                       | CUSIP: 19688BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2458000 | PA      | $1835359.60   | 0.07%             | 2065-05-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| COLT 2021-1R MORTGAGE LOAN TRUST                                             | COLT FUNDING LLC COLT 2021 1R B2 144A                       | CUSIP: 19688BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1998000 | PA      | $1587076.53   | 0.06%             | 2065-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| COLT 2021-1R MORTGAGE LOAN TRUST                                             | COLT FUNDING LLC COLT 2021 1R M1 144A                       | CUSIP: 19688BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1156000 | PA      | $753810.03    | 0.03%             | 2065-05-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                               | COMEXPOSIUM 2019 EUR TERM LOAN B                            | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |  43457839 | PA      | $38998859.35  | 1.43%             | 2026-03-28      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2019 521F C 144A                   | CUSIP: 20048GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $860697.30    | 0.03%             | 2034-06-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2019 521F E 144A                   | CUSIP: 20048GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2929000 | PA      | $2421635.40   | 0.09%             | 2034-06-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                   | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5260000 | PA      | $3814750.83   | 0.14%             | 2038-12-15      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2015-CR26                                                | COMM MORTGAGE TRUST COMM 2015 CR26 XE 144A                  | CUSIP: 12593QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28636000 | PA      | $805671.00    | 0.03%             | 2048-10-10      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1                                      | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM             | CUSIP: 20173WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2329946 | PA      | $373082.58    | 0.01%             | 2049-12-10      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MTAGE PASSTHRU CERT 2005-C6                                       | COMM MORTGAGE TRUST COMM 2005 C6 G 144A                     | CUSIP: 126171AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1656171 | PA      | $1488362.12   | 0.05%             | 2044-06-10      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                 | FANNIE MAE   CAS CAS 2021 R01 1B1 144A                      | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7600000 | PA      | $7163435.48   | 0.26%             | 2041-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                 | FANNIE MAE   CAS CAS 2021 R01 1B2 144A                      | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18950000 | PA      | $17278395.87  | 0.63%             | 2041-10-25      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SEC CORP 2001-3                                              | CONSECO FINANCE SECURITIZATION CNF 2001 3 M1                | CUSIP: 20846QHQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1853746 | PA      | $1648678.18   | 0.06%             | 2033-05-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                        | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19043992 | PA      | $3966661.75   | 0.15%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                        | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A            | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15418914 | PA      | $4346354.39   | 0.16%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND 2018-18                                        | CONSUMER LOAN UNDERLYING BOND CLUBC 2018 18 PT 144A         | CUSIP: 21052MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148674 | PA      | $128833.36    | 0.00%             | 2043-10-15      | Fixed         | 16.51%                | No            |                  3 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND 2019-14                                        | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 14 PT 144A         | CUSIP: 21055BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251932 | PA      | $237983.48    | 0.01%             | 2044-05-16      | Variable      | 20.31%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND 2019-17                                        | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 17 PT 144A         | CUSIP: 21056GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    493719 | PA      | $461575.86    | 0.02%             | 2044-06-15      | Variable      | 21.64%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-21      | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 21 PT 144A         | CUSIP: 21054XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    653144 | PA      | $623211.07    | 0.02%             | 2044-07-15      | Variable      | 20.92%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-27      | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 27 PT 144A         | CUSIP: 21051MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597447 | PA      | $560188.00    | 0.02%             | 2044-08-15      | Variable      | 20.86%                | No            |                  3 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-38      | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 38 PT 144A         | CUSIP: 21054UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502914 | PA      | $487384.75    | 0.02%             | 2044-10-17      | Variable      | 19.32%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-41      | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 41 PT 144A         | CUSIP: 21054YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591056 | PA      | $572836.76    | 0.02%             | 2044-11-17      | Variable      | 19.77%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-49      | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 49 PT 144A         | CUSIP: 21056YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655821 | PA      | $635889.23    | 0.02%             | 2044-12-15      | Variable      | 17.02%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-53      | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 53 PT 144A         | CUSIP: 21056QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1307211 | PA      | $1295517.14   | 0.05%             | 2045-01-16      | Variable      | 21.06%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2019-54      | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 54 PT 144A         | CUSIP: 21055NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1114595 | PA      | $1077399.49   | 0.04%             | 2045-02-15      | Variable      | 19.47%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CERTIFICATE ISSUER TRUST I SERIES 2020-4       | CONSUMER LOAN UNDERLYING BOND CLUBC 2020 4 PT 144A          | CUSIP: 21056PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1158431 | PA      | $1135671.65   | 0.04%             | 2045-03-15      | Variable      | 21.00%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2018-25          | CONSUMER LOAN UNDERLYING BOND CLUBC 2018 25 PT 144A         | CUSIP: 21053JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212319 | PA      | $192967.87    | 0.01%             | 2043-12-15      | Variable      | 16.56%                | No            |                  3 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2020-1           | CONSUMER LOAN UNDERLYING BOND CLUBC 2020 1 PT 144A          | CUSIP: 21056BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1329524 | PA      | $1288769.20   | 0.05%             | 2045-02-15      | Variable      | 20.52%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST 2020-6           | CONSUMER LOAN UNDERLYING BOND CLUBC 2020 6 PT 144A          | CUSIP: 21057KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008946 | PA      | $1001858.15   | 0.04%             | 2045-03-15      | Variable      | 21.28%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2019-46 | CONSUMER LOAN UNDERLYING BOND CLUBC 2019 46 PT 144A         | CUSIP: 21056LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692098 | PA      | $680146.82    | 0.02%             | 2044-12-15      | Variable      | 19.00%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB CERTIFICATE ISSUER TRUST I SERIES 2020-8  | CONSUMER LOAN UNDERLYING BOND CLUBC 2020 8 PT 144A          | CUSIP: 21056UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1389071 | PA      | $1366495.42   | 0.05%             | 2045-04-17      | Variable      | 21.42%                | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                                 | CORESTATE CAPITAL HOLD SR SECURED 04/23 8                   | CUSIP: ACI2BNCN5<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |    300000 | PA      | $321324.67    | 0.01%             | 2023-04-15      | Fixed         | 8.00%                 | Yes           |                  3 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                                 | CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5          | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |   5400000 | PA      | $904821.84    | 0.03%             | 2023-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                          | CORONADO CDO LTD CORON 1A B1 144A                           | CUSIP: 21976RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1753176 | PA      | $824024.13    | 0.03%             | 2038-09-04      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                          | CORONADO CDO LTD CORON 1A B2 144A                           | CUSIP: 21976RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250453 | PA      | $132636.54    | 0.00%             | 2038-09-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                                | CORSAIR INTERNATIONAL SECURED 144A 01/29 VAR                | CUSIP: ACI236434<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |   1300000 | PA      | $1377668.50   | 0.05%             | 2029-01-28      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                                | CORSAIR INTERNATIONAL UNSECURED 144A 01/27 VAR              | CUSIP: ACI236343<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |   2300000 | PA      | $2443568.58   | 0.09%             | 2027-01-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                      | COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15             | CUSIP: ACI1FGXS4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $656772.58    | 0.02%             | 2025-09-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                      | COUNTRY GARDEN HLDGS SR SECURED REGS 10/30 3.875            | CUSIP: ACI1S6R75<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    300000 | PA      | $159423.31    | 0.01%             | 2030-10-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4B          | CUSIP: 23242GAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1646 | PA      | $24371.16     | 0.00%             | 2046-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J1 M              | CUSIP: 12667FV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304978 | PA      | $154666.73    | 0.01%             | 2035-02-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A2           | CUSIP: 23244GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310840 | PA      | $192248.71    | 0.01%             | 2046-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3           | CUSIP: 02147CAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683481 | PA      | $1606233.67   | 0.06%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A2A           | CUSIP: 126680AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3971894 | PA      | $2606612.36   | 0.10%             | 2047-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A2             | CUSIP: 12668AWJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386091 | PA      | $107441.61    | 0.00%             | 2035-12-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC3                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC3 M2              | CUSIP: 23242HAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2327533.38   | 0.09%             | 2037-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 M1               | CUSIP: 12667TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26767964 | PA      | $20703799.32  | 0.76%             | 2047-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-12                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M5               | CUSIP: 126670EP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390000 | PA      | $1595003.07   | 0.06%             | 2036-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV8               | CUSIP: 126673C34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3478843 | PA      | $2531235.35   | 0.09%             | 2035-08-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-4                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 MV7               | CUSIP: 126673R53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12368425 | PA      | $9702130.07   | 0.36%             | 2035-10-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-3                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M3                | CUSIP: 126670WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4003930 | PA      | $3629258.53   | 0.13%             | 2036-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-11                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 11 2M1              | CUSIP: 23247LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26400000 | PA      | $17963610.67  | 0.66%             | 2047-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 1M1              | CUSIP: 126698AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9916000 | PA      | $7932379.55   | 0.29%             | 2047-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-13                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV3              | CUSIP: 126670HL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1674742.00   | 0.06%             | 2036-04-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M6              | CUSIP: 126670NK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3476564 | PA      | $2794817.93   | 0.10%             | 2036-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-2                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M3                | CUSIP: 126670UY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2123441 | PA      | $2147140.00   | 0.08%             | 2036-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A2                      | CUSIP: 12669GYZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350536 | PA      | $1874612.30   | 0.07%             | 2035-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A5                      | CUSIP: 12669GZS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2909926 | PA      | $1688028.52   | 0.06%             | 2035-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                             | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A                  | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101943 | PA      | $88267.35     | 0.00%             | 2036-09-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-MX1                                       | CREDIT BASED ASSET SERVICING A CBASS 2007 MX1 M1 144A       | CUSIP: 1248MPAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1710475.56   | 0.06%             | 2036-12-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28                | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 CB1           | CUSIP: 22541QU91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557579 | PA      | $482646.87    | 0.02%             | 2033-12-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR          | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $143801.69    | 0.01%             | 2025-09-12      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR          | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $233464.91    | 0.01%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CREDIT SUISSE GROUP AG SR UNSECURED 144A 05/32 VAR          | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $173235.54    | 0.01%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $219973.50    | 0.01%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CREDIT SUISSE GROUP AG SR UNSECURED 144A 11/33 VAR          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    650000 | PA      | $667322.32    | 0.02%             | 2033-11-15      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                       | CREDIT SUISSE GROUP AG SR UNSECURED REGS 04/32 VAR          | CUSIP: ACI24F5W8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $194171.51    | 0.01%             | 2032-04-02      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A            | CUSIP: 22545YAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5700000 | PA      | $6270041.04   | 0.23%             | 2049-01-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 D 144A            | CUSIP: 22545YAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2870000 | PA      | $4035908.80   | 0.15%             | 2049-01-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 E 144A            | CUSIP: 22545YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $3526400.00   | 0.13%             | 2049-01-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A          | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22329200 | PA      | $20341445.68  | 0.75%             | 2032-07-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 NET E 144A           | CUSIP: 126438AL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3580000 | PA      | $3076254.80   | 0.11%             | 2037-08-15      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A5                | CUSIP: 22942JAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488887 | PA      | $144395.93    | 0.01%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                       | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 M2            | CUSIP: 12489WJS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1556233 | PA      | $1077466.54   | 0.04%             | 2035-05-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                              | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    171118 | NS      | $1048953.34   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-29                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 29 1B2             | CUSIP: 22541NPU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686499 | PA      | $434960.61    | 0.02%             | 2032-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                              | IHEARTMEDIA INC   CLASS B COMMON STOCK                      | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    132822 | NS      | $732778.97    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-C3                                        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 C3 D               | CUSIP: 225458VX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42100 | PA      | $38282.05     | 0.00%             | 2037-07-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-FIX1                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 FIX1 M1            | CUSIP: 22541S5V6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978439 | PA      | $617937.46    | 0.02%             | 2035-05-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-5R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 5R 6A7 144A          | CUSIP: 12645LCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4553250 | PA      | $4186315.32   | 0.15%             | 2037-11-27      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-2R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 2R 28A2 144A         | CUSIP: 12648ELY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987434 | PA      | $677952.65    | 0.02%             | 2037-06-27      | Variable      | 10.18%                | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-4R                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 4R 1A4 144A          | CUSIP: 12650BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14589714 | PA      | $10307282.63  | 0.38%             | 2036-10-27      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| CTDL 2020-1                                                                  | CTDL 2020 1 TRUST CTDL 2020 1 B1 144A                       | CUSIP: 12657JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894000 | PA      | $786927.77    | 0.03%             | 2055-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                 | DBGS MORTGAGE TRUST DBGS 2021 W52 F 144A                    | CUSIP: 23308LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5061849.00   | 0.19%             | 2036-10-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                                 | DBGS MORTGAGE TRUST DBGS 2018 5BP E 144A                    | CUSIP: 33830CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9300000 | PA      | $7491152.79   | 0.27%             | 2033-06-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                                 | DBGS MORTGAGE TRUST DBGS 2018 5BP F 144A                    | CUSIP: 33830CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5701000 | PA      | $4440001.51   | 0.16%             | 2033-06-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                | DBGS MORTGAGE TRUST DBGS 2019 1735 E 144A                   | CUSIP: 23307EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3381170.00   | 0.12%             | 2037-04-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                | DBGS MORTGAGE TRUST DBGS 2019 1735 F 144A                   | CUSIP: 23307EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3076800.50   | 0.11%             | 2037-04-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| DBWF-2018-GLKS                                                               | DBWF MORTGAGE TRUST DBWF 2018 GLKS E 144A                   | CUSIP: 23307GAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9850000 | PA      | $9294834.30   | 0.34%             | 2030-12-19      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                  | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    668760 | NS      | $16050240.00  | 0.59%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DELTA FUNDING HOME EQ LN TR 1999-3                                           | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 M1              | CUSIP: 24763LFY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825639 | PA      | $1141567.67   | 0.04%             | 2030-01-15      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS2                          | DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS2 1A2 144A      | CUSIP: 25160GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1634023 | PA      | $960845.07    | 0.04%             | 2035-12-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE SECURITIES INC RE-REMIC TRUST CERTIFICATES SERIES 2007-RS8 | DEUTSCHE MORTGAGE SECURITIES, DMSI 2007 RS8 3A1 144A        | CUSIP: 25156WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3749861 | PA      | $2875026.75   | 0.11%             | 2036-09-28      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                   | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A         | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3114020.00   | 0.11%             | 2049-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                     | DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN           | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |  48936323 | PA      | $46499783.91  | 1.71%             | 2026-05-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| DIEBOLD NIXDORF INCORPORATED                                                 | DIEBOLD INC TERM LOAN B                                     | CUSIP: 25365EAM7<br>LEI: 549300XZK6EWDBAZSY16 | Long             | LON              | CORP              | US        |  10897174 | PA      | $7714872.28   | 0.28%             | 2023-11-06      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                        | DIRECTV FINANCING LLC TERM LOAN                             | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4881250 | PA      | $4762782.07   | 0.17%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                         | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  18948000 | PA      | $15996091.08  | 0.59%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                         | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17398000 | PA      | $13918400.00  | 0.51%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORPORATION                                                     | DISH NETWORK CORP SR UNSECURED 08/26 3.375                  | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $2075700.00   | 0.08%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                          | DOLP TRUST DOLP 2021 NYC F 144A                             | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $4025962.20   | 0.15%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                          | DOLP TRUST DOLP 2021 NYC G 144A                             | CUSIP: 23345LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $4757583.20   | 0.17%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DORIC NIMROD AIR ALPHA 2013-1 CLASS A PASS THROUGH TRUST                     | DORIC NIMROD 2013 1 CL A PASS THRU CE 144A 05/25 5.25       | CUSIP: 233283AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |    667776 | PA      | $662857.62    | 0.02%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                                | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE D 144A         | CUSIP: 26210YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5805878 | PA      | $5161909.17   | 0.19%             | 2043-10-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| DSSV SARL                                                                    | DSSV DSSV PRL A                                             | CUSIP: ACI1DSVZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |  24016437 | PA      | $25533566.10  | 0.94%             | 2024-10-15      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)                                       | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7                    | CUSIP: ACI1XVP76<br>LEI: 9845009A70B44Q680820 | Long             | DBT              | CORP              | NL        |  14660432 | PA      | $4040781.57   | 0.15%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CDO LTD 2013-1A                                                  | EATON VANCE CDO LTD EATON 2013 1A SUB2 144A                 | CUSIP: 27830CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14000000 | PA      | $9007600.00   | 0.33%             | 2034-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                           | ECAF LTD ECAF 2015 1A A1 144A                               | CUSIP: 26827EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4088364 | PA      | $2555080.61   | 0.09%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-2                                       | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M5                | CUSIP: 126673J52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13475490 | PA      | $10796839.07  | 0.40%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                  | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |   4400000 | PA      | $3310264.50   | 0.12%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                                       | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75         | CUSIP: S25221AC6<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |  23918000 | PA      | $23091059.07  | 0.85%             | 2023-08-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                         | EUROSAIL PLC ESAIL 2007 1X D1A REGS                         | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    250000 | PA      | $218061.35    | 0.01%             | 2045-03-13      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X B1C REGS                         | CUSIP: ACI00RTY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1792096 | PA      | $1923457.57   | 0.07%             | 2045-06-13      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X D1A REGS                         | CUSIP: ACI01VU93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   5421236 | PA      | $4667791.70   | 0.17%             | 2045-06-13      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                         | EUROSAIL PLC ESAIL 2007 3X E1C REGS                         | CUSIP: G3299SAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1780941 | PA      | $1768468.24   | 0.06%             | 2045-06-13      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                  | EUROSAIL PLC ESAIL 2007 4X E1C REGS                         | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1641274 | PA      | $1579287.66   | 0.06%             | 2045-06-13      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                                   | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5         | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $1750.00      | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2019-2A                                  | EXETER AUTOMOBILE RECEIVABLES EART 2019 2A R 144A           | CUSIP: 30167LAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6900 | PA      | $2201997.41   | 0.08%             | 2031-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2019-3A                                  | EXETER AUTOMOBILE RECEIVABLES EART 2019 3A R 144A           | CUSIP: 30167EAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16100 | PA      | $7396868.46   | 0.27%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2020-2A                                  | EXETER AUTOMOBILE RECEIVABLES EART 2020 2A R 144A           | CUSIP: 30167YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20570 | PA      | $16571514.02  | 0.61%             | 2032-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                                  | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A           | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16642 | PA      | $7109342.90   | 0.26%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                         | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21500634 | PA      | $20243483.01  | 0.74%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                           | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5            | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |  12400000 | PA      | $11094900.00  | 0.41%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-5                                                     | FANNIE MAE FNR 2021 5 JI                                    | CUSIP: 3136BDZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11827827 | PA      | $597991.29    | 0.02%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                                    | FANNIE MAE FNR 2021 59 KI                                   | CUSIP: 3136BGB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26765378 | PA      | $6092008.69   | 0.22%             | 2051-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                     | FANNIE MAE FNR 2022 3 YS                                    | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 220729564 | PA      | $2641161.67   | 0.10%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FARRINGDON MORTAGES PLC 2                                                    | FARRINGDON MORTGAGES NO.2 07/47 1                           | CUSIP: B0LNR9II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   5675000 | PA      | $4210861.75   | 0.15%             | 2047-07-15      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| FARRINGDON MORTAGES PLC 2                                                    | ROOF 2 D                                                    | CUSIP: 963FSYII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         1 | PA      | $0.00         | 0.00%             | 2047-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEL ENERGY VI SA RL                                                          | FEL ENERGY VI SARL SR SECURED 144A 12/40 5.75               | CUSIP: 30260LAA3<br>LEI: 254900H2U8PBIY32VI94 | Long             | DBT              | CORP              | LU        |   5913279 | PA      | $5068892.83   | 0.19%             | 2040-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                                  | MCDERMOTT INTERNATIONAL LTD COMMON STOCK                    | CUSIP: G5924V106<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |     57729 | NS      | $18473.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NAC HOLDINGS LTD                                                             | NAC AVIATION RSTRCTR EQUITY EQTYNACL7                       | CUSIP: 944RJF908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    531558 | NS      | $9833823.00   | 0.36%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FINSBURY SQUARE 2020-2A                                                      | FINSBURY SQUARE FSQ 2020 2A E 144A                          | CUSIP: ACI1N8695<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1000000 | PA      | $1205084.48   | 0.04%             | 2070-06-16      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2018-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A               | CUSIP: 33844P105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33000 | PA      | $2337200.46   | 0.09%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A               | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20000 | PA      | $2277311.65   | 0.08%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2021-3                                            | FLAGSHIP CREDIT AUTO TRUST FCAT 2021 3 R 144A               | CUSIP: 33846Q101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8473 | PA      | $1591453.55   | 0.06%             | 2028-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FLOODSMART RE LTD                                                            | FLOODSMART RE LTD UNSECURED 144A 03/24 VAR                  | CUSIP: 33975CAG0<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |   2246000 | PA      | $2077550.00   | 0.08%             | 2024-03-01      | Floating      | 13.58%                | No            |                  2 | On Loan: No      |
| FLOODSMART RE LTD                                                            | FLOODSMART RE LTD UNSECURED 144A 03/24 VAR                  | CUSIP: 33975CAH8<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |    643000 | PA      | $514400.00    | 0.02%             | 2024-03-01      | Floating      | 17.33%                | No            |                  2 | On Loan: No      |
| NMG PARENT                                                                   | NEIMAN MARCUS USD COMMON STOCK EQUITY                       | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    178186 | NS      | $31370386.20  | 1.15%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOBLE CORPORATION PLC                                                        | NOBLE CORP PLC COMMON STOCK                                 | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |     27637 | NS      | $1042191.27   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FONTAINEBLEAU MIAMI BEACH TRUST 2019-FBLU                                    | FONTAINEBLEAU MIAMI BEACH TRUS FMBT 2019 FBLU F 144A        | CUSIP: 34461LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9700000 | PA      | $8845745.25   | 0.32%             | 2036-12-10      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                       | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A       | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  63412409 | PA      | $4059919.26   | 0.15%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071            | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                 | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24637000 | PA      | $1985697.85   | 0.07%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3907                                                      | FREDDIE MAC FHR 3907 MS                                     | CUSIP: 3137AEE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1163915 | PA      | $35362.52     | 0.00%             | 2026-08-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                      | FREDDIE MAC FHR 5069 IL                                     | CUSIP: 3137F9C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4678221 | PA      | $824856.03    | 0.03%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                      | FREDDIE MAC FHR 5069 PI                                     | CUSIP: 3137F9CZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3498580 | PA      | $543123.71    | 0.02%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5140                                                      | FREDDIE MAC FHR 5140 JI                                     | CUSIP: 3137H24K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4111338 | PA      | $747853.15    | 0.03%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                      | FREDDIE MAC   STACR STACR 2021 DNA5 B2 144A                 | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14300000 | PA      | $11285977.56  | 0.41%             | 2034-01-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                      | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10264216.80  | 0.38%             | 2041-10-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                      | FREDDIE MAC   STACR STACR 2021 HQA3 B1 144A                 | CUSIP: 35564KKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $2661109.44   | 0.10%             | 2041-09-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-HQA3                                      | FREDDIE MAC   STACR STACR 2021 HQA3 B2 144A                 | CUSIP: 35564KKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3700000 | PA      | $2978041.57   | 0.11%             | 2041-09-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2               | FREDDIE MAC   STACR STACR 2022 DNA2 B1 144A                 | CUSIP: 35564KSJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3700000 | PA      | $3394461.77   | 0.12%             | 2042-02-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2               | FREDDIE MAC   STACR STACR 2022 DNA2 B2 144A                 | CUSIP: 35564KSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1326868.80   | 0.05%             | 2042-02-25      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2022-DNA2               | FREDDIE MAC   STACR STACR 2022 DNA2 M2 144A                 | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11700000 | PA      | $11039981.94  | 0.41%             | 2042-02-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST 2020-3FP                                                     | FREED ABS TRUST FREED 2020 3FP CERT 144A                    | CUSIP: 35634LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4850 | PA      | $741906.93    | 0.03%             | 2027-09-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-A                                               | FREMONT HOME LOAN TRUST FHLT 2004 A M3                      | CUSIP: 35729PCM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1883437 | PA      | $1554269.45   | 0.06%             | 2034-01-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                               | FREMONT HOME LOAN TRUST FHLT 2006 2 M1                      | CUSIP: 35729PPZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10497912 | PA      | $6813177.12   | 0.25%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                      | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN             | CUSIP: 943ZHKII3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |  11826749 | PA      | $8625490.59   | 0.32%             | 2027-10-18      | Fixed         | 12.56%                | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                      | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN                 | CUSIP: 943ZERII1<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |  54208588 | PA      | $53530981.13  | 1.96%             | 2027-10-15      | Fixed         | 12.14%                | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                  | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                       | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |   4237242 | PA      | $3833910.18   | 0.14%             | 2046-06-21      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GCT COMMERCIAL MORTGAGE TRUST 2021-GCT                                       | GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT E 144A           | CUSIP: 36167RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $8757421.20   | 0.32%             | 2038-02-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375             | CUSIP: 37443GAG6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1100000 | PA      | $426283.00    | 0.02%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875             | CUSIP: 37443GAH4<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1100000 | PA      | $398761.00    | 0.01%             | 2035-02-11      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                   | REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75              | CUSIP: 37443GAJ0<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    400000 | PA      | $141696.00    | 0.01%             | 2061-03-11      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GIBSON BRANDS INC (AKA: GIBSON GUITAR CORP)                                  | GIBSON BRANDS INC 2021 TERM LOAN                            | CUSIP: 37476YAB8<br>LEI: 549300KU4ACNZQGB7J14 | Long             | LON              | CORP              | US        |   6054250 | PA      | $4480145.14   | 0.16%             | 2028-08-11      | Floating      | 9.13%                 | No            |                  3 | On Loan: No      |
| GIP II BLUE HOLDING LP                                                       | GIP II BLUE HOLDING L P TERM LOAN B                         | CUSIP: 31575AAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4176 | PA      | $4146.69      | 0.00%             | 2028-09-29      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| GLACIER FUNDING CDO LTD 2004-2A                                              | GLACIER FUNDING CDO GLCR 2004 2A B 144A                     | CUSIP: 37638VAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  33250000 | PA      | $6090103.25   | 0.22%             | 2042-11-12      | Floating      | 1.05%                 | No            |                  2 | On Loan: No      |
| GLG EURO CLO 1A                                                              | MAN GLG EURO CLO GLGE 1A SUBR 144A                          | CUSIP: ACI11ZRZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1762000 | PA      | $547362.56    | 0.02%             | 2030-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GMAC COMMERCIAL MORTGAGE ASSET CORPORATION 2003 BRAG                         | GMAC COMMERCIAL MORTGAGE ASSET GMACN 2003 BRAG CERT 144A    | CUSIP: 36185PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1311669 | PA      | $1243842.27   | 0.05%             | 2038-08-10      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| STEARNS HOLDINGS LLC                                                         | STEARNS HOLDING LLC CLASS B STEARNS HOLDING LLC CLASSB      | CUSIP: 9353MP906<br>LEI: 549300B7MV13XJXKBZ36 | Long             | EC               | CORP              | US        |    284008 | NS      | $0.28         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SYNIVERSE CORPORATION                                                        | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |  33300826 | NS      | $32002093.87  | 1.17%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                          | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |   3581000 | NS      | $7377529.98   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXGEN POWER LLC                                                             | TEXGEN POWER LLC                                            | CUSIP: 933KFF900<br>LEI: 5493003XDLS9LCQ3SY55 | Long             | EC               | CORP              | US        |    273307 | NS      | $7652596.00   | 0.28%             |  |  |  | No            |                  3 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                             | FIAC                                                        | CUSIP: 936NUVII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1000000 | PA      | $1.21         | 0.00%             | 2039-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                             | GREAT HALL MORTGAGES PLC 2007 GHM 2007 2X R                 | CUSIP: 936LMVII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1000000 | PA      | $13742918.20  | 0.50%             | 2039-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GREENE KING FINANCE PLC                                                      | GREENE KING FINANCE PLC SECURED REGS 03/36 VAR              | CUSIP: B14551II6<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $183837.63    | 0.01%             | 2036-03-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 1999-5                                       | GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2               | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134993 | PA      | $116796.46    | 0.00%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A           | CUSIP: 36255MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3380000 | PA      | $3190600.69   | 0.12%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A           | CUSIP: 36255MAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2440000 | PA      | $2283354.44   | 0.08%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2015-590M                                       | GS MORTGAGE SECURITIES TRUST GSMS 2015 590M E 144A          | CUSIP: 36250WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2430511.50   | 0.09%             | 2035-10-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                       | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE F 144A          | CUSIP: 36258BAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6440000 | PA      | $6014162.08   | 0.22%             | 2036-12-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A     | CUSIP: 36260AAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  42883436 | PA      | $190400.31    | 0.01%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A        | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6871000 | PA      | $4231154.93   | 0.16%             | 2059-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 SA 144A       | CUSIP: 36260AAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29414 | PA      | $29080.02     | 0.00%             | 2059-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A        | CUSIP: 36260AAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  47655935 | PA      | $715010.58    | 0.03%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 AIOS 144A     | CUSIP: 36261WAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  96038439 | PA      | $1125599.31   | 0.04%             | 2060-12-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 B 144A        | CUSIP: 36261WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20530968 | PA      | $11017371.30  | 0.40%             | 2060-12-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 SA 144A       | CUSIP: 36261WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114820 | PA      | $110432.69    | 0.00%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 X 144A        | CUSIP: 36261WAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        | 109542146 | PA      | $3831784.25   | 0.14%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AHL                                                         | GSAMP TRUST GSAMP 2004 AHL M2                               | CUSIP: 36242DHR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672196 | PA      | $652287.15    | 0.02%             | 2034-08-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-SEA2                                                        | GSAMP TRUST GSAMP 2004 SEA2 M2                              | CUSIP: 36228F6A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2857120 | PA      | $2504970.86   | 0.09%             | 2034-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-AHL2 2005-AHL2                                              | GSAMP TRUST GSAMP 2005 AHL2 M1                              | CUSIP: 362341C64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7171012 | PA      | $5119933.74   | 0.19%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-SD1                                                         | GSAMP TRUST GSAMP 2005 SD1 M3 144A                          | CUSIP: 36242DWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9451616 | PA      | $7313553.36   | 0.27%             | 2034-12-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC1                                                        | GSAMP TRUST GSAMP 2005 WMC1 M2                              | CUSIP: 362341PV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4862879 | PA      | $3981513.96   | 0.15%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC3                                                        | GSAMP TRUST GSAMP 2005 WMC3 M1                              | CUSIP: 362341L64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20142367 | PA      | $16111827.10  | 0.59%             | 2035-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                         | GSAMP TRUST GSAMP 2006 HE3 M1                               | CUSIP: 36244KAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26969255 | PA      | $21524140.50  | 0.79%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                         | GSAMP TRUST GSAMP 2006 HE4 M1                               | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7359482 | PA      | $5939499.07   | 0.22%             | 2036-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-SD1                                                         | GSAMP TRUST GSAMP 2006 SD1 M2 144A                          | CUSIP: 362341X79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277390 | PA      | $1078666.09   | 0.04%             | 2045-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2015-7R                                         | GS MORTGAGE SECURITIES CORP. GSMSC 2015 7R B 144A           | CUSIP: 36254RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39297834 | PA      | $16301311.51  | 0.60%             | 2037-09-26      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)                    | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |    544155 | NS      | $3009177.15   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1B            | CUSIP: 41161PLE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1649980 | PA      | $1161258.00   | 0.04%             | 2035-03-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                          | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13           | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2730056 | PA      | $2471994.50   | 0.09%             | 2036-12-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HARBOUR 1                                                                    | HARBOUR PLC HARBR 1 E REGS                                  | CUSIP: ACI227L75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   4300000 | PA      | $4881764.06   | 0.18%             | 2054-01-28      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XV DAC 15A                                                       | HARVEST CLO HARVT 15A SUB 144A                              | CUSIP: ACI13DPQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $697825.40    | 0.03%             | 2029-05-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                | HESTIA RE LTD UNSECURED 144A 04/25 VAR                      | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |   3520000 | PA      | $2904000.00   | 0.11%             | 2025-04-22      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| HILTON ORLANDO TRUST 2018-ORL                                                | HILTON USA TRUST HILT 2018 ORL E 144A                       | CUSIP: 432885AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23000000 | PA      | $22065691.70  | 0.81%             | 2034-12-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| HILTON ORLANDO TRUST 2018-ORL                                                | HILTON USA TRUST HILT 2018 ORL F 144A                       | CUSIP: 432885AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2207000 | PA      | $2081502.26   | 0.08%             | 2034-12-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-4                                               | HOME EQUITY ASSET TRUST HEAT 2006 4 M1                      | CUSIP: 437084VR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30153172 | PA      | $27885526.59  | 1.02%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HOSPITALITY MORTGAGE TRUST 2019-HIT                                          | HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT F 144A             | CUSIP: 40443RAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13688108 | PA      | $12962530.44  | 0.48%             | 2036-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| HOSPITALITY MORTGAGE TRUST 2019-HIT                                          | HOSPITALITY MORTGAGE TRUST HPLY 2019 HIT G 144A             | CUSIP: 40443RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3982315 | PA      | $3702663.23   | 0.14%             | 2036-11-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A A1 144A                               | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13376922 | PA      | $2268725.93   | 0.08%             | 2041-07-05      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A A2 144A                               | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8111158 | PA      | $868477.87    | 0.03%             | 2041-07-05      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                              | HOUT BAY HOUT 2006 1A B 144A                                | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3290000 | PA      | $329.00       | 0.00%             | 2041-07-05      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                             | HSI ASSET LOAN OBLIGATION HALO 2007 1 2A12                  | CUSIP: 40431TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6889274 | PA      | $2986516.70   | 0.11%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                           | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M5            | CUSIP: 40430HEE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17675000 | PA      | $13056976.75  | 0.48%             | 2036-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                         | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A            | CUSIP: 40431JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9084805 | PA      | $7640373.77   | 0.28%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                                  | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 04/27 4.75        | CUSIP: G463PSAE4<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |   1100000 | PA      | $961125.00    | 0.04%             | 2027-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                                  | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/27 4.25        | CUSIP: ACI0YNJ23<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |    300000 | PA      | $256740.84    | 0.01%             | 2027-11-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                                  | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/47 4.95        | CUSIP: ACI0YNJJ6<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |    600000 | PA      | $412471.60    | 0.02%             | 2047-11-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                                  | HUARONG FINANCE 2019 COMPANY GUAR REGS 02/30 3.375          | CUSIP: ACI1K6N02<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |   1200000 | PA      | $915868.62    | 0.03%             | 2030-02-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                                  | HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5            | CUSIP: ACI1C6PX7<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |   1200000 | PA      | $997090.68    | 0.04%             | 2029-05-29      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                                  | HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875          | CUSIP: ACI1GS152<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    800000 | PA      | $632979.02    | 0.02%             | 2029-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE II CO LTD                                                    | HUARONG FINANCE II COMPANY GUAR REGS 06/26 4.625            | CUSIP: G463PCAJ8<br>LEI: 549300BHVD63HE2GHX17 | Long             | DBT              | CORP              | VG        |    400000 | PA      | $353500.00    | 0.01%             | 2026-06-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                                | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9      | CUSIP: 942UCF009<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | EC               | CORP              | US        |      2201 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| HUNTINGTON CDO LTD 2005-1A                                                   | HUNTINGTON CDO LTD HUNTN 2005 1A B 144A                     | CUSIP: 446279AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $2861110.00   | 0.11%             | 2040-11-05      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                             | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     63729 | NS      | $477967.50    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                          | POSEIDON BIDCO SASU EUR TERM LOAN B                         | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |  35100000 | PA      | $32372855.49  | 1.19%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INSTANT BRANDS HOLDINGS INC                                                  | INSTANT BRANDS HOLDINGS INC TERM LOAN                       | CUSIP: 45783DAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  15775752 | PA      | $10664408.51  | 0.39%             | 2028-04-12      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                                 | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |  49498000 | PA      | $44374462.02  | 1.63%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                                 | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B        | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |  12878022 | PA      | $12459485.86  | 0.46%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| INTER MEDIA AND COMMUNICATION SPA                                            | INTER MEDIA COMMUNICATIO SR SECURED REGS 02/27 6.75         | CUSIP: ACI239FN2<br>LEI: 81560082CE2ED97AFD36 | Long             | DBT              | CORP              | IT        |   1677000 | PA      | $1706284.18   | 0.06%             | 2027-02-09      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ISCHUS CDO I LTD 2004-1A                                                     | ISCHUS CDO LTD ICM 2004 1A A2 144A                          | CUSIP: 464266AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3112992 | PA      | $2622471.64   | 0.10%             | 2040-01-05      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-BCON             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 BCON F 144A       | CUSIP: 46590WAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3386980.38   | 0.12%             | 2031-01-05      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A       | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3240000 | PA      | $2580945.77   | 0.09%             | 2036-12-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| JACKSON PARK TRUST 2019-LIC                                                  | JACKSON PARK TRUST JAX 2019 LIC E 144A                      | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22447000 | PA      | $16227376.26  | 0.60%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JEFFERSON CAPITAL HOLDINGS LLC                                               | JEFFERSON CAPITAL HOLDIN COMPANY GUAR 144A 08/26 6          | CUSIP: 472481AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4680000 | PA      | $3879018.00   | 0.14%             | 2026-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                       | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A4            | CUSIP: 466287AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2753703 | PA      | $2432621.44   | 0.09%             | 2037-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MOR-2007-LD11                                     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 AJ           | CUSIP: 46631BAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14969097 | PA      | $3893656.69   | 0.14%             | 2049-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 E 144A        | CUSIP: 46642CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1846228 | PA      | $1064204.77   | 0.04%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 F 144A        | CUSIP: 46642CAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490332 | PA      | $340318.65    | 0.01%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 G 144A        | CUSIP: 46642CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490332 | PA      | $183223.06    | 0.01%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C20                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2014 C20 NR 144A       | CUSIP: 46642CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3971755 | PA      | $299827.76    | 0.01%             | 2047-07-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A       | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24000000 | PA      | $22341736.80  | 0.82%             | 2035-02-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 F 144A       | CUSIP: 46649JAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4604302.00   | 0.17%             | 2035-02-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 E 144A       | CUSIP: 46653DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4507120.00   | 0.17%             | 2036-03-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5               | JP MORGAN CHASE COMMERCIAL 11/38 VAR                        | CUSIP: 46654PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $13857796.50  | 0.51%             | 2038-11-15      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 F 144A       | CUSIP: 46654PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2756000 | PA      | $2504660.10   | 0.09%             | 2038-11-15      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A       | CUSIP: 46654PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21526000 | PA      | $18871321.12  | 0.69%             | 2038-11-15      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-MHC                | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 MHC E 144A        | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2565484.92   | 0.09%             | 2038-04-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                     | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P E 144A         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9645000 | PA      | $8737899.32   | 0.32%             | 2034-09-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                     | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A         | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7233000 | PA      | $6523596.04   | 0.24%             | 2034-09-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| 510 LOAN ACQUISITION TRUST 2020-1                                            | 510 LOAN ACQUISITION TRUST FTLA 2020 1 A 144A               | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6242290 | PA      | $5958317.41   | 0.22%             | 2060-09-25      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                             | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 2A2                  | CUSIP: 46628LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7840 | PA      | $5763.88      | 0.00%             | 2036-06-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| 522 FIFTH AVENUE TRUST                                                       | 522 FIFTH AVENUE TRUST FIXED TERM LOAN                      | CUSIP: 945BERII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5132085 | PA      | $5046926.87   | 0.19%             | 2025-08-27      | Fixed         | 9.38%                 | No            |                  3 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF1           | CUSIP: 46630LAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $590471.76    | 0.02%             | 2036-11-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MF2           | CUSIP: 46630LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1683952 | PA      | $1996110.50   | 0.07%             | 2036-11-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2014-7                               | JP MORGAN REREMIC JPMRR 2014 7 1C 144A                      | CUSIP: 46643WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7723800 | PA      | $1752836.19   | 0.06%             | 2036-05-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 1999-A                                            | KEYCORP STUDENT LN TR SER 2004 A CL 1A1                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $10473081.97  | 0.38%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 1999-B                                            | KEYCORP STUDENT LOAN TRUST 199 KSLT 1999 B                  | CUSIP: 934GPPII6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $13815015.87  | 0.51%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2000-A                                            | KSLT 2000 A CERT SUB KSLT 2000 A CERT SUB                   | CUSIP: 934MAWII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $9674721.70   | 0.36%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2000-B                                            | KSLT 2000 B CERT SUB KSLT 2000 B CERT SUB                   | CUSIP: 933FUCII2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $7904929.10   | 0.29%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2002-A                                            | KSLT 2002 A R SUB KSLT 2002 A R SUB                         | CUSIP: 933UTWII7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $11761608.11  | 0.43%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KEYCORP STUDENT LOAN TRUST 2003-A                                            | KSLT 2003 A R SUB KSLT 2003 A R SUB                         | CUSIP: 933RCTII9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $22019516.61  | 0.81%             | 2050-01-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| KIK CUSTOM PRODUCTS (KRONOS ACQUISITION HOLDINGS INC)                        | KRONOS ACQUISITION HOLDINGS 2021 1ST LIEN TERM LOAN         | CUSIP: 50106JAF3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  13860000 | PA      | $13444200.00  | 0.49%             | 2026-12-22      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| KIWI VFS SUB I SARL                                                          | KIWI VFS SUB I SARL EUR TERM LOAN                           | CUSIP: 943VLLII5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |  34650000 | PA      | $37239439.21  | 1.37%             | 2029-05-16      | Floating      | 9.20%                 | No            |                  3 | On Loan: No      |
| KIWI VFS SUB I SARL                                                          | KIWI VFS SUB I SARL GBP TERM LOAN B                         | CUSIP: 943VLWII1<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   6550860 | PA      | $7919663.31   | 0.29%             | 2029-05-16      | Floating      | 10.05%                | No            |                  3 | On Loan: No      |
| KNOLLWOOD CDO LTD. 2004-1A                                                   | KNOLLWOOD CDO LTD KNOLL 2004 1A A1 144A                     | CUSIP: 499169AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8108583 | PA      | $3528028.24   | 0.13%             | 2039-01-10      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                         | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP E 144A       | CUSIP: 50085PAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22339000 | PA      | $12954531.30  | 0.48%             | 2044-11-05      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                        | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A         | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6730317 | PA      | $5334045.82   | 0.20%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A                                | LAKESIDE CDO LTD LAKES 2004 1A A2A 144A                     | CUSIP: 51210VAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14771785 | PA      | $4973290.56   | 0.18%             | 2040-01-03      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| LAKESIDE CDO I LTD/LAKESIDE CDO I INC 2004-1A                                | LAKESIDE CDO LTD LAKES 2004 1A A2B 144A                     | CUSIP: 51210VAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  19764388 | PA      | $6654175.44   | 0.24%             | 2040-01-04      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                   | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    170649 | PA      | $110921.60    | 0.00%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                   | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2397211 | PA      | $1286786.70   | 0.05%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                              | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A      | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $602029.00    | 0.02%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                              | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A      | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $1186230.53   | 0.04%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LIBERTY STREET TRUST 2016-225L                                               | LIBERTY STREET TRUST LBTY 2016 225L E 144A                  | CUSIP: 902055AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7616273 | PA      | $6205186.30   | 0.23%             | 2036-02-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| LIFEMILES LTD                                                                | LIFEMILES LTD 2021 TERM LOAN B                              | CUSIP: G6368CAE9<br>LEI: 254900CGQFLUG99LJ840 | Long             | LON              | CORP              | BM        |   6838289 | PA      | $6383543.15   | 0.23%             | 2026-08-30      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| ACACIA CDO LTD 5A                                                            | ACACIA CDO LTD ACCDO 5A B 144A                              | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  27918369 | PA      | $8828737.64   | 0.32%             | 2039-11-08      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| LNR CDO LTD 2005-1A                                                          | LNR CDO LTD LNR 2005 1A A 144A                              | CUSIP: 53944PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2135278 | PA      | $34081.17     | 0.00%             | 2043-02-28      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M5            | CUSIP: 542514LM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15023874 | PA      | $12746447.14  | 0.47%             | 2035-06-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2004-3                                        | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 1M3              | CUSIP: 004375BG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863046 | PA      | $1463920.05   | 0.05%             | 2034-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3             | CUSIP: 542514RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496246 | PA      | $406720.45    | 0.01%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M7              | CUSIP: 542514KX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4350967 | PA      | $3634042.74   | 0.13%             | 2035-04-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2007-1                                        | ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M3               | CUSIP: 00438QAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5235000 | PA      | $3756573.18   | 0.14%             | 2037-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                  | LUDGATE FUNDING PLC LGATE 2006 1X MC REGS                   | CUSIP: ACI20ZV82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        | 375000000 | PA      | $2266.78      | 0.00%             | 2060-12-01      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                  | LUDGATE FUNDING PLC LGATE 2006 1X RES REGS                  | CUSIP: ACI20ZV58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        | 375000000 | PA      | $1648938.42   | 0.06%             | 2060-12-01      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                                         | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP F 144A        | CUSIP: 55066WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26640000 | PA      | $24435569.30  | 0.90%             | 2038-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE1                                                 | ACE SECURITIES CORP. ACE 2005 HE1 M6                        | CUSIP: 004421KZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14258283 | PA      | $11596823.65  | 0.43%             | 2035-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2006-1X                                                | MANSARD MORTGAGES PLC MANSD 2006 1X B2 REGS                 | CUSIP: B1GJ7MII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   2478044 | PA      | $2780343.16   | 0.10%             | 2048-10-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                          | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                  | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  37095427 | PA      | $12348919.38  | 0.45%             | 2044-12-04      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                                 | ACE SECURITIES CORP. ACE 2005 HE5 M5                        | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3550040 | PA      | $2590705.32   | 0.10%             | 2035-08-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2018-2A                                               | MARLETTE FUNDING TRUST MFT 2018 2A CERT 144A                | CUSIP: 57109E109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10196 | PA      | $261928.41    | 0.01%             | 2028-07-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-1A                                               | MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A                | CUSIP: 57109X107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16695 | PA      | $997636.81    | 0.04%             | 2029-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                                | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4409 | PA      | $336412.97    | 0.01%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                               | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11251 | PA      | $410681.71    | 0.02%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-3 2005-3                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 3 B1               | CUSIP: 576433YZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810947 | PA      | $535056.02    | 0.02%             | 2035-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                                 | ACE SECURITIES CORP. ACE 2006 NC1 M2                        | CUSIP: 004421UV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2938873 | PA      | $2201265.83   | 0.08%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                           | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M2              | CUSIP: 57643LNH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8972870 | PA      | $8356513.65   | 0.31%             | 2036-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURIT TR 2003-OPT1                                      | MASTR ASSET BACKED SECURITIES MABS 2003 OPT1 M4             | CUSIP: 57643LAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444884 | PA      | $279956.18    | 0.01%             | 2032-12-25      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP1                                                 | ACE SECURITIES CORP. ACE 2006 OP1 M1                        | CUSIP: 00442PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7748365 | PA      | $5759809.04   | 0.21%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                                | MELCO RESORTS FINANCE SR UNSECURED 144A 04/26 5.25          | CUSIP: 58547DAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1590000 | PA      | $1401715.24   | 0.05%             | 2026-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                                | MELCO RESORTS FINANCE SR UNSECURED 144A 06/25 4.875         | CUSIP: 58547DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1500000 | PA      | $1380086.24   | 0.05%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                                | MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375         | CUSIP: 58547DAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    700000 | PA      | $562863.00    | 0.02%             | 2029-12-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MERCURY CDO LTD 2004-1A                                                      | MERCURY CDO LTD MRCY 2004 1A A2A 144A                       | CUSIP: 58936RAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6340128 | PA      | $4071446.06   | 0.15%             | 2040-12-08      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M2             | CUSIP: 59020UC37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4464000 | PA      | $3577143.82   | 0.13%             | 2036-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                                          | MFRA TRUST MFRA 2020 NQM1 B1 144A                           | CUSIP: 552754AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6143000 | PA      | $5267297.54   | 0.19%             | 2049-08-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                                          | MFRA TRUST MFRA 2020 NQM1 M1 144A                           | CUSIP: 552754AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1185000 | PA      | $991564.51    | 0.04%             | 2049-08-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                         | MFT TRUST MOFT 2020 ABC C 144A                              | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3251643.30   | 0.12%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                         | MFT TRUST MOFT 2020 ABC D 144A                              | CUSIP: 55317BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7786000 | PA      | $5096256.23   | 0.19%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1              | CUSIP: 007036AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2418781 | PA      | $2099616.81   | 0.08%             | 2035-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-2                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7M2              | CUSIP: 007036CD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576107 | PA      | $1437792.25   | 0.05%             | 2035-02-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-11                                        | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 5A1             | CUSIP: 007036UQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35347 | PA      | $21035.18     | 0.00%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MKP CBO IV LTD                                                               | MKP CBO LTD MKP 4A A1 144A                                  | CUSIP: 553121AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2589866 | PA      | $2578921.46   | 0.09%             | 2040-07-12      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| MKP CBO IV LTD                                                               | MKP CBO LTD MKP 4A A2 144A                                  | CUSIP: 553121AC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  44000000 | PA      | $9239516.00   | 0.34%             | 2040-07-12      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                           | MLCC MORTGAGE INVESTORS INC MLCC 2004 C B1                  | CUSIP: 59020UDS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555693 | PA      | $479103.69    | 0.02%             | 2029-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 7M1              | CUSIP: 007036NH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2133543 | PA      | $1966161.60   | 0.07%             | 2035-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7M1              | CUSIP: 007036QX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1527899 | PA      | $1441149.69   | 0.05%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2003-NC8                                        | MORGAN STANLEY CAPITAL INC MSAC 2003 NC8 B3                 | CUSIP: 61746RDS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543439 | PA      | $1375953.21   | 0.05%             | 2033-09-25      | Floating      | 10.01%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1                 | CUSIP: 617451DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8698000 | PA      | $6498879.44   | 0.24%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP               | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218517 | PA      | $107700.99    | 0.00%             | 2036-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                               | ADLER GROUP SA SR UNSECURED REGS 01/26 1.875                | CUSIP: ACI1TZD42<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |  11300000 | PA      | $4944272.40   | 0.18%             | 2026-01-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                               | ADLER GROUP SA SR UNSECURED REGS 01/29 2.25                 | CUSIP: ACI1TZGC1<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |    700000 | PA      | $254186.26    | 0.01%             | 2029-01-14      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                               | ADLER GROUP SA SR UNSECURED REGS 04/27 2.25                 | CUSIP: ACI1X8QD3<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   7800000 | PA      | $2955725.14   | 0.11%             | 2027-04-27      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                               | ADLER GROUP SA SR UNSECURED REGS 08/25 3.25                 | CUSIP: ACI1PQN37<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   7500000 | PA      | $3335788.23   | 0.12%             | 2025-08-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                               | ADLER GROUP SA SR UNSECURED REGS 11/26 2.75                 | CUSIP: ACI1SQBP8<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | DBT              | CORP              | LU        |   1500000 | PA      | $648290.97    | 0.02%             | 2026-11-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A         | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2310764.25   | 0.08%             | 2034-11-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF E 144A         | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21060000 | PA      | $19304147.77  | 0.71%             | 2034-11-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A         | CUSIP: 61691KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6258000 | PA      | $5715918.27   | 0.21%             | 2034-11-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-SUN                                      | MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN F 144A          | CUSIP: 61691MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7400000 | PA      | $7083280.00   | 0.26%             | 2035-07-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND C 144A         | CUSIP: 61691XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4058225.10   | 0.15%             | 2036-05-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                                         | ADLER REAL ESTATE AG SR UNSECURED REGS 02/24 2.125          | CUSIP: BD3J8HII3<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |  10500000 | PA      | $9975251.21   | 0.37%             | 2024-02-06      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I-2005-HQ7                                            | MORGAN STANLEY CAPITAL I TRUST MSC 2005 HQ7 F               | CUSIP: 617451BX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $3894237.75   | 0.14%             | 2042-11-14      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE7                                          | MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M3                 | CUSIP: 61744CWN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5821581 | PA      | $4796522.58   | 0.18%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                                         | ADLER REAL ESTATE AG SR UNSECURED REGS 04/23 1.875          | CUSIP: BD8ZD2II9<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $995518.03    | 0.04%             | 2023-04-27      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2005-2                                         | MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M6              | CUSIP: 61744CQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5580665 | PA      | $4727930.11   | 0.17%             | 2035-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                                         | ADLER REAL ESTATE AG SR UNSECURED REGS 04/26 3              | CUSIP: BD5N5GII7<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |   4600000 | PA      | $3440692.28   | 0.13%             | 2026-04-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2013-R9                                | MORGAN STANLEY REREMIC TRUST MSRR 2013 R9 3B2 144A          | CUSIP: 61763DAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8287271 | PA      | $6703393.99   | 0.25%             | 2046-06-26      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                                            | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75           | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |   3700000 | PA      | $3195756.10   | 0.12%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO LIMITED)                                              | WM MORRISON EUR TERM LOAN B1                                | CUSIP: 943UASII4<br>LEI: 549300RKU7UEPSC42U63 | Long             | LON              | CORP              | GB        |  22230967 | PA      | $21000965.04  | 0.77%             | 2028-07-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO LIMITED)                                              | WM MORRISON EUR TERM LOAN B2                                | CUSIP: 943UATII2<br>LEI: 549300RKU7UEPSC42U63 | Long             | LON              | CORP              | GB        |  12125982 | PA      | $11455071.83  | 0.42%             | 2028-07-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                      | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A          | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52862 | PA      | $47364.10     | 0.00%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                                  | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                     | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1700000 | PA      | $1925334.82   | 0.07%             | 2046-03-13      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                             | AEGIS ASSET BACKED SECURITIES AABST 2004 3 B2               | CUSIP: 00764MCK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638439 | PA      | $574111.91    | 0.02%             | 2034-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                             | AEGIS ASSET BACKED SECURITIES AABST 2004 6 B1               | CUSIP: 00764MEA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $700809.87    | 0.03%             | 2035-03-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                                | MRCD MORTGAGE TRUST MRCD 2019 PARK G 144A                   | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $8962115.80   | 0.33%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                                | MRCD MORTGAGE TRUST MRCD 2019 PARK J 144A                   | CUSIP: 55348UBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $9976755.60   | 0.37%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PRKC MORTGAGE TRUST                                                | MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A         | CUSIP: 55348UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $4022676.90   | 0.15%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                         | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A        | CUSIP: 55375KAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8006000 | PA      | $5777318.54   | 0.21%             | 2039-09-13      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN CORPORATION                                                        | MULTIPLAN CORP SR UNSECURED 144A 10/27 6                    | CUSIP: 17144CAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10600000 | PA      | $6810500.00   | 0.25%             | 2027-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N-STAR REL CDO VIII LTD 2006-8A                                              | N STAR REAL ESTATE CDO LTD NSTAR 2006 8A B 144A             | CUSIP: 62940FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1234393 | PA      | $1228991.41   | 0.05%             | 2041-02-01      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| NAC AVIATION 29 DESIGNATED ACTIVITY COMPANY                                  | NAC AVIATION 29 DAC 2022 REINSTATD R1 TAKEBCK TLB1          | CUSIP: 943WDYII4<br>LEI: 213800F6E89RCASJ7E83 | Long             | LON              | CORP              | IE        |  34880541 | PA      | $29256054.04  | 1.07%             | 2026-06-30      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE II COMMUTATION TRUST 2005 AR16                           | NATIONAL COLLEGIATE II COMMUTA NCMCT 2005 AR16 AR16         | CUSIP: 63545AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22875000 | PA      | $3651577.43   | 0.13%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE STUDENT LOAN TRUST                                       | NATL COLL STUDENT LOAN ASSET BACKED 144A 06/45 VAR          | CUSIP: 63543NAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $44242.53     | 0.00%             | 2045-06-01      | Fixed         | 7.54%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B D 144A         | CUSIP: 63874EAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $5342829.80   | 0.20%             | 2037-04-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M                       | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M E 144A        | CUSIP: 63874FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $3771071.32   | 0.14%             | 2032-11-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-285M                       | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 285M F 144A        | CUSIP: 63874FAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5333000 | PA      | $4082191.25   | 0.15%             | 2032-11-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-RIVA                       | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 RIVA E 144A        | CUSIP: 63874JAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4987316.00   | 0.18%             | 2033-02-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH                       | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH E 144A        | CUSIP: 63874LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4808039.00   | 0.18%             | 2034-11-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH                       | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH F 144A        | CUSIP: 63874LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825770 | PA      | $1762063.04   | 0.06%             | 2034-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH                       | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH G 144A        | CUSIP: 63874LAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791760 | PA      | $743101.76    | 0.03%             | 2034-11-15      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-10K                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 10K E 144A         | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2850000 | PA      | $2202688.34   | 0.08%             | 2039-05-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI D 144A         | CUSIP: 63875JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4950000 | PA      | $4726943.60   | 0.17%             | 2035-03-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI E 144A         | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9950000 | PA      | $9413381.58   | 0.35%             | 2035-03-15      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORPORATION                                                          | NAVIENT CORP SR UNSECURED 01/25 5.625                       | CUSIP: 78442FDJ4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    139000 | PA      | $125603.90    | 0.00%             | 2025-01-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                             | NEW YORK MORTGAGE TRUST NYMT 2021 SP1 A2 144A               | CUSIP: 62955RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450000 | PA      | $3767896.88   | 0.14%             | 2061-08-25      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL (ENDURANCE INTERNATIONAL GROUP HOLDINGS INC)                 | ENDURANCE INTERNATIONAL SR UNSECURED 144A 02/29 6           | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   9419000 | PA      | $6486865.30   | 0.24%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                              | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |   1378268 | PA      | $641756.04    | 0.02%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                 | REPUBLIC OF NIGERIA SR UNSECURED 144A 09/51 8.25            | CUSIP: 65412JAT0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   4200000 | PA      | $2817738.00   | 0.10%             | 2051-09-28      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                        | NOBLE FINANCE CO SECURED 02/28 11                           | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |    633439 | PA      | $704700.89    | 0.03%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                        | NOBLE FINANCE CO SECURED 144A 02/28 11                      | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |    946458 | PA      | $1052934.53   | 0.04%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                         | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A          | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   8372810 | PA      | $5722086.94   | 0.21%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-HE1                                         | NOMURA HOME EQUITY LOAN INC NHELI 2005 HE1 M6               | CUSIP: 65536HBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2451360.30   | 0.09%             | 2035-09-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-FM1                                         | NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 M1               | CUSIP: 65536HBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11406641 | PA      | $7632246.41   | 0.28%             | 2035-11-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-3R                                        | NOMURA RESECURITIZATION TRUST NMRR 2014 3R 2A8 144A         | CUSIP: 65540LAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265881 | PA      | $227490.14    | 0.01%             | 2035-07-26      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-1R                                        | NOMURA RESECURITIZATION TRUST NMRR 2015 1R 2A8 144A         | CUSIP: 65540TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9458485 | PA      | $7519343.49   | 0.28%             | 2036-10-26      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                             | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M4                    | CUSIP: 66987XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4274279 | PA      | $3671106.71   | 0.13%             | 2036-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                | NPC UKRENERGO GOVT GUARANT 144A 11/28 6.875                 | CUSIP: 63718LAA2<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |   1000000 | PA      | $177975.00    | 0.01%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                | NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875                 | CUSIP: ACI21LG55<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |    800000 | PA      | $142380.00    | 0.01%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL                                      | OI SA TERM LOAN 1                                           | CUSIP: 938VGYII0<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  24655263 | PA      | $8629342.07   | 0.32%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL                                      | OI SA TERM LOAN 2                                           | CUSIP: 938XAMII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  12706698 | PA      | $4447344.23   | 0.16%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                              | OI SA COMPANY GUAR 07/25 VAR                                | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  54838000 | PA      | $9476077.14   | 0.35%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M4              | CUSIP: 68389FJL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5828700 | PA      | $4699317.85   | 0.17%             | 2035-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA FRN 15DEC38 GBP                                        | CUSIP: B1HMYZII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       100 | PA      | $1579954.66   | 0.06%             | 2038-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA PLC ALBA 2006 2 MERC REGS                              | CUSIP: B1HMYYII1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |       100 | PA      | $0.00         | 0.00%             | 2038-12-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| ALBA PLC 2006-2                                                              | ALBA PLC ALBA 2006 2 SUB REGS                               | CUSIP: 991ZCLII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   3491000 | PA      | $3012169.44   | 0.11%             | 2038-12-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| ORIENT POINT CDO LTD                                                         | ORIENT POINT CDO LTD ORPT 2005 1A A1VB 144A                 | CUSIP: 68619MAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  54846869 | PA      | $18345784.06  | 0.67%             | 2045-10-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ORIENT POINT CDO LTD                                                         | ORIENT POINT CDO LTD ORPT 2005 1A A1VF 144A                 | CUSIP: 68619MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  54671639 | PA      | $18287171.33  | 0.67%             | 2045-10-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4               | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2451319.28   | 0.09%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1122506.67   | 0.04%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25              | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2555000 | PA      | $1786950.03   | 0.07%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3732000 | PA      | $2791274.16   | 0.10%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6               | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15183.47     | 0.00%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75              | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     26000 | PA      | $17533.33     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5               | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    368000 | PA      | $261115.86    | 0.01%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                 | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      4000 | PA      | $2692.67      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS + ELECTRIC SR SECURED 06/41 4.2                 | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4400000 | PA      | $3273809.66   | 0.12%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                   | PALISADES CDO LTD PALIS 2004 1A B1 144A                     | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21400000 | PA      | $9199432.00   | 0.34%             | 2039-07-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                   | PALISADES CDO LTD PALIS 2004 1A B2 144A                     | CUSIP: 696399AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $966528.00    | 0.04%             | 2039-07-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                          | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M6                 | CUSIP: 70069FDA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16910354 | PA      | $13384578.97  | 0.49%             | 2034-12-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                          | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M6                 | CUSIP: 70069FEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6027591 | PA      | $4599863.32   | 0.17%             | 2035-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCH1                                          | PARK PLACE SECURITIES INC PPSI 2005 WCH1 M6                 | CUSIP: 70069FFN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730000 | PA      | $1321462.06   | 0.05%             | 2035-01-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| PENNYMAC CORP                                                                | PENNYMAC CORP COMPANY GUAR 03/26 5.5                        | CUSIP: 70932AAF0<br>LEI: EWN0I878407TKQNXZ933 | Long             | DBT              | CORP              | US        |  18075000 | PA      | $14810203.13  | 0.54%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | BONOS DE TESORERIA BONDS 02/29 5.94                         | CUSIP: ACI16QTC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    600000 | PA      | $145076.18    | 0.01%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                  | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    478000 | PA      | $110948.12    | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                  | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $78855.86     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | REPUBLIC OF PERU BONDS REGS 08/40 5.35                      | CUSIP: 715638DC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    148000 | PA      | $29176.67     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94               | CUSIP: P78024AE9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    168000 | PA      | $40621.33     | 0.00%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                    | REPUBLIC OF PERU SR UNSECURED REGS 08/32 6.15               | CUSIP: P78024AF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1740000 | PA      | $403869.73    | 0.01%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                                 | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |  34272000 | PA      | $28673146.49  | 1.05%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                            | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375      | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    440000 | PA      | $21450.00     | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                            | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/24 6          | CUSIP: P7807HAT2<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    650000 | PA      | $33312.50     | 0.00%             | 2024-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                            | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6          | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    430000 | PA      | $20962.50     | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                  | PETROLEOS MEXICANOS COMPANY GUAR REGS 04/27 2.75            | CUSIP: ACI0CBT55<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1500000 | PA      | $1260309.77   | 0.05%             | 2027-04-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PIPER SANDLER COMPANIES                                                      | PIPER SANDLER COS SR UNSECURED 144A 10/23 5.2               | CUSIP: 724078AE0<br>LEI: QUQDBTUSOAKFEVMRMF78 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2874480.00   | 0.11%             | 2023-10-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                                | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A2 144A        | CUSIP: 74143FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $844383.00    | 0.03%             | 2051-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                                | PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25         | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11056000 | PA      | $9359838.67   | 0.34%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                      | PROFRAC SERVICES LLC 2022 DELAYED DRAW TERM LOAN            | CUSIP: 948AYCII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  41178750 | PA      | $40764525.95  | 1.50%             | 2023-03-31      | Floating      | 11.10%                | No            |                  3 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                      | PROFRAC SERVICES LLC 2022 TERM LOAN                         | CUSIP: 945AEHII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  22428594 | PA      | $23213594.53  | 0.85%             | 2025-03-04      | Floating      | 12.10%                | No            |                  3 | On Loan: No      |
| PROJECT ANFORA                                                               | PROJECT ANFORA SENIOR TERM LOAN                             | CUSIP: 938BZJII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  35447345 | PA      | $37041511.61  | 1.36%             | 2026-10-01      | Floating      | 4.13%                 | Yes           |                  3 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                    | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1            | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |  14624979 | PA      | $15320781.70  | 0.56%             | 2026-03-15      | Floating      | 4.94%                 | No            |                  3 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SLU                                          | NEPTUNE QUASAR PPN                                          | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |         1 | PA      | $0.00         | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| ALTICE FINANCING SA                                                          | ALTICE FINANCING SA SR SECURED 144A 08/29 5.75              | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |   9526000 | PA      | $7510659.15   | 0.28%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                        | PROMOTORA DE INFORMACIONES SA 2018 EUR TERM LOAN 2          | CUSIP: 933NSTII1<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |    999276 | PA      | $866435.97    | 0.03%             | 2026-12-31      | Fixed         | 6.15%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                        | PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN | CUSIP: 945BECII5<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |  14067070 | PA      | $13175827.13  | 0.48%             | 2027-06-30      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                        | PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN     | CUSIP: 945BEBII7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |  54110769 | PA      | $49813646.72  | 1.83%             | 2026-12-31      | Floating      | 6.71%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                        | PROMOTORA DE INFORMACIONES SA 2022 EUR TERM LOAN            | CUSIP: 943TQNII1<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   8200000 | PA      | $8689908.98   | 0.32%             | 2026-06-30      | Floating      | 5.00%                 | No            |                  3 | On Loan: No      |
| PROSUS NV                                                                    | PROSUS NV SR UNSECURED 144A 08/32 2.031                     | CUSIP: ACI1PPLN7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $380689.84    | 0.01%             | 2032-08-03      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                           | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: ACI11ZNP4<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |  25911000 | PA      | $84701.62     | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                           | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |  92606000 | PA      | $302723.85    | 0.01%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                     | ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5         | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |  23800000 | PA      | $18198670.00  | 0.67%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                             | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |  29676054 | PA      | $13020368.52  | 0.48%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                             | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4C8<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |  12500000 | PA      | $5484375.00   | 0.20%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                             | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4G9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |  38559062 | PA      | $13013683.39  | 0.48%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD                                | PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A          | CUSIP: 74686PAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2902621 | PA      | $1955150.13   | 0.07%             | 2038-10-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| QUANTUM BIDCO LIMITED                                                        | ADDO AND WINTERBOTHAM GBP TERM LOAN                         | CUSIP: 937ICLII2<br>LEI: 259400QEGOEU126C6775 | Long             | LON              | CORP              | GB        |   7000000 | PA      | $7231588.90   | 0.27%             | 2028-01-29      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                          | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 12A4 144A         | CUSIP: 75524MCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2424998 | PA      | $1083405.06   | 0.04%             | 2037-10-26      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1            | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142919 | PA      | $108921.99    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC3                                     | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC3 M2             | CUSIP: 76112B4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15680215 | PA      | $12376103.84  | 0.45%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                          | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A9              | CUSIP: 761136AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1782284 | PA      | $590023.88    | 0.02%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A                                   | RESIDENTIAL MORTGAGE SECURITIE RMS 32A E 144A               | CUSIP: ACI1PKHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   4150000 | PA      | $4893726.21   | 0.18%             | 2070-06-20      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                          | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25            | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |   1127536 | PA      | $1144521.99   | 0.04%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                          | RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25            | CUSIP: U76673AA7<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |    882979 | PA      | $896280.93    | 0.03%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2020-1A                                               | ROCKFORD TOWER CLO LTD ROCKT 2020 1A SUB 144A               | CUSIP: 77341HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8300000 | PA      | $7455392.25   | 0.27%             | 2032-01-20      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| RR 7 LTD 2019-7A                                                             | RR LTD RRAM 2019 7A SUB 144A                                | CUSIP: 74980CAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $2585655.00   | 0.09%             | 2120-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                                          | REDSTONE HOLDCO 2 LP 2021 2ND LIEN TERM LOAN                | CUSIP: 75774EAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6000000 | PA      | $3041280.00   | 0.11%             | 2029-04-27      | Floating      | 12.11%                | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                                          | REDSTONE HOLDCO 2 LP 2021 TERM LOAN                         | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  11550000 | PA      | $8051967.00   | 0.30%             | 2028-04-27      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   1600000 | PA      | $1016000.00   | 0.04%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1              | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    800000 | PA      | $264000.00    | 0.01%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                 | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   4600000 | PA      | $2921000.00   | 0.11%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                           | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   6399000 | PA      | $6077450.25   | 0.22%             | 2029-04-09      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                          | SAXON ASSET SECURITIES TRUST SAST 2007 3 2M1                | CUSIP: 80557BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21892000 | PA      | $15417252.73  | 0.57%             | 2047-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                                           | SEAGATE HDD CAYMAN COMPANY GUAR 06/29 4.091                 | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $830487.72    | 0.03%             | 2029-06-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1                            | FREDDIE MAC   SCRT SCRT 2018 1 BX                           | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18035536 | PA      | $6719304.96   | 0.25%             | 2057-05-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                            | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                     | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10241167 | PA      | $3823946.33   | 0.14%             | 2059-11-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                            | FREDDIE MAC   SCRT SCRT 2020 2 M 144A                       | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6300000 | PA      | $5365492.02   | 0.20%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                            | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                       | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $5060137.55   | 0.19%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SEAZEN GROUP LIMITED                                                         | SEAZEN GROUP LTD SR SECURED REGS 04/23 6.15                 | CUSIP: ACI1B3VB6<br>LEI: 5493006M8GRAQRCSCD67 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $189500.00    | 0.01%             | 2023-04-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SEAZEN GROUP LIMITED                                                         | SEAZEN GROUP LTD SR SECURED REGS 07/25 4.45                 | CUSIP: ACI1TYCZ7<br>LEI: 5493006M8GRAQRCSCD67 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $140960.00    | 0.01%             | 2025-07-13      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR1                                            | SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2             | CUSIP: 81375WDT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875814 | PA      | $754625.60    | 0.03%             | 2034-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR3                            | SECURITIZED ASSET BACKED RECEI SABR 2005 FR3 M2             | CUSIP: 81375WEV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1456774 | PA      | $1185365.97   | 0.04%             | 2035-04-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 11                                                    | SEQUOIA MORTGAGE TRUST SEMT 11 B1                           | CUSIP: 81744AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179236 | PA      | $134380.27    | 0.00%             | 2032-12-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2B1                      | CUSIP: 81743PBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53242 | PA      | $47128.33     | 0.00%             | 2033-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-4                                                | SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B1                      | CUSIP: 81744FHX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9547 | PA      | $7905.18      | 0.00%             | 2035-10-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-4                                                | SEQUOIA MORTGAGE TRUST SEMT 2005 4 1B2                      | CUSIP: 81744FHY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236727 | PA      | $190674.27    | 0.01%             | 2035-10-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                       | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A           | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8355106.00   | 0.31%             | 2038-05-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                       | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B             | CUSIP: 81879MAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4682503 | PA      | $2741972.46   | 0.10%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A             | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10593245 | PA      | $7857793.71   | 0.29%             | 2039-09-07      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A A2 144A              | CUSIP: 82639RAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16000000 | PA      | $4205520.00   | 0.15%             | 2039-09-07      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                             | SIERRA MADRE FUNDING LTD MADRE 2004 1A B 144A               | CUSIP: 82639RAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10400000 | PA      | $2715419.20   | 0.10%             | 2039-09-07      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2014-A                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A R 144A            | CUSIP: 784456105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15318 | PA      | $618773.03    | 0.02%             | 2045-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15401 | PA      | $4986338.80   | 0.18%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-C                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A            | CUSIP: 78448R106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9980 | PA      | $3281768.18   | 0.12%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A          | CUSIP: 78449VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11268302 | PA      | $14075773.93  | 0.52%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A          | CUSIP: 78449DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15057793 | PA      | $19215995.27  | 0.71%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                      | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7992 | PA      | $11937250.08  | 0.44%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMRT 2022-MINI                                                               | SMRT SMRT 2022 MINI E 144A                                  | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11200000 | PA      | $10262131.04  | 0.38%             | 2039-01-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C                                    | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A          | CUSIP: 83405D108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28500 | PA      | $341207.33    | 0.01%             | 2040-07-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                                    | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A          | CUSIP: 78471C109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4400000 | PA      | $601952.82    | 0.02%             | 2040-09-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFTBANK VISION FUND II                                                      | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |  34658246 | PA      | $33340681.09  | 1.22%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| SOLSTICE ABS CBO LTD 2003-3A                                                 | SOLSTICE ABS CBO LTD SOLST 2003 3A B 144A                   | CUSIP: 83436YAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8661987 | PA      | $4059240.80   | 0.15%             | 2039-03-15      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 M1             | CUSIP: 83612JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25366170 | PA      | $22247029.24  | 0.82%             | 2036-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                                      | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 M1            | CUSIP: 83611MPK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10028820 | PA      | $8581667.18   | 0.31%             | 2036-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                       | SOUTH COAST FUNDING SCF 5A B 144A                           | CUSIP: 84129VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23324731 | PA      | $8570136.04   | 0.31%             | 2039-08-06      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                       | SOUTH COAST FUNDING SCF 5A C1 144A                          | CUSIP: 84129VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  33625412 | PA      | $3362.54      | 0.00%             | 2039-08-06      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| START IRELAND 2019-1                                                         | START LTD. STARR 2019 1 A 144A                              | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   2257162 | PA      | $1929048.27   | 0.07%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                   | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A           | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $126843.22    | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                   | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A           | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $359447.22    | 0.01%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| STATE AGENCY OF ROADS OF UKRAINE                                             | STATE AGE ROADS GOVT GUARANT REGS 06/30 6.25                | CUSIP: ACI1YPKX6<br>LEI: 254900FGEO8P5USHG994 | Long             | DBT              | NUSS              | UA        |   1200000 | PA      | $214428.00    | 0.01%             | 2030-06-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                    | STEENBOK LUX FINCO 2 SARL EUR PIK TERM LOAN A1              | CUSIP: 943ZWJII9<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  42297421 | PA      | $20261570.49  | 0.74%             | 2023-06-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                    | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2     | CUSIP: 935YNTII0<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  87966095 | PA      | $60578521.96  | 2.22%             | 2023-06-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2020-1 PLC 20-1                                    | STRATTON MORTGAGE FUNDING PLC STRA 2020 1 E REGS            | CUSIP: ACI1XPW89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   3000000 | PA      | $3479600.18   | 0.13%             | 2052-03-12      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2X                                              | STRATTON MORTGAGE FUNDING PLC STRA 2021 2X E REGS           | CUSIP: ACI1W7DF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1000000 | PA      | $1179391.39   | 0.04%             | 2060-07-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2X                                              | STRATTON MORTGAGE FUNDING PLC STRA 2021 2X G REGS           | CUSIP: ACI1W8V48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   2000000 | PA      | $2342208.80   | 0.09%             | 2060-07-20      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 M               | CUSIP: 863579GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2041903 | PA      | $1505761.64   | 0.06%             | 2034-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                    | CAESARS ENTERTAINMENT INC COMMON STOCK                      | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |         1 | NS      | $41.60        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS M1II          | CUSIP: 863579ZA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5181277 | PA      | $4844790.15   | 0.18%             | 2035-10-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M5               | CUSIP: 86358ETK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13379182 | PA      | $10259733.34  | 0.38%             | 2035-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-8                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M2               | CUSIP: 86358EXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18869194 | PA      | $14652910.31  | 0.54%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-3                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A6               | CUSIP: 863587AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40000000 | PA      | $15601632.00  | 0.57%             | 2036-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                        | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3            | CUSIP: 86363NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1984060 | PA      | $1584684.84   | 0.06%             | 2047-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF1                                           | STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M6             | CUSIP: 86359BW49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414276 | PA      | $391563.45    | 0.01%             | 2035-02-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A4 144A       | CUSIP: 863613AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7651860 | PA      | $4915992.45   | 0.18%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-OSI                                           | STRUCTURED ASSET SECURITIES CO SASC 2007 OSI A4             | CUSIP: 863619AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2933487 | PA      | $1971877.65   | 0.07%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC1                                      | STRUCTURED ASSET SECURITIES CO SASC 2007 BC1 M1             | CUSIP: 86362PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10319924 | PA      | $8865504.28   | 0.33%             | 2037-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                            | PUG LLC 2021 INCREMENTAL TERM LOAN B                        | CUSIP: 74530DAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4987374 | PA      | $4151988.64   | 0.15%             | 2027-02-12      | Floating      | 8.63%                 | No            |                  3 | On Loan: No      |
| STUBHUB (PUG LLC)                                                            | PUG LLC EUR TERM LOAN B                                     | CUSIP: 74530DAE5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5000000 | PA      | $4121230.55   | 0.15%             | 2027-02-12      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                            | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   8547989 | PA      | $7116200.93   | 0.26%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY CO LTD                                                           | STUDIO CITY CO LTD SR SECURED 144A 02/27 7                  | CUSIP: 86400GAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |   1200000 | PA      | $1123967.05   | 0.04%             | 2027-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                                  | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5           | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |   1400000 | PA      | $1035643.00   | 0.04%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                                  | STUDIO CITY FINANCE LTD COMPANY GUAR REGS 01/29 5           | CUSIP: G85381AG9<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $147949.00    | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A         | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9723500 | PA      | $8959063.71   | 0.33%             | 2034-04-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A         | CUSIP: 78486DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6612000 | PA      | $6267310.49   | 0.23%             | 2034-04-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| SUMMER STREET LTD 2005-1A                                                    | SUMMER STREET LTD SMSTR 2005 1A A1 144A                     | CUSIP: 86565MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  33245576 | PA      | $8434435.78   | 0.31%             | 2045-12-06      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SUNAC CHINA HOLDINGS LIMITED                                                 | SUNAC CHINA HOLDINGS LTD SR SECURED REGS 07/25 7            | CUSIP: ACI1NTG15<br>LEI: 549300OLARYHDXP3WK18 | Long             | DBT              | CORP              | KY        |    300000 | PA      | $65577.27     | 0.00%             | 2025-07-09      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SUNSEEKER ISSUER LLC                                                         | SUNSEEKER TERM LOAN                                         | CUSIP: 943ZJCII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  31800000 | PA      | $30258595.49  | 1.11%             | 2028-10-31      | Fixed         | 5.55%                 | No            |                  3 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                       | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |  61616191 | PA      | $54068207.77  | 1.98%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                        | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A5                | CUSIP: 872224AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $2224587.50   | 0.08%             | 2036-09-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| TDA FTA 28                                                                   | TITULIZACION DE ACTIVOS TDA 28 A REGS                       | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |  27476634 | PA      | $15534685.25  | 0.57%             | 2050-10-28      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                                     | TEAM HEALTH HOLDINGS, INC. 2022 TERM LOAN B                 | CUSIP: 87817JAG3<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |   2863852 | PA      | $2166690.10   | 0.08%             | 2027-03-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                                     | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |  26565076 | PA      | $22845965.39  | 0.84%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                               | TELEMAR NORTE LESTE SA TERM LOAN                            | CUSIP: 938VCRII9<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |    420807 | PA      | $147282.32    | 0.01%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                               | TELEMAR NORTE LESTE SA TERM LOAN 2                          | CUSIP: 938VGTII1<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  35407177 | PA      | $12392512.07  | 0.45%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                               | TELEMAR NORTE LESTE SA TERM LOAN 3                          | CUSIP: 938VGUII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  34173204 | PA      | $11960621.26  | 0.44%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                               | TELEMAR NORTE LESTE SA TERM LOAN 4                          | CUSIP: 938PYRII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  22752885 | PA      | $7963509.79   | 0.29%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                               | TELEMAR NORTE LESTE SA TERM LOAN 5                          | CUSIP: 945BALII9<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  17007853 | PA      | $5952748.49   | 0.22%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-12AL                                              | TERWIN MORTGAGE TRUST TMTS 2005 12AL M1                     | CUSIP: 881561WE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455042 | PA      | $305089.68    | 0.01%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| TERWIN MTGE TRUST 2006-5                                                     | TERWIN MORTGAGE TRUST TMTS 2006 5 1M1 144A                  | CUSIP: 8815612H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10899277 | PA      | $8670340.90   | 0.32%             | 2037-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TEXGEN POWER LLC                                                             | EXGEN TEXAS POWER LLC 2021 2ND LIEN TERM LOAN               | CUSIP: 941VXVII2<br>LEI: 5493003XDLS9LCQ3SY55 | Long             | LON              | CORP              | US        |  36929466 | PA      | $37114113.05  | 1.36%             | 2026-10-08      | Floating      | 10.58%                | No            |                  3 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                                        | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A         | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14197467 | PA      | $13306905.02  | 0.49%             | 2034-11-11      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                                        | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL F 144A         | CUSIP: 88327HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4571283 | PA      | $4305275.85   | 0.16%             | 2034-11-11      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                   | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  89448322 | PA      | $73198245.19  | 2.69%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                   | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6692308 | PA      | $6550129.61   | 0.24%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| TITULIZACION DE ACTIVOS 27                                                   | TITULIZACION DE ACTIVOS TDA 27 A3 REGS                      | CUSIP: E9053PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |  10003425 | PA      | $8286399.87   | 0.30%             | 2050-12-28      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                   | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  36807692 | PA      | $36025712.89  | 1.32%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                         | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1200000 | PA      | $89352.84     | 0.00%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                        | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000            | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        | 100581607 | PA      | $25626282.39  | 0.94%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                        | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2907019 | PA      | $2587072.49   | 0.09%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                        | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  20602948 | PA      | $19583926.19  | 0.72%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TTAN 2021-MHC                                                                | TTAN TTN 2021 MHC E 144A                                    | CUSIP: 87303TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11941629 | PA      | $11271915.80  | 0.41%             | 2038-03-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375            | CUSIP: ACI1J9SD5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |   3304000 | PA      | $658722.50    | 0.02%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                 | UKRAINE GOVERNMENT SR UNSECURED 144A 05/31 6.876            | CUSIP: 90372UAR5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |   5000000 | PA      | $1001575.00   | 0.04%             | 2031-05-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO PLC                                                    | UNIQUE PUB FINANCE CO ASSET BACKED REGS 03/24 7.395         | CUSIP: 565675II8<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |    966619 | PA      | $1167737.51   | 0.04%             | 2024-03-28      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO PLC                                                    | UNIQUE PUB FINANCE CO ASSET BACKED REGS 06/27 5.659         | CUSIP: 743541II7<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |   1004692 | PA      | $1199620.35   | 0.04%             | 2027-06-30      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13648000 | PA      | $13645247.61  | 0.50%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10442000 | PA      | $10410041.63  | 0.38%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                     | ANTHRACITE LTD SER 2004 HY1 CL D 144A                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6278797 | PA      | $117331.87    | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23514000 | PA      | $23439493.29  | 0.86%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16924000 | PA      | $16839941.71  | 0.62%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1193000 | PA      | $1181909.29   | 0.04%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                           | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1523000 | PA      | $1512611.25   | 0.06%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                  | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  31176000 | PA      | $19768053.14  | 0.73%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                  | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875         | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  30602000 | PA      | $29687704.05  | 1.09%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)                           | SIGMA BIDCO B.V. 2018 PLN TERM LOAN B                       | CUSIP: 933XDYII4<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |  31527000 | PA      | $5531715.40   | 0.20%             | 2025-07-02      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | U.S. RENAL CARE, INC. 2019 TERM LOAN B                      | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  64543498 | PA      | $36426736.58  | 1.34%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | US RENAL CARE INC 2021 TERM LOAN B                          | CUSIP: 90290PAQ7<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  15486129 | PA      | $8739984.03   | 0.32%             | 2026-06-26      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                            | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |  60974000 | PA      | $13414280.00  | 0.49%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALE SA                                                                      | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        | 313730000 | PA      | $22654398.88  | 0.83%             | 2049-12-29      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                              | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     65000 | PA      | $6175.00      | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                              | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25          | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    650000 | PA      | $56875.00     | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                              | VERAISON RE LTD UNSECURED 144A 03/31 VAR                    | CUSIP: 92335TAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3100000 | PA      | $3110075.00   | 0.11%             | 2031-03-10      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC                                                               | VERITAS US INC 2021 TERM LOAN B                             | CUSIP: G9341JAN0<br>LEI: 549300RFUWCPWS8FQ104 | Long             | LON              | CORP              | US        |  23775588 | PA      | $16893387.54  | 0.62%             | 2025-09-01      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC / VERITAS BERMUDA LTD                                         | VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5          | CUSIP: 92346LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17700000 | PA      | $12228377.76  | 0.45%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-7                                            | VERUS SECURITIZATION TRUST VERUS 2022 7 M1 144A             | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8341000 | PA      | $7210595.15   | 0.26%             | 2067-07-25      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| VIAD CORP                                                                    | VIAD CORP INITIAL TERM LOAN                                 | CUSIP: 92553BAL7<br>LEI: 549300PXU4ZW7LPO5Y40 | Long             | LON              | CORP              | US        |   6221250 | PA      | $5900482.35   | 0.22%             | 2028-07-30      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                           | VIKING CRUISES LTD SR SECURED 144A 05/25 13                 | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   6287000 | PA      | $6643076.32   | 0.24%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHIP VII LTD                                            | VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625        | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    400000 | PA      | $322520.00    | 0.01%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                                | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |  22311000 | PA      | $17709356.25  | 0.65%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAIKIKI BEACH HOTEL TRUST 2019-WBM                                           | WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM E 144A              | CUSIP: 93065PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $13763455.50  | 0.51%             | 2033-12-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR5                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 B1             | CUSIP: 92922FM39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448557 | PA      | $316786.62    | 0.01%             | 2035-05-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 B1             | CUSIP: 92922FJ74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11571565 | PA      | $8374990.87   | 0.31%             | 2045-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 B1             | CUSIP: 92922FS74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7130024 | PA      | $5014625.01   | 0.18%             | 2045-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CAYENNE AVIATION LLC                                                         | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5         | CUSIP: 942UCF900<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     13205 | NS      | $3543955.85   | 0.13%             |  |  |  | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A1B           | CUSIP: 93363DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7848349 | PA      | $5360963.04   | 0.20%             | 2046-08-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA4                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA4 1A1B           | CUSIP: 93364CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1884680 | PA      | $1022043.78   | 0.04%             | 2047-05-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                | ARGENT SECURITIES INC. ARSI 2005 W2 M3                      | CUSIP: 040104NF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37281092 | PA      | $29183359.51  | 1.07%             | 2035-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                                | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                     | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196367 | PA      | $149845.96    | 0.01%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-JWDR                              | WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 JWDR E 144A        | CUSIP: 95002NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $9313359.00   | 0.34%             | 2031-09-15      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-JS2                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 JS2 G 144A         | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7935000 | PA      | $4777556.38   | 0.18%             | 2039-12-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A         | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7835000 | PA      | $6779642.74   | 0.25%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL D 144A         | CUSIP: 95003WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $3049117.83   | 0.11%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL X 144A         | CUSIP: 95003WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 355000000 | PA      | $4685964.50   | 0.17%             | 2039-12-15      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                         | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M9 144A          | CUSIP: 9497ENAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $226855.83    | 0.01%             | 2035-11-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 B1           | CUSIP: 94982DAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1104039 | PA      | $769816.20    | 0.03%             | 2035-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                                  | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        | 111686684 | PA      | $103030965.99 | 3.78%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WEST MARINE (RISING TIDE HOLDINGS INC)                                       | RISING TIDE HOLDINGS INC 2ND LIEN TERM LOAN                 | CUSIP: 76770EAF4<br>LEI: 254900T03WM6VU0KWL83 | Long             | LON              | CORP              | US        |   2779000 | PA      | $1042125.00   | 0.04%             | 2029-05-25      | Floating      | 12.98%                | No            |                  3 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                             | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   8561873 | PA      | $6656856.49   | 0.24%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| WHLN - SV PORTFOLIO                                                          | PREYLOCK REITMAN SANTA CRUZ TERM LOAN                       | CUSIP: 933BWMII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   7900000 | PA      | $7834712.03   | 0.29%             | 2023-11-09      | Floating      | 9.94%                 | Yes           |                  3 | On Loan: No      |
| WHLN LOAN                                                                    | FOREST PARK II WHLN0ERP1                                    | CUSIP: 938SYJII0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    303120 | PA      | $305593.01    | 0.01%             | 2024-12-11      | Fixed         | 5.78%                 | No            |                  3 | On Loan: No      |
| WHLN LOAN                                                                    | MONTGOMERY PLAZA APARTMENTS FIXED TERM LOAN                 | CUSIP: 938XCWII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    339268 | PA      | $342306.13    | 0.01%             | 2024-11-11      | Fixed         | 5.90%                 | No            |                  3 | On Loan: No      |
| WHLN LOAN                                                                    | WALGREENS AUBURN FIXED TERM LOAN                            | CUSIP: 938XCUII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    856814 | PA      | $856046.60    | 0.03%             | 2025-03-01      | Fixed         | 5.89%                 | No            |                  3 | On Loan: No      |
| WHLN LOAN                                                                    | WALGREENS MAGNOLIA WHLN0MAG1                                | CUSIP: 938SYFII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    624754 | PA      | $661330.91    | 0.02%             | 2030-03-06      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| WHLN-2018-TOCU4                                                              | WHLN92622 WHLN RTL PFLX                                     | CUSIP: 964EJZII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5844211 | PA      | $5778835.90   | 0.21%             | 2023-06-01      | Fixed         | 8.00%                 | Yes           |                  3 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                                   | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B               | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |   6954692 | PA      | $6325292.10   | 0.23%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                                   | WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN          | CUSIP: 948CQMII5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |  29490000 | PA      | $28133790.88  | 1.03%             | 2027-02-28      | Floating      | 8.42%                 | No            |                  3 | On Loan: No      |
| WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)                               | WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75            | CUSIP: 97382WAA1<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |  37049000 | PA      | $30276082.31  | 1.11%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                   | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $9541884.80   | 0.35%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                               | WORLDWIDE PLAZA TRUST WPT 2017 WWP F 144A                   | CUSIP: 98162JAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2465000 | PA      | $1404668.66   | 0.05%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                           | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                  | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   7400000 | PA      | $6800008.00   | 0.25%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                           | WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625                | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   7700000 | PA      | $6593471.50   | 0.24%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                           | WYNN MACAU LTD SR UNSECURED 144A 10/27 5.5                  | CUSIP: 98313RAD8<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   1700000 | PA      | $1488639.00   | 0.05%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                           | WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125                | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $324290.00    | 0.01%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                           | WYNN MACAU LTD SR UNSECURED REGS 01/26 5.5                  | CUSIP: G98149AG5<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   7100000 | PA      | $6524332.00   | 0.24%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                           | WYNN MACAU LTD SR UNSECURED REGS 08/28 5.625                | CUSIP: G98149AH3<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $171259.00    | 0.01%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                         | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1           | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   9717582 | PA      | $8835711.18   | 0.32%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                         | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   7827000 | PA      | $7081008.63   | 0.26%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YOSEMITE RE LTD                                                              | YOSEMITE RE LTD UNSECURED 144A 06/25 VAR                    | CUSIP: 98740RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3730000 | PA      | $3594414.50   | 0.13%             | 2025-06-06      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                              | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |     24558 | NS      | $566798.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -481869 | PA      | $-516162.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -6442145 | PA      | $-6901253.17  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -15724306 | PA      | $-15984827.34 | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -52010677 | PA      | $-52623224.17 | -1.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -20670156 | PA      | $-20983340.22 | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -16873554 | PA      | $-17021783.36 | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | BONCER BONDS 03/23 1.4                                      | CUSIP: ACI1L3HY1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        | 380319345 | PA      | $1159776.07   | 0.04%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | FIXED INC CLEARING CORP.REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   7992000 | PA      | $7992000.00   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | NOMURA REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -3520757 | PA      | $-3777243.05  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000                   | CUSIP: ACI28ZVJ0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  49914383 | PA      | $151655.07    | 0.01%             | 2023-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4509617 | PA      | $-4525431.83  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7698228 | PA      | $-7725492.89  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1601364 | PA      | $-1602203.83  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14804010 | PA      | $-14846711.34 | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3689626 | PA      | $-3722036.91  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -13001329 | PA      | $-13198768.63 | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3013582 | PA      | $-3057459.89  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -43759946 | PA      | $-44418095.09 | -1.63%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -49396715 | PA      | $-50160267.86 | -1.84%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -407151 | PA      | $-412669.48   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -13139101 | PA      | $-13278699.62 | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4211336 | PA      | $-4266462.80  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -53885875 | PA      | $-54078906.32 | -1.98%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BILLS 06/23 0.00000                   | CUSIP: ACI28R8F2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    755316 | PA      | $2271.16      | 0.00%             | 2023-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MORGAN STANLEY                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -6763984 | PA      | $-7267859.37  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATIXIS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |  -2796666 | PA      | $-3001065.30  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATIXIS SECURITIE REVERSE REPO                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -1442282 | PA      | $-1757202.71  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -624010 | PA      | $-628946.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2767317 | PA      | $-2793156.74  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1574183 | PA      | $-1579821.95  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2868474 | PA      | $-2901874.69  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -17304199 | PA      | $-17430778.84 | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -38672165 | PA      | $-39181993.04 | -1.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8274769 | PA      | $-8385156.71  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -15375500 | PA      | $-15585439.65 | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5129680 | PA      | $-5185028.98  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8741132 | PA      | $-8836456.35  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4315261 | PA      | $-4363689.27  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7791336 | PA      | $-7899144.28  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2332567 | PA      | $-2346849.61  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -24175577 | PA      | $-24423284.81 | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8477485 | PA      | $-8556443.36  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -21395759 | PA      | $-21574104.53 | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3743715 | PA      | $-3772999.17  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -35700189 | PA      | $-36100308.98 | -1.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3272914 | PA      | $-3309188.69  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7640479 | PA      | $-7727746.24  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -1121594 | PA      | $-1368478.09  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPOS                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -806328 | PA      | $-979929.34   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -999832 | PA      | $-1073949.82  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1760269 | PA      | $-1891308.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REV REPO STANDARD CHARTERED BA ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -304820 | PA      | $-326952.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | FIRST BOSTON REVERSE REPO EUR 05/40 VAR                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        | -18636765 | PA      | $-20074760.91 | -0.74%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    969945 | PA      | $226724.64    | 0.01%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | HSBC REVERSE REPO EUR ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -2733887 | PA      | $-2931553.96  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -4001226 | PA      | $-4293428.20  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        | -20686587 | PA      | $-22195779.17 | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -3408530 | PA      | $-3650629.54  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1431341 | PA      | $-1538404.59  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1516344 | PA      | $-1629461.28  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -3493140 | PA      | $-3742112.91  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -3586122 | PA      | $-3841791.78  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |   -737075 | PA      | $-789001.56   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |  -1652657 | PA      | $-1769085.85  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |  -1044609 | PA      | $-1119872.67  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |  -1437242 | PA      | $-1538494.97  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |  -8787711 | PA      | $-9415327.68  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -3218714 | PA      | $-3458184.62  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -5033553 | PA      | $-5400613.12  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CITIGROUP REVERSE REPO                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8233838 | PA      | $-8305631.77  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1486937 | PA      | $-1492993.67  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4611172 | PA      | $-4627657.44  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -12223264 | PA      | $-12350711.90 | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11552766 | PA      | $-11683934.90 | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3010056 | PA      | $-3029665.68  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5528389 | PA      | $-5553592.31  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5376757 | PA      | $-5376757.24  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -695855 | PA      | $-705525.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -714458 | PA      | $-722559.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -13481118 | PA      | $-13629687.19 | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -13592000 | PA      | $-13740605.86 | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -55687010 | PA      | $-56304717.87 | -2.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -45842007 | PA      | $-46336642.42 | -1.70%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6980363 | PA      | $-7053656.80  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -29091782 | PA      | $-29380841.57 | -1.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -34769237 | PA      | $-35367702.15 | -1.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -25886421 | PA      | $-26127107.42 | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -12451896 | PA      | $-12555004.29 | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11626363 | PA      | $-11719140.93 | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -25772435 | PA      | $-25966086.21 | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -83622535 | PA      | $-84239436.89 | -3.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1715625 | PA      | $-1742548.59  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -361161 | PA      | $-362000.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4148095 | PA      | $-4188746.61  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -888787 | PA      | $-896125.77   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8464641 | PA      | $-8537709.34  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -64126849 | PA      | $-64313394.99 | -2.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO DEUTSCHE REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -25681976 | PA      | $-25757327.31 | -0.95%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5415997 | PA      | $-5485909.76  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -16822021 | PA      | $-16934541.50 | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -18663135 | PA      | $-18818847.59 | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3691508 | PA      | $-3748830.46  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -365294 | PA      | $-366143.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2399693 | PA      | $-2405332.28  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2902167 | PA      | $-2909059.64  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -210313 | PA      | $-210812.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -815352 | PA      | $-822079.89   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2380154 | PA      | $-2397674.64  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4957637 | PA      | $-4957636.65  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1200723 | PA      | $-1210222.05  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7755332 | PA      | $-7820545.72  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -171282 | PA      | $-173056.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1643435 | PA      | $-1659890.27  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7891400 | PA      | $-7962338.51  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1569544 | PA      | $-1577502.07  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3925769 | PA      | $-3952486.48  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4326645 | PA      | $-4356502.30  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1480618 | PA      | $-1491238.35  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3147428 | PA      | $-3178547.67  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2041453 | PA      | $-2050247.17  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1346520 | PA      | $-1362187.18  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -658355 | PA      | $-665805.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5843898 | PA      | $-5893517.39  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2246541 | PA      | $-2263764.73  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -15940 | PA      | $-16052.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -13802504 | PA      | $-13931005.23 | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8660628 | PA      | $-8721009.21  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -791046 | PA      | $-801318.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -493752 | PA      | $-497921.46   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6482202 | PA      | $-6535172.86  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -18467268 | PA      | $-18670890.09 | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -826478 | PA      | $-833130.70   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2231048 | PA      | $-2255480.67  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7716321 | PA      | $-7796879.36  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8016567 | PA      | $-8109187.95  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8010000 | PA      | $-8074123.10  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1657441 | PA      | $-1674084.65  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1105371 | PA      | $-1110403.34  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8459765 | PA      | $-8590087.35  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -16751276 | PA      | $-16895295.50 | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1671849 | PA      | $-1686302.51  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -668778 | PA      | $-673813.90   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9376410 | PA      | $-9441393.47  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4001806 | PA      | $-4029818.64  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10671011 | PA      | $-10745708.08 | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1576284 | PA      | $-1594091.63  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -12114895 | PA      | $-12219245.13 | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -24219393 | PA      | $-24429820.17 | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2623394 | PA      | $-2646305.08  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -61690498 | PA      | $-62144223.72 | -2.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1943025 | PA      | $-1957440.23  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -92106 | PA      | $-92317.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7520000 | PA      | $-7621776.93  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2187000 | PA      | $-2216930.31  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1961702 | PA      | $-1988846.40  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2207734 | PA      | $-2233490.91  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -829770 | PA      | $-838436.25   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11775400 | PA      | $-11898776.48 | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2507995 | PA      | $-2532911.56  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5771305 | PA      | $-5818077.94  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6160000 | PA      | $-6208655.44  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -33919199 | PA      | $-33919199.51 | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7178000 | PA      | $-7230004.61  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6951896 | PA      | $-7010488.89  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -24838479 | PA      | $-25092880.60 | -0.92%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO/F. H. DEACON HOD 12/15 FIXED 2.079             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14813993 | PA      | $-14953985.30 | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | HSBC REPO                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        | 150000000 | PA      | $150000000.00 | 5.51%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1209000 | PA      | $282603.75    | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO GBP ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -1258985 | PA      | $-1530588.39  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO GBP ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -3660804 | PA      | $-4448550.36  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | DEUTSCHE REVERSE REPO GBP ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -2535018 | PA      | $-3076849.09  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | JPM CHASE REVERSE REPO GBP ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -1165235 | PA      | $-1419553.48  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REV REPO CREDIT AGRICOLE CIB ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -1389508 | PA      | $-1689457.36  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO STANDARD CHARTERE                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -2852396 | PA      | $-3477780.23  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 10/23 16                        | CUSIP: ACI0QD0C2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    868000 | PA      | $1779.15      | 0.00%             | 2023-10-17      | Fixed         | 16.00%                | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                      | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  47041000 | PA      | $41101.87     | 0.00%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -12671829 | PA      | $-12679643.67 | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -881468 | PA      | $-894125.48   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1953917 | PA      | $-1979765.59  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2325795 | PA      | $-2355986.03  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6890940 | PA      | $-6973883.95  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -12567613 | PA      | $-12699677.56 | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1418555 | PA      | $-1430458.25  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1654065 | PA      | $-1666852.76  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3509471 | PA      | $-3536160.88  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1449870 | PA      | $-1459084.44  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1611324 | PA      | $-1621618.57  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -794138 | PA      | $-795360.59   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2117700 | PA      | $-2120206.27  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -17110 | PA      | $-17254.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -582557 | PA      | $-587835.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8547961 | PA      | $-8623367.96  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1099582 | PA      | $-1108251.97  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2635773 | PA      | $-2656639.56  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6490815 | PA      | $-6521833.82  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1836601 | PA      | $-1851335.03  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4790889 | PA      | $-4827720.21  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3617355 | PA      | $-3656180.97  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2586031 | PA      | $-2602552.87  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -10247344 | PA      | $-10319360.05 | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1693100 | PA      | $-1706137.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3489516 | PA      | $-3489516.43  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5336438 | PA      | $-5350125.46  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1508331 | PA      | $-1519442.75  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                               | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    948754 | PA      | $253791.70    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3350822 | PA      | $-3383685.94  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5964491 | PA      | $-6012057.65  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2621482 | PA      | $-2647192.45  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4649844 | PA      | $-4691917.76  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -40553739 | PA      | $-41189621.24 | -1.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -17636715 | PA      | $-17836382.10 | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2782610 | PA      | $-2813757.18  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11442222 | PA      | $-11575237.83 | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9716186 | PA      | $-9832780.35  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -35947 | PA      | $-36305.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2076862 | PA      | $-2103084.48  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5486660 | PA      | $-5541933.91  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2662258 | PA      | $-2682025.53  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $9857.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-8530.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20230214                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $33335.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT ZAR SOLD USD 20230512                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $11859.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CAD BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $161584.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-19267.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-102706.06   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-65593.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-56680.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-33372.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-280269.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-13687.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $65765.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $13212.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $66720.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-18834.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-6575.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-50662.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT CNY SOLD USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $726.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $9005.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $19501.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT INR SOLD USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-151.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT MXN SOLD USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $37375.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-209074.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $45617.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $25494.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $188697.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $302979.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $316605.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                          | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A             | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15356000 | PA      | $14089226.74  | 0.52%             | 2035-04-15      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-KEYS                                          | ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS D 144A             | CUSIP: 04410CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7750000 | PA      | $7327485.50   | 0.27%             | 2035-06-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5             | CUSIP: 04542BKW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5505399 | PA      | $4300196.74   | 0.16%             | 2035-03-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT MXN SOLD USD 20230509                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $189252.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PEN SOLD USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $8131.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PEN SOLD USD 20230427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $51856.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD BRL BOUGHT USD 20230202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-48626.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-13841661.19 | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD PEN BOUGHT USD 20230410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-173294.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | CLEAR CHANNEL OUTDOOR HOL TL TRS BKL BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $227091.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | DIAMOND SPORTS GROUP LLC TL TRS BKL BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-244353.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT PEN SOLD USD 20230503                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $607835.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD CNH BOUGHT USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-38308.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-517.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD PEN BOUGHT USD 20230510                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-338768.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD PLN BOUGHT USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-878356.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20230512                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $6750.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | GUARANTEED RATE INC WTS 7214419C9                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      1361 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                       | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A          | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44935689 | PA      | $40258706.10  | 1.48%             | 2036-12-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM                                       | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2018 ATRM E 144A          | CUSIP: 04965KAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16369000 | PA      | $15110819.73  | 0.55%             | 2035-06-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | TRS YJL 01/28/36 MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CN        |         1 | NC      | $1524286.69   | 0.06%             |  |  |  | No            |                  3 | On Loan: No      |
| AUSTIN FAIRMONT HOTEL TRUST 2019-FAIR                                        | AUSTIN FAIRMONT HOTEL TRUST AFHT 2019 FAIR E 144A           | CUSIP: 05223HAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3321886.75   | 0.12%             | 2032-09-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     69990 | NC      | $524925.00    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | INTELSAT JACKSON HOLDINGS S A RIGHTS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     70515 | NC      | $475976.25    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       328 | NC      | $656.02       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      1073 | NC      | $3755.45      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                          | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-204031.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-2432973.00  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $8344.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT IDR SOLD USD 20230214                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $192.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | BOUGHT ZAR SOLD USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $10483.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-91401.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-23781.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | SOLD ZAR BOUGHT USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-5136.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | MSC 2005-HQ7 F BP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $3604112.25   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOCA CLO XIII  13X                                                          | AVOCA CLO AVOCA 13X SUB REGS                                | CUSIP: ACI0B8BB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   2250000 | PA      | $1089706.28   | 0.04%             | 2034-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  DEC23 XCME 20240319                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -122 | NC      | $570797.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  DEC24 XCME 20250318                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -63 | NC      | $181973.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -68 | NC      | $182456.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  JUN24 XCME 20240917                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -80 | NC      | $281032.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -64 | NC      | $175181.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  MAR24 XCME 20240618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -106 | NC      | $432957.97    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  MAR25 XCME 20250617                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -58 | NC      | $162349.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -64 | NC      | $170260.45    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  SEP24 XCME 20241217                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -74 | NC      | $229264.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -53 | NC      | $142007.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BALLYROCK CLO LTD 2018-1A                                                    | BALLYROCK LTD BALLY 2018 1A SUB 144A                        | CUSIP: 05875EAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  29803000 | PA      | $8387157.58   | 0.31%             | 2031-04-20      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO Flexible Credit Income Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer