# EDGAR Filing Document

**Accession Number:** 0000277751
**File Stem:** 0001741773-23-000794
**Filing Date:** 2023-3
**Character Count:** 233364
**Document Hash:** 19b01fb9633d51eee3f5194878e33d6c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001741773-23-000794.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001741773-23-000794

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JANUS INVESTMENT FUND
- **CENTRAL INDEX KEY:** 0000277751
- **IRS NUMBER:** 840592523
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-01879
- **FILM NUMBER:** 23691577

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** JANUS FUND /MD/
- **DATE OF NAME CHANGE:** 19870701

## Series and Classes Contracts Data

### Janus Henderson Multi-Sector Income Fund (Series ID: S000044285)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000137958 | Class A      | JMUAX           |
| C000137959 | Class C      | JMUCX           |
| C000137960 | Class D      | JMUDX           |
| C000137961 | Class I      | JMUIX           |
| C000137962 | Class N      | JMTNX           |
| C000137963 | Class S      | JMUSX           |
| C000137964 | Class T      | JMUTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JANUS INVESTMENT FUND

- **b. Investment Company Act file number:** 811-01879

- **c. CIK number of Registrant:** 0000277751

- **d. LEI of Registrant:** W6UYDZFUOFJ4HQQ32382

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

  - **Street Address 1:** 151 DETROIT STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 3033333863

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

- **a. Name of Series:** Janus Henderson Multi-Sector Income Fund

- **b. EDGAR series identifier (if any):** S000044285

- **c. LEI of Series:** 549300WARVMK66TM8315

**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:** $3415589258.00

**Total Liabilities:** $738856589.00

**Net Assets:** $2676732669.00

**Delayed Delivery Securities:** $35015813.18

**Cash Not Reported:** $31031534.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1723.51769 | **1-Year:** -53216.29144 | **5-Year:** -415187.33083 | **10-Year:** -214517.927 | **30-Year:** -2323.34585

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

- **3-Month:** -6289.61692 | **1-Year:** -134860.64708 | **5-Year:** -320660.21608 | **10-Year:** -43756.80833 | **30-Year:** -60.73743

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000137958 | 0.16%                | 2.68%                | -1.23%               |
| Class ID C000137959 | 0.12%                | 2.49%                | -1.29%               |
| Class ID C000137960 | 0.17%                | 2.57%                | -1.22%               |
| Class ID C000137961 | 0.18%                | 2.70%                | -1.22%               |
| Class ID C000137962 | 0.18%                | 2.71%                | -1.21%               |
| Class ID C000137963 | 0.26%                | 2.54%                | -1.25%               |
| Class ID C000137964 | 0.28%                | 2.56%                | -1.23%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $20907517.00             | $-28881221.00                              |
| Month 2  | $-11943940.00            | $68219465.00                               |
| Month 3  | $-68226424.00            | $38908667.00                               |

**Designated Index Information**

- **Index Name:** 55%Bloomberg US Corp High Yld Bond/25%Bloomberg US Corp/20%Bloomberg Securitized

- **Index Identifier:** INTRNL-1465165005

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                  | Royal Bank of Canada                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |    1678388 | PA      | $1678388.00   | 0.06%             | 2023-01-03      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Janus Capital Group Inc              | Janus Henderson Cash Liquidity Fund                                             | CUSIP: N/A<br>LEI: 8T2ZO87FU1KVPZIG9I59       | Long             | EC               | PF                | US        |   66164580 | NS      | $66177813.00  | 2.47%             |  |  |  | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund | Janus Henderson Cash Collateral Fund                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | PF                | US        |    6393630 | NS      | $6393630.00   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Clarivate PLC                        | Clarivate Analytics PLC                                                         | CUSIP: G21810109<br>LEI: 549300WDHIIODXFO0R55 | Long             | EC               | CORP              | US        |       4217 | NS      | $35170.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BECTON DICKINSON AND CO              | Becton Dickinson and Co                                                         | CUSIP: 075887406<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EP               | CORP              | US        |      59700 | NS      | $2990970.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured       | Castlelake Aircraft Securitization Trust 2018-1                                 | CUSIP: 12563AAA9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    1000000 | NS      | $130000.00    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                 | Chart Industries Inc                                                            | CUSIP: 16115Q407<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | EP               | CORP              | US        |     154237 | NS      | $7804392.00   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr       | Sofi Professional Loan Program 2018-C Trust                                     | CUSIP: 78490D104<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      58000 | NS      | $717367.00    | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Project Silver                       | Project Silver                                                                  | CUSIP: 82774HAA2<br>LEI: N/A                  | Long             | EP               | CORP              | KY        |    1500000 | NS      | $225000.00    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Progr       | Sofi Professional Loan Program 2018-D Trust                                     | CUSIP: 83401A108<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      76000 | NS      | $540003.00    | 0.02%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Progr       | SoFi Professional Loan Program 2017-F LLC                                       | CUSIP: 83401B106<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      35000 | NS      | $453453.00    | 0.02%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Progr       | SoFi Professional Loan Program 2017-E LLC                                       | CUSIP: 83404K103<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      25000 | NS      | $264138.00    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Progr       | SoFi Professional Loan Program 2019-B LLC                                       | CUSIP: 83404W107<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      70900 | NS      | $735120.00    | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Social Professional Loan Progr       | SoFi Professional Loan Program 2020-A Trust                                     | CUSIP: 83406T102<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      34000 | NS      | $994231.00    | 0.04%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Lim       | Thunderbolt III Aircraft Lease Ltd                                              | CUSIP: 88607BAA5<br>LEI: N/A                  | Long             | EP               | CORP              | KY        |    5000000 | NS      | $300000.00    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2019-3                                             | CUSIP: 91678W109<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       8250 | NS      | $371250.00    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Boardriders Inc                      | Quiksilver Inc                                                                  | CUSIP: N/A<br>LEI: 54930013HYANWRQLRU09       | Long             | EP               | CORP              | US        |      12688 | NS      | $10785.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Start Ltd.                           | START Ireland                                                                   | CUSIP: 85572H101<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | EP               | CORP              | BM        |    1500000 | NS      | $300000.00    | 0.01%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Lim       | Thunderbolt II Aircraft Lease Ltd                                               | CUSIP: 88606X100<br>LEI: N/A                  | Long             | EP               | CORP              | KY        |         10 | NS      | $64535.00     | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| ALLEGION US HOLDING CO               | ALLE 5.411 07/01/32                                                             | CUSIP: 01748TAC5<br>LEI: 5493002B66JX7J7SXI33 | Long             | DBT              | CORP              | US        |    3264000 | PA      | $3160579.00   | 0.12%             | 2032-07-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                     | Allied Universal Holdco LLC / Allied Universal Finance Corp                     | CUSIP: 019576AC1<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |    4949000 | PA      | $3591784.00   | 0.13%             | 2029-06-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER              | American Electric Power Co Inc                                                  | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    5517000 | PA      | $4298329.00   | 0.16%             | 2062-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD             | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAF9<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |    4624000 | PA      | $4572494.00   | 0.17%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                     | Arches Buyer Inc                                                                | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |   13357000 | PA      | $10446528.00  | 0.39%             | 2028-06-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA             | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAN0<br>LEI: 6354001JXMLKNZDZR978 | Long             | DBT              | CORP              | N/A       |    7429000 | PA      | $6435023.00   | 0.24%             | 2026-08-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING               | AMPBEV 6 06/15/27 144A                                                          | CUSIP: 03969YAC2<br>LEI: 635400YUJMWFYRBL5293 | Long             | DBT              | CORP              | N/A       |    6486000 | PA      | $6349439.00   | 0.24%             | 2027-06-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6997000 | PA      | $6400175.00   | 0.24%             | 2033-04-27      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                 | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5784000 | PA      | $5649006.00   | 0.21%             | 2028-07-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP               | Bank of New York Mellon Corp                                                    | CUSIP: 064058AH3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    1880000 | PA      | $1805044.00   | 0.07%             | 2099-12-31      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| BELLRING BRANDS INC                  | BellRing Brands Inc                                                             | CUSIP: 07831CAA1<br>LEI: 549300S3BOK5CMTS8054 | Long             | DBT              | CORP              | US        |    8455000 | PA      | $8135824.00   | 0.30%             | 2030-03-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BLOCK COMMUNICATIONS INC             | Block Communications Inc                                                        | CUSIP: 093645AJ8<br>LEI: M5G68A9OHJWIL4SFC742 | Long             | DBT              | CORP              | US        |    7120000 | PA      | $6212200.00   | 0.23%             | 2028-03-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC             | Broadstone Net Lease LLC                                                        | CUSIP: 11135EAA2<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2150663.00   | 0.08%             | 2031-09-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                    | Brown & Brown Inc                                                               | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    3613000 | PA      | $2748892.00   | 0.10%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                    | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    3218000 | PA      | $2612128.00   | 0.10%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC             | BLDR 6.375 06/15/32 144A                                                        | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    5996000 | PA      | $5631720.00   | 0.21%             | 2032-06-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN             | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAA7<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |    4962000 | PA      | $4409280.00   | 0.17%             | 2028-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN             | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |    4025000 | PA      | $3581633.00   | 0.13%             | 2030-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| CMS ENERGY CORP                      | CMS Energy Corp                                                                 | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    3354000 | PA      | $2901073.00   | 0.11%             | 2050-06-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL HLDGS BM LTD                | CARNIVAL HLDGS BM LTD                                                           | CUSIP: 14366RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3695796.00   | 0.14%             | 2028-05-01      | Fixed         | 10.38%                | Yes           |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC             | Celanese US Holdings LLC                                                        | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    1443000 | PA      | $1402079.00   | 0.05%             | 2029-07-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC             | Celanese US Holdings LLC                                                        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    2119000 | PA      | $2015059.00   | 0.07%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                         | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   10622000 | PA      | $8979520.00   | 0.34%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                 | Chart Industries Inc                                                            | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    6520000 | PA      | $6554491.00   | 0.24%             | 2030-01-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                 | Chart Industries Inc                                                            | CUSIP: 16115QAG5<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    2717000 | PA      | $2786582.00   | 0.10%             | 2031-01-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP             | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    3025000 | PA      | $2588369.00   | 0.10%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | Citigroup Inc                                                                   | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5310000 | PA      | $4526775.00   | 0.17%             | 2099-12-31      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                  | Coinbase Global Inc                                                             | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |   10595000 | PA      | $5102678.00   | 0.19%             | 2031-10-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC             | Corebridge Financial Inc                                                        | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    7503000 | PA      | $6933032.00   | 0.26%             | 2052-12-15      | Variable      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| DT MIDSTREAM INC                     | DT Midstream Inc                                                                | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7432000 | PA      | $6384906.00   | 0.24%             | 2029-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS              | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    3072000 | PA      | $2433759.00   | 0.09%             | 2030-10-01      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| ENLINK MIDSTREAM LLC                 | EnLink Midstream LLC                                                            | CUSIP: 29336TAC4<br>LEI: 54930000GY1H533OBE23 | Long             | DBT              | CORP              | US        |    6693000 | PA      | $6375071.00   | 0.24%             | 2028-01-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER             | EnLink Midstream Partners LP                                                    | CUSIP: 29336UAH0<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |    7858000 | PA      | $6484210.00   | 0.24%             | 2099-12-31      | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| FTAI INFRA ESC HLDGS LLC             | FTAI Infra Escrow Holdings LLC                                                  | CUSIP: 30327TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11252000 | PA      | $11305334.00  | 0.42%             | 2027-06-01      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| FIRSTCASH INC                        | FirstCash Inc                                                                   | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    5664000 | PA      | $5041328.00   | 0.19%             | 2030-01-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FIRSTCASH INC                        | FirstCash Inc                                                                   | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    5509000 | PA      | $4836686.00   | 0.18%             | 2028-09-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC             | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9222300.00   | 0.34%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST             | Fortress Transportation and Infrastructure Investors LLC                        | CUSIP: 34960PAB7<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |    2318000 | PA      | $2179393.00   | 0.08%             | 2025-10-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST             | Fortress Transportation and Infrastructure Investors LLC                        | CUSIP: 34960PAC5<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |    3509000 | PA      | $3517773.00   | 0.13%             | 2027-08-01      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC               | Full House Resorts Inc                                                          | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   10378000 | PA      | $9187747.00   | 0.34%             | 2028-02-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: —       |
| GLP CAPITAL LP / FIN II              | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AQ2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    3218000 | PA      | $2760400.00   | 0.10%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC               | GEHC 5.857 03/15/30 144A                                                        | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    9379000 | PA      | $9598110.00   | 0.36%             | 2030-03-15      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                  | General Electric Co                                                             | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    6854000 | PA      | $6733661.00   | 0.25%             | 2099-12-31      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| GLOBAL NET LEASE/GLOBAL              | Global Net Lease Inc / Global Net Lease Operating Partnership LP                | CUSIP: 37892AAA8<br>LEI: 549300NUYANCT5SU8Z65 | Long             | DBT              | CORP              | US        |    8400000 | PA      | $6946104.00   | 0.26%             | 2027-12-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| HLF FIN SARL LLC/HERBALI             | HLF Financing Sarl LLC / Herbalife International Inc                            | CUSIP: 40390DAC9<br>LEI: ST81INWBFR1E54KGC135 | Long             | DBT              | CORP              | US        |    7721000 | PA      | $5317993.00   | 0.20%             | 2029-06-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| HADRIAN MERGER SUB                   | Hadrian Merger Sub Inc                                                          | CUSIP: 42239PAA7<br>LEI: 5493008FRC0GRKBN1075 | Long             | DBT              | CORP              | US        |    9876000 | PA      | $8690880.00   | 0.33%             | 2026-05-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION             | Hess Midstream Operations LP                                                    | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5561000 | PA      | $4754216.00   | 0.18%             | 2030-02-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY              | HOWMID 6.75 01/15/27 144A                                                       | CUSIP: 442722AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10438000 | PA      | $10005304.00  | 0.37%             | 2027-01-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA INC                         | Illumina Inc                                                                    | CUSIP: 452327AP4<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    6508000 | PA      | $6589060.00   | 0.25%             | 2027-12-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC               | IPALCO Enterprises Inc                                                          | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    4008000 | PA      | $3560600.00   | 0.13%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                    | Iron Mountain Inc                                                               | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    9546000 | PA      | $8326021.00   | 0.31%             | 2029-09-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3163000 | PA      | $2574373.00   | 0.10%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1146000 | PA      | $1060925.00   | 0.04%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JELD-WEN INC                         | JELD-WEN Inc                                                                    | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Long             | DBT              | CORP              | US        |    5168000 | PA      | $3889799.00   | 0.14%             | 2027-12-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                  | JPMorgan Chase & Co                                                             | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2163000 | PA      | $1978995.00   | 0.07%             | 2099-12-31      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| KOHL'S CORPORATION                   | Kohl's Corp                                                                     | CUSIP: 500255AX2<br>LEI: 549300JF6LPRTRJ0FH50 | Long             | DBT              | CORP              | US        |    7649000 | PA      | $5361643.00   | 0.20%             | 2031-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LABL INC                             | LABL Inc                                                                        | CUSIP: 50168QAD7<br>LEI: 5493004FUZN8R6Y3VB98 | Long             | DBT              | CORP              | US        |    8536000 | PA      | $6798688.00   | 0.25%             | 2029-11-01      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                 | Lexington Realty Trust                                                          | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    3324000 | PA      | $2647736.00   | 0.10%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC              | Liberty Interactive LLC                                                         | CUSIP: 530715AD3<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |    6763000 | PA      | $3318638.00   | 0.12%             | 2029-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                    | Lithia Motors Inc                                                               | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    6689000 | PA      | $5442206.00   | 0.20%             | 2031-01-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC             | Magallanes Inc                                                                  | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    5251000 | PA      | $4325589.00   | 0.16%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                | Micron Technology Inc                                                           | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    6427000 | PA      | $6528398.00   | 0.24%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MODIVCARE ESCROW ISSUER              | ModivCare Escrow Issuer Inc                                                     | CUSIP: 60783XAA2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |    3673000 | PA      | $3097441.00   | 0.12%             | 2029-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3996000 | PA      | $3488522.00   | 0.13%             | 2031-04-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2117000 | PA      | $1712607.00   | 0.06%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | Morgan Stanley                                                                  | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2819000 | PA      | $2577578.00   | 0.10%             | 2037-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                | NGL Energy Partners LP / NGL Energy Finance Corp                                | CUSIP: 62922LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6471000 | PA      | $5761722.00   | 0.21%             | 2026-02-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| NRG ENERGY INC                       | NRG Energy Inc                                                                  | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3054000 | PA      | $2463417.00   | 0.09%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT CORP                         | Navient Corp                                                                    | CUSIP: 63938CAK4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    6337000 | PA      | $5547492.00   | 0.21%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GPD COS INC                          | Neon Holdings Inc                                                               | CUSIP: 64051NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7204000 | PA      | $6141410.00   | 0.23%             | 2026-04-01      | Fixed         | 10.12%                | Yes           |                  2 | On Loan: No      |
| NEWELL BRANDS INC                    | Newell Brands Inc                                                               | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    6293000 | PA      | $6219749.00   | 0.23%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| OCCIDENTAL PETROLEUM COR             | Occidental Petroleum Corp                                                       | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    4784000 | PA      | $5281536.00   | 0.20%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR             | ORCINC 4.7 02/08/27 *                                                           | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    5466000 | PA      | $4928739.00   | 0.18%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HO             | PECF USS Intermediate Holding III Corp                                          | CUSIP: 69291HAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4276000 | PA      | $2778074.00   | 0.10%             | 2029-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: —       |
| PILGRIM'S PRIDE CORP                 | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAE8<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    6772000 | PA      | $6568680.00   | 0.24%             | 2027-09-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC             | Prudential Financial Inc                                                        | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    2045000 | PA      | $1725755.00   | 0.06%             | 2050-10-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| PULTEGROUP INC                       | PulteGroup Inc                                                                  | CUSIP: 745867AM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6213000 | PA      | $6904515.00   | 0.26%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC             | Quicken Loans LLC                                                               | CUSIP: 74841CAB7<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   12378000 | PA      | $9447823.00   | 0.35%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE             | ROCKIE 4.95 07/15/29 144A                                                       | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    1462000 | PA      | $1311926.00   | 0.05%             | 2029-07-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES              | RCL 11.625 08/15/27 144A                                                        | CUSIP: 780153BL5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    7272000 | PA      | $7302761.00   | 0.27%             | 2027-08-15      | Fixed         | 11.62%                | Yes           |                  2 | On Loan: No      |
| SM ENERGY CO                         | SM Energy Co                                                                    | CUSIP: 78454LAL4<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    2131000 | PA      | $2045740.00   | 0.08%             | 2025-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                             | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    6392000 | PA      | $3658278.00   | 0.14%             | 2099-12-31      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                  | SVB Financial Group                                                             | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $2197763.00   | 0.08%             | 2099-12-31      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD OPERATING PARTN             | Safehold Operating Partnership LP                                               | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |    5556000 | PA      | $4263986.00   | 0.16%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                  | Charles Schwab Corp                                                             | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    6792000 | PA      | $5892060.00   | 0.22%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                  | Southern California Edison Co                                                   | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3916000 | PA      | $4030688.00   | 0.15%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                | Stellantis Finance US Inc                                                       | CUSIP: 85855CAE0<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    5579000 | PA      | $5507481.00   | 0.21%             | 2032-09-12      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP               | Sunoco LP / Sunoco Finance Corp                                                 | CUSIP: 86765LAT4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    9445000 | PA      | $8261542.00   | 0.31%             | 2029-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                     | T-MOBILE USA INC                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4899000 | PA      | $4314890.00   | 0.16%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN              | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAD3<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |    5739000 | PA      | $5089575.00   | 0.19%             | 2028-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN              | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAK7<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |    1155000 | PA      | $993050.00    | 0.04%             | 2031-09-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                | Universal Health Services Inc                                                   | CUSIP: 913903AY6<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |    5105000 | PA      | $3898537.00   | 0.15%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| VICI PROPERTIES LP                   | VICI PROPERTIES LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    4993000 | PA      | $4752923.00   | 0.18%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                   | VICI PROPERTIES LP                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1932000 | PA      | $1788935.00   | 0.07%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET & CO               | VSCO 4.625 07/15/29 144A                                                        | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |    5339000 | PA      | $4191649.00   | 0.16%             | 2029-07-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP             | Viper Energy Partners LP                                                        | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |    8166000 | PA      | $7753703.00   | 0.29%             | 2027-11-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| VIRTUSA CORP                         | Austin BidCo Inc                                                                | CUSIP: 92837TAA0<br>LEI: C77OMXDER63WLJCSKT03 | Long             | DBT              | CORP              | US        |    8552000 | PA      | $6493859.00   | 0.24%             | 2028-12-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| VONTIER CORP                         | Vontier Corp                                                                    | CUSIP: 928881AF8<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    4359000 | PA      | $3149674.00   | 0.12%             | 2031-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WATCO COS LLC/FINANCE CO             | Watco Cos LLC / Watco Finance Corp                                              | CUSIP: 941130AB2<br>LEI: 549300UK74AMHGBXZG45 | Long             | DBT              | CORP              | US        |    9065000 | PA      | $8611750.00   | 0.32%             | 2027-06-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5756000 | PA      | $5621864.00   | 0.21%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| WENDY'S INTERNATIONAL                | Wendy's International LLC                                                       | CUSIP: 950590AG4<br>LEI: 549300PQTT267ME8D359 | Long             | DBT              | CORP              | US        |    5708000 | PA      | $5858177.00   | 0.22%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM ESCROW LLC                | Windstream Escrow LLC                                                           | CUSIP: 97382WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4728000 | PA      | $3852494.00   | 0.14%             | 2028-08-15      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| XCEL ENERGY INC                      | Xcel Energy Inc                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    4725000 | PA      | $4512537.00   | 0.17%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                       | ARD FINANCE SA                                                                  | CUSIP: 00191AAD8<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |    2518536 | PA      | $1751724.00   | 0.07%             | 2027-06-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY              | AQNCN V4.75 01/18/82                                                            | CUSIP: 015857AH8<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |    8480000 | PA      | $6868800.00   | 0.26%             | 2082-01-18      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                  | Altice Financing SA                                                             | CUSIP: 02154CAF0<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    6822000 | PA      | $5491710.00   | 0.20%             | 2028-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA             | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAP5<br>LEI: 6354001JXMLKNZDZR978 | Long             | DBT              | CORP              | N/A       |    4928000 | PA      | $3684873.00   | 0.14%             | 2027-08-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                   | Athene Holding Ltd                                                              | CUSIP: 04686JAC5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |    4159000 | PA      | $3414933.00   | 0.13%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                          | BNP Paribas SA                                                                  | CUSIP: 05565AS20<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3553000 | PA      | $3704173.00   | 0.14%             | 2099-12-31      | Variable      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| BANCO LA HIPOTECARIA                 | Banco La Hipotecaria SA                                                         | CUSIP: 059605AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    5700000 | PA      | $5650410.00   | 0.21%             | 2023-09-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| BANCO LA HIPOTECARIA                 | Banco La Hipotecaria SA                                                         | CUSIP: 059605AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    5000000 | PA      | $4789550.00   | 0.18%             | 2024-12-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BANK OF MONTREAL                     | BMO V3.088 01/10/37                                                             | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    5537000 | PA      | $4186547.00   | 0.16%             | 2037-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| CA MAGNUM HOLDINGS                   | CA Magnum Holdings                                                              | CUSIP: 12674CAA1<br>LEI: 549300ZRDHFR078MFZ78 | Long             | DBT              | CORP              | MU        |    6237000 | PA      | $5683329.00   | 0.21%             | 2026-10-31      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CARNIVAL CORP                        | Carnival Corp                                                                   | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    3563000 | PA      | $2824015.00   | 0.11%             | 2026-03-01      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: —       |
| COMMONWEALTH BANK AUST               | Commonwealth Bank of Australia                                                  | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    7269000 | PA      | $5991715.00   | 0.22%             | 2032-03-14      | Fixed         | 3.78%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG               | Credit Suisse Group AG                                                          | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    7519000 | PA      | $7698457.00   | 0.29%             | 2033-11-15      | Variable      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| DIAMOND BC BV                        | Diamond BC BV                                                                   | CUSIP: 25257DAA6<br>LEI: 549300SWLHWJF3D4N658 | Long             | DBT              | CORP              | NL        |    7815000 | PA      | $6271538.00   | 0.23%             | 2029-10-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| ENERFLEX LTD                         | Enerflex Ltd                                                                    | CUSIP: 29269RAA3<br>LEI: 54930014N7872VUS3F89 | Long             | DBT              | CORP              | CA        |    4645000 | PA      | $4632203.00   | 0.17%             | 2027-10-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006               | FMG Resources (August 2006) Pty Ltd                                             | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |   10080000 | PA      | $8383370.00   | 0.31%             | 2031-04-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L             | First Quantum Minerals Ltd                                                      | CUSIP: 335934AL9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    4974000 | PA      | $4841394.00   | 0.18%             | 2025-04-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GCC SAB DE CV                        | GCC SAB de CV                                                                   | CUSIP: 36165RAC9<br>LEI: 254900WY9XL8033CKX68 | Long             | DBT              | CORP              | MX        |    4299000 | PA      | $3577786.00   | 0.13%             | 2032-04-20      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: —       |
| HUDBAY MINERALS INC                  | Hudbay Minerals Inc                                                             | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |    6957000 | PA      | $6299910.00   | 0.23%             | 2029-04-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| HUDBAY MINERALS INC                  | Hudbay Minerals Inc                                                             | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |    6918000 | PA      | $6283894.00   | 0.23%             | 2026-04-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| IAMGOLD CORP                         | IAMGOLD Corp                                                                    | CUSIP: 450913AF5<br>LEI: 254900E7II30XAB9LA72 | Long             | DBT              | CORP              | CA        |    8423000 | PA      | $6539958.00   | 0.24%             | 2028-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LCPR SR SECURED FIN DAC              | LCPR Senior Secured Financing DAC                                               | CUSIP: 50201DAD5<br>LEI: 549300LE5FM8IKMXSP90 | Long             | DBT              | CORP              | IE        |    8412000 | PA      | $6968569.00   | 0.26%             | 2029-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                   | Seagate HDD Cayman                                                              | CUSIP: 81180WBG5<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    9250380 | PA      | $10145817.00  | 0.38%             | 2032-12-01      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP             | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    6471977 | PA      | $6505178.00   | 0.24%             | 2025-09-20      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE              | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    6856000 | PA      | $5995572.00   | 0.22%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU             | TEVA 4.75 05/09/27                                                              | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    8753000 | PA      | $7911834.00   | 0.30%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AT SECURITIES BV                     | AT Securities BV                                                                | CUSIP: AN9647248<br>LEI: 894500FVP65TB5QVZL54 | Long             | DBT              | CORP              | NL        |    5000000 | PA      | $2300400.00   | 0.09%             | 2099-12-31      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                | CPI Property Group SA                                                           | CUSIP: ZS1086686<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |    5589000 | PA      | $2974196.00   | 0.11%             | 2099-12-31      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| IHO VERWALTUNGS GMBH                 | IHO Verwaltungs GmbH                                                            | CUSIP: ZS8104466<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    8638149 | PA      | $7777681.00   | 0.29%             | 2027-05-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| NETFLIX INC                          | Netflix Inc                                                                     | CUSIP: ZQ2339088<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    8071000 | PA      | $7921383.00   | 0.30%             | 2030-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                       | ARD Finance SA                                                                  | CUSIP: ZQ4428822<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |    9468244 | PA      | $6772644.00   | 0.25%             | 2027-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARD FINANCE SA                       | ARD Finance SA                                                                  | CUSIP: ZQ4428814<br>LEI: 6354006P6QPGGPVJW880 | Long             | DBT              | CORP              | LU        |    1468400 | PA      | $1050348.00   | 0.04%             | 2027-06-30      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| AT&T INC                             | AT&T Inc                                                                        | CUSIP: ZP9910362<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5069864.00   | 0.19%             | 2099-12-31      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTION             | CTLT 2.375 03/01/28 REGS                                                        | CUSIP: BG1643322<br>LEI: 549300HALRZ339MSTH85 | Long             | DBT              | CORP              | US        |    6980000 | PA      | $6040503.00   | 0.23%             | 2028-03-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HT TROPLAST AG                       | HT Troplast GmbH                                                                | CUSIP: BK1841067<br>LEI: 529900Y2N2GAY3FXGP86 | Long             | DBT              | CORP              | DE        |    2790000 | PA      | $2708120.00   | 0.10%             | 2025-07-15      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| IQVIA INC                            | IQVIA Inc                                                                       | CUSIP: BO1068119<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    4650000 | PA      | $4192625.00   | 0.16%             | 2029-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NOMAD FOODS BONDCO PLC               | Nomad Foods BondCo PLC                                                          | CUSIP: BQ0604794<br>LEI: 213800BPK5X4TY4RZ619 | Long             | DBT              | CORP              | GB        |     641000 | PA      | $577663.00    | 0.02%             | 2028-06-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16732212 | PA      | $15670453.00  | 0.58%             | 2037-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20122976 | PA      | $17644751.00  | 0.66%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15731117 | PA      | $15058329.00  | 0.56%             | 2037-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  121753696 | PA      | $110522039.00 | 4.13%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24687000 | PA      | $24068048.00  | 0.90%             | 2037-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  137365572 | PA      | $128763190.00 | 4.81%             | 2052-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  159264388 | PA      | $153359102.00 | 5.73%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84787412 | PA      | $83522638.00  | 3.12%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac            | Fannie Mae                                                                      | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15198589 | PA      | $15239169.00  | 0.57%             | 2052-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-ARIA F                                        | CUSIP: 05608RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9096650.00   | 0.34%             | 2036-10-15      | Floating      | 6.91%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage        | Citigroup Commercial Mortgage Trust 2018-C5                                     | CUSIP: 17291DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32965535 | PA      | $1017779.00   | 0.04%             | 2051-06-10      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R05                                    | CUSIP: 20754HAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8320724 | PA      | $8404364.00   | 0.31%             | 2039-07-25      | Floating      | 8.49%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   98660539 | PA      | $90473786.00  | 3.38%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16054402 | PA      | $15175456.00  | 0.57%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                 | FREMF Mortgage Trust 2018-KF45                                                  | CUSIP: 30296TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     423688 | PA      | $403293.00    | 0.01%             | 2025-03-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                 | FREMF Mortgage Trust 2019-KF72                                                  | CUSIP: 30314JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2774713 | PA      | $2612798.00   | 0.10%             | 2026-11-25      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210106 | PA      | $198951.00    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123874 | PA      | $117297.00    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2501 | PA      | $2336.00      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131XXYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4292 | PA      | $3969.00      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1469 | PA      | $1414.00      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2578 | PA      | $2402.00      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135286 | PA      | $120886.00    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131Y6V71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3430 | PA      | $3207.00      | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131Y6VU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4171 | PA      | $3777.00      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Fannie Mae Pool                                                                 | CUSIP: 3131YAV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601752 | PA      | $589450.00    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131YBA57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1113775 | PA      | $1089407.00   | 0.04%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3131YDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4605673 | PA      | $4381541.00   | 0.16%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14442 | PA      | $15138.00     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132A5AL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88986 | PA      | $80585.00     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132A5DB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2527 | PA      | $2284.00      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1433452 | PA      | $1358069.00   | 0.05%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208666 | PA      | $195128.00    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42205 | PA      | $39456.00     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2736 | PA      | $2706.00      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11345 | PA      | $10609.00     | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6803 | PA      | $6558.00      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3132AED78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4416187 | PA      | $4000635.00   | 0.15%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164227 | PA      | $153800.00    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 31334XYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2167239 | PA      | $1999769.00   | 0.07%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621360 | PA      | $551707.00    | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162957 | PA      | $153607.00    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355729 | PA      | $335318.00    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                          | Freddie Mac Pool                                                                | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350435 | PA      | $311152.00    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae REMICS                                                               | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15523 | PA      | $14004.00     | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae REMICS                                                               | CUSIP: 3136B2SN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7136925 | PA      | $750049.00    | 0.03%             | 2048-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3720 | PA      | $3711.00      | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5614 | PA      | $5680.00      | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5693 | PA      | $5680.00      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138ETLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2204090 | PA      | $1996013.00   | 0.07%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138W7HB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1737777 | PA      | $1573722.00   | 0.06%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13368 | PA      | $12502.00     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138WJP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312245 | PA      | $280248.00    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138WMG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4133856 | PA      | $3744302.00   | 0.14%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1968 | PA      | $1782.00      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae REMICS                                                               | CUSIP: 31398NTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588203 | PA      | $963890.00    | 0.04%             | 2040-10-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140FPAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     879659 | PA      | $851534.00    | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23132 | PA      | $20603.00     | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5322698 | PA      | $4740998.00   | 0.18%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2587 | PA      | $2392.00      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3344 | PA      | $3121.00      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12173 | PA      | $11798.00     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140H6QN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3283752 | PA      | $3034211.00   | 0.11%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3675 | PA      | $3554.00      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8194 | PA      | $8110.00      | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140JAPW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     991822 | PA      | $898357.00    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374417 | PA      | $338036.00    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150737 | PA      | $142094.00    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9978606 | PA      | $10160608.00  | 0.38%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140QQN76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13507445 | PA      | $13570992.00  | 0.51%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208287 | PA      | $192906.00    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235209 | PA      | $217840.00    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5312213 | PA      | $4912550.00   | 0.18%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        668 | PA      | $699.00       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036710 | PA      | $939015.00    | 0.04%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31417FPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35228 | PA      | $31903.00     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1371552 | PA      | $1242303.00   | 0.05%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544117 | PA      | $492842.00    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31418ARE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488133 | PA      | $442051.00    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31418ATD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398352 | PA      | $360745.00    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267802 | PA      | $248026.00    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                           | Fannie Mae Pool                                                                 | CUSIP: 31418CGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53405 | PA      | $47933.00     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                              | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107554 | PA      | $105554.00    | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                               | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3260 | PA      | $3133.00      | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                               | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        349 | PA      | $335.00       | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                               | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        683 | PA      | $657.00       | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                               | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1940 | PA      | $1865.00      | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                              | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        947 | PA      | $930.00       | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae II Pool                                                              | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2519 | PA      | $2473.00      | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Ginnie Mae I Pool                                                               | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10929 | PA      | $10725.00     | 0.00%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Government National Mortgage Association                                        | CUSIP: 38378P6S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     370865 | PA      | $30328.00     | 0.00%             | 2044-01-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Government National Mortgage Association                                        | CUSIP: 38378XM65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     505447 | PA      | $31855.00     | 0.00%             | 2055-10-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A       | Government National Mortgage Association                                        | CUSIP: 38380JTN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12552183 | PA      | $354554.00    | 0.01%             | 2060-01-16      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                                | CUSIP: 39152TAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19500000 | PA      | $18463547.00  | 0.69%             | 2036-12-15      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust       | Commercial Mortgage Pass-through Certificates 2022-LPF2 D                       | CUSIP: 449652AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4989385.00   | 0.19%             | 2039-10-15      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust       | Commercial Mortgage Pass-through Certificate 2022-LPF2 E                        | CUSIP: 449652AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1483633.00   | 0.06%             | 2039-10-15      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| ECAF LTD                             | ECAF I Ltd                                                                      | CUSIP: 26827EAE5<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-MBS          | CORP              | KY        |    3163638 | PA      | $684181.00    | 0.03%             | 2040-06-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Z CAPITAL CREDIT PARTNERS CLO        | Z Capital Credit Partners CLO 2018-1 Ltd                                        | CUSIP: 98878CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    1250000 | PA      | $1228280.00   | 0.05%             | 2031-01-16      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora       | Chase Mortgage Finance Corp 2021-CL1 M4                                         | CUSIP: 46591HCA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2500158 | PA      | $2042128.00   | 0.08%             | 2050-02-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora       | Chase Mortgage Finance Corp 2021-CL1 M5                                         | CUSIP: 46591HCB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000187 | PA      | $789465.00    | 0.03%             | 2050-02-25      | Floating      | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2022-2 A1                                 | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7587480 | PA      | $7089993.00   | 0.27%             | 2027-03-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2022-C E                                | CUSIP: 80290CBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4500000 | PA      | $4498262.00   | 0.17%             | 2032-12-15      | Fixed         | 11.37%                | Yes           |                  2 | On Loan: No      |
| AGL CLO Ltd.                         | AGL CLO 1 Ltd 2021-10A D                                                        | CUSIP: 00119YAG8<br>LEI: 549300AEMLN0HO8ST474 | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $7460984.00   | 0.28%             | 2034-04-15      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                           | Apidos CLO 2013-15A A1RR                                                        | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |    4209000 | PA      | $4153248.00   | 0.15%             | 2031-04-20      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt       | Benefit Street Partners CLO Ltd 2016-10A CRR                                    | CUSIP: 08181LBC0<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |    6750000 | PA      | $6238222.00   | 0.23%             | 2034-04-20      | Floating      | 7.74%                 | Yes           |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                 | BlueMountain CLO XXVI Ltd 2019-25A D2R                                          | CUSIP: 09627FAW0<br>LEI: 5493001B57JU7XEJXM59 | Long             | ABS-CBDO         | CORP              | KY        |    6250000 | PA      | $5582138.00   | 0.21%             | 2036-07-15      | Floating      | 8.23%                 | Yes           |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                 | BlueMountain CLO XXVI Ltd 2021-28A A                                            | CUSIP: 09630PAA1<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4890800.00   | 0.18%             | 2034-04-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2020-13A A                                                  | CUSIP: 12511AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5885106.00   | 0.22%             | 2034-01-20      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2021-14A A                                                  | CUSIP: 12511GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   15000000 | PA      | $14568900.00  | 0.54%             | 2034-04-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                  | CBAM CLO Management 2021-14A D                                                  | CUSIP: 12511GAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $8418370.00   | 0.32%             | 2034-04-20      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2015-3A DR                                                     | CUSIP: 12550MAQ3<br>LEI: 549300UDPJ30BQP2HX62 | Long             | ABS-CBDO         | CORP              | KY        |    2097500 | PA      | $1886835.00   | 0.07%             | 2029-04-19      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd                     | Symphony CLO Ltd 2012-9A D2R2                                                   | CUSIP: 13079WBA5<br>LEI: 5493001GRJRD2VIG9H40 | Long             | ABS-CBDO         | CORP              | KY        |   11000000 | PA      | $9840787.00   | 0.37%             | 2032-07-16      | Floating      | 8.18%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategi       | Carlyle Global Markets Strategies 2012-3A CR2                                   | CUSIP: 14312EAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4139000 | PA      | $3520551.00   | 0.13%             | 2032-01-14      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                     | CIFC Funding Ltd 2016-1A D2RR                                                   | CUSIP: 17180TBJ0<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4615165.00   | 0.17%             | 2031-10-21      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund              | Dryden Senior Loan Fund 2020-83A D                                              | CUSIP: 26246EAJ7<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5401758.00   | 0.20%             | 2032-01-18      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                 | Elmwood CLO VIII Ltd 2021-1A A                                                  | CUSIP: 29003EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4894790.00   | 0.18%             | 2034-01-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                 | Elmwood CLO VIII Ltd 2021-1A D                                                  | CUSIP: 29003EAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2837637.00   | 0.11%             | 2034-01-20      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                      | HGI CRE CLO Ltd 2021-FL1 D                                                      | CUSIP: 40441LAJ5<br>LEI: 549300VYJ293N0KO2L78 | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4616862.00   | 0.17%             | 2036-06-16      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Rad CLO Ltd                          | Kayne CLO 10 Ltd 2021-10A A                                                     | CUSIP: 48662LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12500000 | PA      | $12208637.00  | 0.46%             | 2034-04-23      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd Partnership                  | LCM LP XIV                                                                      | CUSIP: 50184VAR5<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |    4640000 | PA      | $4551139.00   | 0.17%             | 2031-07-20      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Longfellow Place CLO Ltd             | Longfellow Place CLO Ltd 2013-1A DRR                                            | CUSIP: 54303PAW5<br>LEI: 549300FY38ZCUKZQU403 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2842389.00   | 0.11%             | 2029-04-15      | Floating      | 8.58%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd             | Madison Park Funding Ltd 2018-32A A1R                                           | CUSIP: 55817AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $9842340.00   | 0.37%             | 2031-01-22      | Floating      | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd             | Madison Park Funding Ltd 2018-32A DR                                            | CUSIP: 55817AAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6523713.00   | 0.24%             | 2031-01-22      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd             | Neuberger Berman CLO Ltd                                                        | CUSIP: 64129JBL3<br>LEI: 549300Z5ZNFT7IECFZ07 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5415084.00   | 0.20%             | 2030-01-28      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Partners Ltd              | Oak Hill Credit Partners 2012-7A AR3                                            | CUSIP: 67102QAV0<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4881645.00   | 0.18%             | 2034-02-20      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                          | OCP CLO Ltd                                                                     | CUSIP: 67105HBE4<br>LEI: 254900OVGEI8FTD7PT85 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5850696.00   | 0.22%             | 2029-04-24      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 42       | Octagon Investment Partners 42 Ltd 2019-3A AR                                   | CUSIP: 67576PAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $9738950.00   | 0.36%             | 2034-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners XX       | Octagon Investment Partners XXI Ltd 2014-1A AAR3                                | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $7861584.00   | 0.29%             | 2031-02-14      | Floating      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Regatta XV Funding Ltd.              | Westgate Resorts 2018-4A C                                                      | CUSIP: 75888RAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1880440.00   | 0.07%             | 2031-10-25      | Floating      | 7.66%                 | Yes           |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                  | Sand Trust 2021-1A D                                                            | CUSIP: 800130AJ5<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $7221368.00   | 0.27%             | 2034-10-15      | Floating      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd                     | Symphony CLO Ltd 2014-15A DR2                                                   | CUSIP: 87154EBA7<br>LEI: 549300JNP1PJXORD0Y06 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1751008.00   | 0.07%             | 2032-01-17      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                         | Voya CLO Ltd 2014-4A CR2                                                        | CUSIP: 92914RBE1<br>LEI: 549300JHU3YI1LLL3V27 | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $5911801.00   | 0.22%             | 2031-07-14      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| AASET 2019-2 Trust                   | Aaset 2019-2 Trust                                                              | CUSIP: 00038RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4723808 | PA      | $1039238.00   | 0.04%             | 2039-10-16      | Fixed         | 6.41%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                       | ACM Auto Trust 2022-1A C                                                        | CUSIP: 00091QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8250000 | PA      | $8046700.00   | 0.30%             | 2029-04-20      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2021-A C                                                         | CUSIP: 00108XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5727149.00   | 0.21%             | 2027-04-15      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                       | ACC Auto Trust 2021-A D                                                         | CUSIP: 00108XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3700000 | PA      | $3465267.00   | 0.13%             | 2029-06-15      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR              | Alaska Airlines 2020-1 Class A Pass Through Trust                               | CUSIP: 01166VAA7<br>LEI: PG4W4UTDTMMEBRGLO537 | Long             | ABS-O            | CORP              | US        |    6926237 | PA      | $6592197.00   | 0.25%             | 2027-08-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding       | Avis Budget Rental Car Funding AESOP LLC 2021-1A D                              | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $4924053.00   | 0.18%             | 2027-08-20      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding       | Avis Budget Rental Car Funding AESOP LLC 2018-2A D                              | CUSIP: 05377REN0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   13000000 | PA      | $12201039.00  | 0.46%             | 2025-03-20      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding       | Avis Budget Rental Car Funding AESOP LLC 2019-2A D                              | CUSIP: 05377REP5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4638020.00   | 0.17%             | 2025-09-22      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Merrill Lynch        | BAMLL Commercial Mortgage Securities Trust 2014-FRR4 CK29                       | CUSIP: 05525GAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15370000 | PA      | $14586994.00  | 0.55%             | 2023-05-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                            | BPR Trust 2022-OANA D                                                           | CUSIP: 05592DAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $13752480.00  | 0.51%             | 2037-04-15      | Floating      | 8.03%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2       | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15440250 | PA      | $14723316.00  | 0.55%             | 2036-10-15      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2019-MMP F                                         | CUSIP: 05606KAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12935269 | PA      | $12299936.00  | 0.46%             | 2036-08-15      | Floating      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VINO G                                        | CUSIP: 05608KAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12000000 | PA      | $11019073.00  | 0.41%             | 2038-05-15      | Floating      | 8.27%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-ARIA E                                        | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9098076.00   | 0.34%             | 2036-10-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-SOAR F                                        | CUSIP: 05608WAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7129989 | PA      | $6589789.00   | 0.25%             | 2038-06-15      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-SOAR J                                        | CUSIP: 05608WAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9229088 | PA      | $8233049.00   | 0.31%             | 2038-06-15      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA EJV                                       | CUSIP: 05609BAM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11200000 | PA      | $10096653.00  | 0.38%             | 2036-02-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-LBA EV                                        | CUSIP: 05609BBH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9000000 | PA      | $8113383.00   | 0.30%             | 2036-02-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-21M E                                         | CUSIP: 05609CAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6705104 | PA      | $6147904.00   | 0.23%             | 2036-10-15      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VOLT F                                        | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8440000 | PA      | $7779236.00   | 0.29%             | 2036-09-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2021-VOLT G                                        | CUSIP: 05609VAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5497031.00   | 0.20%             | 2036-09-15      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                             | BX Commercial Mortgage Trust 2022-FOX2 A2                                       | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9208345.00   | 0.34%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC         | Business Jet Securities LLC 2022-1A C                                           | CUSIP: 12327AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4275775 | PA      | $3966540.00   | 0.15%             | 2037-06-15      | Fixed         | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC         | Business Jet Securities LLC 2021-1A B                                           | CUSIP: 12327BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2125918 | PA      | $1801834.00   | 0.07%             | 2036-04-15      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC         | Business Jet Securities LLC 2021-1A C                                           | CUSIP: 12327BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1972895 | PA      | $1731294.00   | 0.07%             | 2036-04-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC         | Business Jet Securities LLC 2020-1A B                                           | CUSIP: 12327FAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3907072 | PA      | $3474238.00   | 0.13%             | 2035-11-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2022-1A A1                                              | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23417424 | PA      | $22698975.00  | 0.85%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC              | CF Hippolyta Issuer LLC 2022-1A A2                                              | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21915598 | PA      | $20761508.00  | 0.78%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                            | CIM Trust 2021-NR1 A1                                                           | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5380506 | PA      | $5066210.00   | 0.19%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| CIM Retail Portfolio Trust           | CIM Retail Portfolio Trust 2021-RETL E                                          | CUSIP: 12566BAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3900000 | PA      | $3765765.00   | 0.14%             | 2036-08-15      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2020-TMIC A                             | CUSIP: 126390AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $14927801.00  | 0.56%             | 2035-12-15      | Floating      | 7.82%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2019-ICE4 F                             | CUSIP: 12653VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14200000 | PA      | $13643780.00  | 0.51%             | 2036-05-15      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust         | Credit Suisse Commercial Mortgage Trust 2021-WEHO A                             | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11376952 | PA      | $11047478.00  | 0.41%             | 2023-04-15      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust              | CarMax Auto Owner Trust 2022-3 D                                                | CUSIP: 14318MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6250000 | PA      | $6040681.00   | 0.23%             | 2029-01-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2019-2A XS                                       | CUSIP: 14686UAH8<br>LEI: 5493003WEAK2PJ5WS063 | Long             | ABS-O            | CORP              | US        |   89141764 | PA      | $305756.00    | 0.01%             | 2026-04-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2019-4A XS                                       | CUSIP: 14686YAJ6<br>LEI: 5493003WEAK2PJ5WS063 | Long             | ABS-O            | CORP              | US        |   64110385 | PA      | $275675.00    | 0.01%             | 2026-10-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2021-N3 E                                        | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12890000 | PA      | $10896945.00  | 0.41%             | 2028-06-12      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust       | Carvana Auto Receivables Trust 2021-N4 N                                        | CUSIP: 14687HAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36502 | PA      | $36477.00     | 0.00%             | 2028-09-11      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza       | Castlelake Aircraft Securitization Trust 2016-1                                 | CUSIP: 14855JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     215295 | PA      | $150706.00    | 0.01%             | 2041-08-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured       | Castlelake Aircraft Securitization Trust 2018-1                                 | CUSIP: 14856CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3830196 | PA      | $1628797.00   | 0.06%             | 2043-06-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Coinstar Funding, LLC                | Coinstar Funding LLC 2017-1A A2                                                 | CUSIP: 19260MAA4<br>LEI: 5493004UNX3RE1I4DH23 | Long             | ABS-O            | CORP              | US        |   12743325 | PA      | $9749663.00   | 0.36%             | 2047-04-25      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust                   | Cold Storage Trust 2020-ICE5 F                                                  | CUSIP: 193051AS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12828026 | PA      | $12226584.00  | 0.46%             | 2037-11-15      | Floating      | 7.81%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                     | COLT Funding LLC 2021-3R B1                                                     | CUSIP: 19688DAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2547000 | PA      | $1570395.00   | 0.06%             | 2064-12-25      | Variable      | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R02                                    | CUSIP: 20753KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      80805 | PA      | $80649.00     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R02                                    | CUSIP: 20753KAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   26683000 | PA      | $26942715.00  | 1.01%             | 2031-08-25      | Floating      | 8.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R03 1B1                                | CUSIP: 20753MAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   15690995 | PA      | $15686784.00  | 0.59%             | 2031-09-25      | Floating      | 8.49%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2018-R07 1B1                                | CUSIP: 20753QAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    4000000 | PA      | $4078368.00   | 0.15%             | 2031-04-25      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2019-R04 2B1                                | CUSIP: 20753TAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    5142928 | PA      | $5271721.00   | 0.20%             | 2039-06-25      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R04 1M1                                | CUSIP: 20753YCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   11175441 | PA      | $11148525.00  | 0.42%             | 2042-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R02 2B1                                | CUSIP: 20754BAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   17053000 | PA      | $16078969.00  | 0.60%             | 2042-01-25      | Floating      | 8.43%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2021-R02 2B1                                | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    7600000 | PA      | $7203895.00   | 0.27%             | 2041-11-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2022-R01 1B1                                | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   13477000 | PA      | $12649530.00  | 0.47%             | 2041-12-25      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | CAS 2021-R01 1M1                                                                | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     948783 | PA      | $940551.00    | 0.04%             | 2041-10-25      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P                 | Conn Funding II LP 2021-A B                                                     | CUSIP: 20825GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3140000 | PA      | $3087279.00   | 0.12%             | 2026-05-15      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus       | CSAIL 2021-C20 XA                                                               | CUSIP: 22945EAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   58661027 | PA      | $3313205.00   | 0.12%             | 2054-03-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| DBCCRE Mortgage Trust                | DBCCRE Mortgage Trust 2014-ARCP D                                               | CUSIP: 23305MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $938603.00    | 0.04%             | 2034-01-10      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| DBCCRE Mortgage Trust                | DBCCRE Mortgage Trust 2014-ARCP E                                               | CUSIP: 23305MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2848000 | PA      | $2548374.00   | 0.10%             | 2034-01-10      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| DBCCRE Mortgage Trust                | DBCCRE Mortgage Trust 2014-ARCP F                                               | CUSIP: 23305MAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11442000 | PA      | $10129319.00  | 0.38%             | 2034-01-10      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding       | Diamond Infrastructure Funding LLC 2021-1A B                                    | CUSIP: 25265LAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3264358.00   | 0.12%             | 2049-04-15      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding       | Diamond Infrastructure Funding LLC 2021-1A C                                    | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3420000 | PA      | $2647595.00   | 0.10%             | 2049-04-15      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| Diamond Issuer LLC                   | Diamond Issuer LLC 2021-1A C                                                    | CUSIP: 25267TAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $3920384.00   | 0.15%             | 2051-11-20      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust          | Diamond Resorts Owner Trust 2021-1A D                                           | CUSIP: 25273CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     625190 | PA      | $563648.00    | 0.02%             | 2033-11-21      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE        | DROP Mortgage Trust 2021-FILE D                                                 | CUSIP: 26210YAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $13282752.00  | 0.50%             | 2043-10-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2020-2A E                                   | CUSIP: 30167YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6794000 | PA      | $6836521.00   | 0.26%             | 2027-09-15      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables        | Exeter Automobile Receivables Trust 2022-6A E                                   | CUSIP: 30168AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3020542.00   | 0.11%             | 2030-06-17      | Fixed         | 11.61%                | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust          | Extended Stay America Trust 2021-ESH E                                          | CUSIP: 30227FAL4<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    5164057 | PA      | $4915981.00   | 0.18%             | 2038-07-15      | Floating      | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust          | Extended Stay America Trust 2021-ESH F                                          | CUSIP: 30227FAN0<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |    9625255 | PA      | $9035867.00   | 0.34%             | 2038-07-15      | Floating      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| ExteNet Systems                      | ExteNet Issuer LLC                                                              | CUSIP: 30227XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3733079.00   | 0.14%             | 2049-07-26      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                 | FREMF Mortgage Trust 2018-KSW4 C                                                | CUSIP: 302960AH2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    6175672 | PA      | $5773825.00   | 0.22%             | 2028-10-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                 | FREMF Mortgage Trust 2019-KF70 C                                                | CUSIP: 30298UAJ0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   19544330 | PA      | $18122044.00  | 0.68%             | 2029-09-25      | Floating      | 10.14%                | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                 | FREMF Mortgage Trust 2018-KL2P BPZ                                              | CUSIP: 30306PAS1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    5597272 | PA      | $5499769.00   | 0.20%             | 2028-01-25      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2017-C05 1M2C                               | CUSIP: 30711XNV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   11211032 | PA      | $10899406.00  | 0.41%             | 2030-01-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                     | Connecticut Avenue Securities Trust 2018-C05 1B1                                | CUSIP: 30711XY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    5692259 | PA      | $5904130.00   | 0.22%             | 2031-01-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust           | Flagship Credit Auto Trust 2022-4 E                                             | CUSIP: 33843XAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5175508.00   | 0.19%             | 2030-01-15      | Fixed         | 12.66%                | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust              | Flagstar Mortgage Trust 2021-13IN A2                                            | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41225844 | PA      | $34405940.00  | 1.28%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust              | Flagstar Mortgage Trust 2021-13IN A17                                           | CUSIP: 33853HAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16002824 | PA      | $13036883.00  | 0.49%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Foursight Capital Automobile R       | Foursight Capital Auto Receivables Trust 2020-1 F                               | CUSIP: 35105FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1250000 | PA      | $1230893.00   | 0.05%             | 2027-06-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Structured Credit        | Freddie Mac Multifamily Structured Credit Risk 2021-MN1 M2                      | CUSIP: 35563FAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    2000000 | PA      | $1783348.00   | 0.07%             | 2051-01-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Structured Credit        | Freddie Mac Multifamily Structured Credit Risk 2021-MN1 B1                      | CUSIP: 35563FAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    1000000 | PA      | $920719.00    | 0.03%             | 2051-01-25      | Floating      | 11.30%                | Yes           |                  2 | On Loan: No      |
| Multifamily Structured Credit        | Freddie Mac Multifamily Structured Credit Risk 2021-MN3 M2                      | CUSIP: 35563GAB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   10000000 | PA      | $8705043.00   | 0.33%             | 2051-11-25      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA2 B1               | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-O            | USGSE             | US        |    5607000 | PA      | $5602466.00   | 0.21%             | 2030-12-25      | Floating      | 8.09%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | STACR 2021-DNA1 B1                                                              | CUSIP: 35564KBD0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    7550000 | PA      | $6783495.00   | 0.25%             | 2051-01-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2               | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    1483000 | PA      | $1466546.00   | 0.06%             | 2033-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 B2               | CUSIP: 35564KDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   12308000 | PA      | $10099800.00  | 0.38%             | 2033-08-25      | Floating      | 9.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA3 B2               | CUSIP: 35564KFH7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   20836000 | PA      | $17104571.00  | 0.64%             | 2033-10-25      | Floating      | 10.18%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA5 B1               | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    6624000 | PA      | $5971979.00   | 0.22%             | 2034-01-25      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 B1               | CUSIP: 35565RBD4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    8939000 | PA      | $9149283.00   | 0.34%             | 2050-09-25      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 B1               | CUSIP: 35565TBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    5441430 | PA      | $5238798.00   | 0.20%             | 2050-11-25      | Floating      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                  | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA3 B1               | CUSIP: 35565WBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    5688316 | PA      | $5926917.00   | 0.22%             | 2050-06-25      | Floating      | 9.49%                 | Yes           |                  2 | On Loan: No      |
| GCAT                                 | GCAT 2022-INV1 A26                                                              | CUSIP: 36168YBC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17292483 | PA      | $14031964.00  | 0.52%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust         | GS Mortgage Securities Trust 2017-SLP F                                         | CUSIP: 36255MAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6500000 | PA      | $6071557.00   | 0.23%             | 2032-10-10      | Variable      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust         | GS Mortgage Securities Trust 2017-SLP G                                         | CUSIP: 36255MAS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1831000 | PA      | $1626548.00   | 0.06%             | 2032-10-10      | Variable      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust         | GS Mortgage Securities Trust 2022-SHIP D                                        | CUSIP: 36269CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $19391374.00  | 0.72%             | 2036-08-15      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Gam Resecuritization Trust           | Gam Resecuritization Trust 2021-FRR2 BK74                                       | CUSIP: 36459TBN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11000000 | PA      | $7124242.00   | 0.27%             | 2051-09-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Gam Resecuritization Trust           | Gam Resecuritization Trust 2021-FRR2 CK74                                       | CUSIP: 36459TBQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18068494 | PA      | $11092348.00  | 0.41%             | 2051-09-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                     | Great Wolf Trust                                                                | CUSIP: 39152TAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3899000 | PA      | $3672693.00   | 0.14%             | 2036-12-15      | Floating      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC          | Hertz Vehicle Financing LLC 2021-1A D                                           | CUSIP: 42806MAD1<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $13331695.00  | 0.50%             | 2025-12-26      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust         | Hilton Grand Vacations Trust 2022-1D D                                          | CUSIP: 43283BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2392727 | PA      | $2240488.00   | 0.08%             | 2034-06-20      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust       | Home Partners of America Trust 2021-3 F                                         | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4673195 | PA      | $3837266.00   | 0.14%             | 2041-01-17      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust       | Home Partners of America Trust 2021-2 F                                         | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19444588 | PA      | $16220634.00  | 0.61%             | 2026-12-17      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Hotwire Funding LLC                  | Hotwire Funding LLC 2021-1 C                                                    | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2560015.00   | 0.10%             | 2051-11-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2021-1 E                                         | CUSIP: 46591HBU3<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    1364638 | PA      | $1284680.00   | 0.05%             | 2028-09-25      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL       | Chase Auto Credit Linked Notes 2021-1 F                                         | CUSIP: 46591HBV1<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    3337000 | PA      | $2900654.00   | 0.11%             | 2028-09-25      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes       | Chase Auto Credit Linked Note 2021-3 E                                          | CUSIP: 46591HCG3<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    1199830 | PA      | $1099276.00   | 0.04%             | 2029-02-26      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A                        | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9194438.00   | 0.34%             | 2037-01-10      | Fixed         | 3.29%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2022-NLP D                        | CUSIP: 466317AL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19210579 | PA      | $17399850.00  | 0.65%             | 2037-04-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor       | JP Morgan Chase Commercial Mortgage Sec Trust 2021-NYAH E                       | CUSIP: 46654EAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4726733.00   | 0.18%             | 2038-06-15      | Floating      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| LFS 2022A, LLC                       | LFS LLC 2022-A B                                                                | CUSIP: 50204LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3559383.00   | 0.13%             | 2034-05-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust        | Lendbuzz Securitization Trust 2021-1A A                                         | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3726669 | PA      | $3580048.00   | 0.13%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust        | Lendbuzz Securitization Trust 2021-1A A                                         | CUSIP: 52607KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5594000 | PA      | $5358147.00   | 0.20%             | 2028-12-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2022-2A B                                                  | CUSIP: 53161MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9760316 | PA      | $9634598.00   | 0.36%             | 2034-10-15      | Fixed         | 8.85%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2021-BMR E                                        | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17693463 | PA      | $16707103.00  | 0.62%             | 2038-03-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust        | Life Financial Services Trust 2022-BMR2 D                                       | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9569136.00   | 0.36%             | 2039-05-15      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| LoanMe Trust SBL                     | LOANME TRUST SBL 2019-1                                                         | CUSIP: 53947KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6317933 | PA      | $6205747.00   | 0.23%             | 2030-08-15      | Variable      | 10.00%                | Yes           |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust       | LUXE Commercial Mortgage Trust 2021-TRIP E                                      | CUSIP: 55066WAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $7328612.00   | 0.27%             | 2038-10-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust       | LUXE Commercial Mortgage Trust 2021-TRIP F                                      | CUSIP: 55066WAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $7006910.00   | 0.26%             | 2038-10-15      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Luxury Lease Partners Auto Tru       | Luxury Lease Partners Auto Trust 2021-ARC2 A                                    | CUSIP: 55069TAA6<br>LEI: 549300J5XQIZMR9LLR50 | Long             | ABS-O            | CORP              | US        |    1638989 | PA      | $1598952.00   | 0.06%             | 2027-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| MBRT 2019 MBR                        | MBRT 2019-MBR H1                                                                | CUSIP: 55282DBE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4776063.00   | 0.18%             | 2036-11-15      | Floating      | 8.67%                 | Yes           |                  2 | On Loan: No      |
| MBRT 2019 MBR                        | MBRT 2019-MBR H2                                                                | CUSIP: 55282DBG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1950000 | PA      | $1844990.00   | 0.07%             | 2036-11-15      | Floating      | 9.62%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC E                                        | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2832126.00   | 0.11%             | 2038-04-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust        | MHC Commercial Mortgage Trust 2021-MHC G                                        | CUSIP: 55316VAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10620000 | PA      | $9727210.00   | 0.36%             | 2038-04-15      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| MVW Owner Trust                      | MVW Owner Trust 2021-1WA D                                                      | CUSIP: 55389TAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2243450 | PA      | $1990522.00   | 0.07%             | 2041-01-22      | Fixed         | 3.17%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN D                                                           | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18386000 | PA      | $17405069.00  | 0.65%             | 2038-11-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN F                                                           | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7733000 | PA      | $7121469.00   | 0.27%             | 2038-11-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                            | MED Trust 2021-MDLN G                                                           | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $13707336.00  | 0.51%             | 2038-11-15      | Floating      | 9.57%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta       | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3                            | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3547498 | PA      | $2833164.00   | 0.11%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card        | Mercury Financial Credit Card Master Trust 2021-1A B                            | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4633771.00   | 0.17%             | 2026-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card        | Mercury Financial Credit Card Master Trust 2021-1A C                            | CUSIP: 58940BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3660051.00   | 0.14%             | 2026-03-20      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Mission Lane Credit Card Maste       | Mission Lane Credit Card Master Trust 2021-A B                                  | CUSIP: 60510MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2803037.00   | 0.10%             | 2026-09-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Mission Lane Credit Card Maste       | Mission Lane Credit Card Master Trust 2021-A C                                  | CUSIP: 60510MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4655480.00   | 0.17%             | 2026-09-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue       | Multifamily Connecticut Avenue Securities Trust 2019-01                         | CUSIP: 62547NAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   17692408 | PA      | $15988935.00  | 0.60%             | 2049-10-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE       | Multifamily Connecticut Avenue Securities Trust 2020-01                         | CUSIP: 62548QAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   15446000 | PA      | $14130296.00  | 0.53%             | 2050-03-25      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE       | Multifamily Connecticut Avenue Securities Trust 2020-01 CE                      | CUSIP: 62548QAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    2000000 | PA      | $1872057.00   | 0.07%             | 2050-03-25      | Floating      | 11.89%                | Yes           |                  2 | On Loan: No      |
| NBC Funding LLC                      | NBC Funding LLC 2021-1 B                                                        | CUSIP: 62878YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2487374.00   | 0.09%             | 2051-07-30      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| NW Re-Remic Trust 2021-FRR1          | NW Re-Remic Trust 2021-FRR1 BK88                                                | CUSIP: 62955LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $15345756.00  | 0.57%             | 2051-12-18      | Variable      | 2.67%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan        | New Residential Mortgage Loan Trust 2022-SFR1 F                                 | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10500000 | PA      | $8780545.00   | 0.33%             | 2039-02-17      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC             | Onslow Bay Financial LLC 2021-INV3 A3                                           | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5358778 | PA      | $4284195.00   | 0.16%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne       | Oak Street Investment Grade Net Lease Fund 2020-1A B1                           | CUSIP: 67181DAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4499000 | PA      | $3844509.00   | 0.14%             | 2050-11-20      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne       | Oak Street Investment Grade Net Lease Fund 2021-1A B1                           | CUSIP: 67190AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2082696.00   | 0.08%             | 2051-01-20      | Fixed         | 4.23%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2021-1A A                                                  | CUSIP: 67422AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1035054 | PA      | $1019927.00   | 0.04%             | 2033-02-15      | Fixed         | 2.58%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2021-2A A                                                  | CUSIP: 67422CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4464996 | PA      | $4354254.00   | 0.16%             | 2033-10-15      | Fixed         | 2.14%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation                 | Oasis Securitization 2021-2A B                                                  | CUSIP: 67422CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4465760 | PA      | $4355866.00   | 0.16%             | 2033-10-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Ondeck Asset Securitization Tr       | Ondeck Asset Securitization Trust LLC 2021-1A C                                 | CUSIP: 68236WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2738018.00   | 0.10%             | 2027-05-17      | Fixed         | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne       | Pretium Mortgage Credit Partners LLC 2021-RN4 A1                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17101137 | PA      | $14997515.00  | 0.56%             | 2051-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-10 A1                                | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9350557 | PA      | $8407912.00   | 0.31%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag       | Preston Ridge Partners Mortgage Trust 2021-9 A1                                 | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11469705 | PA      | $10389082.00  | 0.39%             | 2026-10-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust       | Pagaya AI Debt Selection Trust 2022-1 C                                         | CUSIP: 69546MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3679513 | PA      | $3076121.00   | 0.12%             | 2029-10-15      | Fixed         | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust       | Pagaya AI Debt Selection Trust 2021-1 CERT                                      | CUSIP: 69547JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1846154 | PA      | $411877.00    | 0.01%             | 2027-11-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Pawnee Equipment Receivables         | Pawnee Equipment Receivables Series 2019-1 LLC                                  | CUSIP: 704102AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4467000 | PA      | $4402198.00   | 0.16%             | 2026-01-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Pawnee Equipment Receivables         | Pawnee Equipment Receivables 2022-1 D                                           | CUSIP: 70410DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5036170.00   | 0.19%             | 2028-07-17      | Fixed         | 7.23%                 | Yes           |                  2 | On Loan: No      |
| Pawnee Equipment Receivables         | Pawnee Equipment Receivables 2022-1 E                                           | CUSIP: 70410DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5379000 | PA      | $5225631.00   | 0.20%             | 2029-09-17      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Pawnee Equipment Receivables         | Pawnee Equipment Receivables Series 2020-1 LLC                                  | CUSIP: 70410LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6165000 | PA      | $5921579.00   | 0.22%             | 2027-07-15      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Perimeter Master Note Business       | Perimeter Master Note Business Trust                                            | CUSIP: 71384PAF8<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |    2250000 | PA      | $2188178.00   | 0.08%             | 2024-05-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Point Securitization Trust           | Point Securitization Trust 2021-1 A1                                            | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5565592 | PA      | $5323109.00   | 0.20%             | 2052-02-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| PRIMA Capital LTD                    | PRIMA Capital Ltd                                                               | CUSIP: 74166VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10500000 | PA      | $8410896.00   | 0.31%             | 2050-12-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| PRIMA Capital LTD                    | PRIMA Capital Ltd 2021-9A C                                                     | CUSIP: 74167FAA8<br>LEI: 549300ZEHDT9W3VCCX28 | Long             | ABS-O            | CORP              | US        |   15000000 | PA      | $13916850.00  | 0.52%             | 2037-12-15      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust           | Progress Residential Trust 2022-SFR3 F                                          | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2217461.00   | 0.08%             | 2039-04-17      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust           | Progress Residential Trust 2021-SFR11 F                                         | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4885000 | PA      | $3773198.00   | 0.14%             | 2039-01-17      | Fixed         | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust           | Progress Residential Trust 2022-SFR1 F                                          | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9000000 | PA      | $6979493.00   | 0.26%             | 2041-02-17      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC          | Raptor Aircraft Finance I LLC                                                   | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | KY        |   10573424 | PA      | $7689830.00   | 0.29%             | 2044-08-23      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| SEB Funding LLC                      | SEB Funding LLC 2021-1A A2                                                      | CUSIP: 78433DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21692633 | PA      | $18364029.00  | 0.69%             | 2052-01-30      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                 | SMRT 2022-MINI E                                                                | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6404967.00   | 0.24%             | 2039-01-15      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receiv       | Santander Consumer Auto Receivables Trust 2021-AA E                             | CUSIP: 80282YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1622986.00   | 0.06%             | 2027-03-15      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receiv       | Santander Consumer Auto Receivables Trust 2020-BA                               | CUSIP: 802830AX7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1439921.00   | 0.05%             | 2027-01-15      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin       | Santander Bank Auto Credit-Linked Notes 2022-B E                                | CUSIP: 80290CBA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4701332 | PA      | $4680433.00   | 0.17%             | 2032-08-16      | Fixed         | 8.68%                 | Yes           |                  2 | On Loan: No      |
| Sierra Receivables Funding Co        | Sierra Receivables Funding Co LLC 2020-2A D                                     | CUSIP: 826525AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2284097 | PA      | $2175599.00   | 0.08%             | 2037-07-20      | Fixed         | 6.59%                 | Yes           |                  2 | On Loan: No      |
| Sierra Receivables Funding Co        | Sierra Timeshare 2019-2 Receivables Funding LLC                                 | CUSIP: 82652MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2325371 | PA      | $2141612.00   | 0.08%             | 2036-05-20      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Sierra Receivables Funding Co        | Sierra Receivables Funding Co LLC 2021-1A D                                     | CUSIP: 82652QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4919366 | PA      | $4467704.00   | 0.17%             | 2037-11-20      | Fixed         | 3.17%                 | Yes           |                  2 | On Loan: No      |
| Sierra Receivables Funding Co        | Sierra Timeshare 2019-1 Receivables Funding LLC                                 | CUSIP: 82653EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1346338 | PA      | $1256175.00   | 0.05%             | 2036-01-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Sierra Receivables Funding Co        | Sierra Receivables Funding Co LLC 2022-3A C                                     | CUSIP: 826934AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2233207 | PA      | $2225705.00   | 0.08%             | 2039-07-20      | Fixed         | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Project Silver                       | Project Silver                                                                  | CUSIP: 827304AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     898315 | PA      | $352323.00    | 0.01%             | 2044-07-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Sprite Limited                       | Sprite Limited 2021-1 B                                                         | CUSIP: 85208UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5409120 | PA      | $4302100.00   | 0.16%             | 2046-11-15      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Sprite Limited                       | Sprite Limited 2021-1 C                                                         | CUSIP: 85208UAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5071440 | PA      | $4154392.00   | 0.15%             | 2046-11-15      | Fixed         | 8.84%                 | Yes           |                  2 | On Loan: No      |
| Summit Issuer, LLC                   | Summit Issuer LLC 2020-1A B                                                     | CUSIP: 86613XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2144706.00   | 0.08%             | 2050-12-20      | Fixed         | 3.18%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 DK33                                               | CUSIP: 872659AU1<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    2237000 | PA      | $2077837.00   | 0.08%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 DK34                                               | CUSIP: 872659AW7<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    5124000 | PA      | $4759426.00   | 0.18%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 DK35                                               | CUSIP: 872659AY3<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    2639000 | PA      | $2451234.00   | 0.09%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust                   | TPI Re-Remic Trust 2022-FRR1 EK34                                               | CUSIP: 872659BC0<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4603568.00   | 0.17%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TVEST 2021A, LLC                     | TVEST LLC 2021-A B                                                              | CUSIP: 87308TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6550000 | PA      | $4892064.00   | 0.18%             | 2033-09-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust               | Tesla Auto Lease Trust 2021-A E                                                 | CUSIP: 88161FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3850000 | PA      | $3600590.00   | 0.14%             | 2025-03-20      | Fixed         | 2.64%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                | Theorem Funding Trust 2022-3A A                                                 | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9416800 | PA      | $9414835.00   | 0.35%             | 2029-04-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Thrust Engine Leasing                | Thrust Engine Leasing 2021-1A A                                                 | CUSIP: 88603UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9466889 | PA      | $6953519.00   | 0.26%             | 2040-07-15      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization T       | Tricolor Auto Securitization Trust 2022-1A E                                    | CUSIP: 89616BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10870000 | PA      | $10583197.00  | 0.40%             | 2027-08-16      | Fixed         | 7.79%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2019-2 C                                           | CUSIP: 916780AC3<br>LEI: 549300PN2KS41LBX8D66 | Long             | ABS-O            | CORP              | US        |    6438162 | PA      | $6423377.00   | 0.24%             | 2029-09-20      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2019-3 C                                           | CUSIP: 91678WAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14117618 | PA      | $14043481.00  | 0.53%             | 2030-01-21      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2020-3 B                                           | CUSIP: 91680EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4270374 | PA      | $4239171.00   | 0.16%             | 2030-11-20      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2020-3 C                                           | CUSIP: 91680EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20527000 | PA      | $19833452.00  | 0.74%             | 2030-11-20      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-1 B                                           | CUSIP: 91681NAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5300000 | PA      | $5193553.00   | 0.19%             | 2031-03-20      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust         | Upstart Securitization Trust 2021-1 C                                           | CUSIP: 91681NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3250000 | PA      | $2986653.00   | 0.11%             | 2031-03-20      | Fixed         | 4.06%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                           | VASA Trust 2021-VASA D                                                          | CUSIP: 92230AAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6437824.00   | 0.24%             | 2039-07-15      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                           | VASA Trust 2021-VASA F                                                          | CUSIP: 92230AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5500000 | PA      | $4773807.00   | 0.18%             | 2039-07-15      | Floating      | 8.22%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                     | VB-S1 Issuer LLC 2020-2A B                                                      | CUSIP: 92535VAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5750000 | PA      | $5157044.00   | 0.19%             | 2050-09-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                     | VB-S1 Issuer LLC 2020-2A C                                                      | CUSIP: 92535VAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5364083.00   | 0.20%             | 2050-09-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag       | Wells Fargo Commercial Mortgage Trust 2021-C61 XA                               | CUSIP: 95003QBC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   81397511 | PA      | $5988306.00   | 0.22%             | 2054-11-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                     | Westgate Resorts 2022-1A D                                                      | CUSIP: 96034JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3001825 | PA      | $2769785.00   | 0.10%             | 2036-08-20      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivable       | Westlake Automobile Receivable Trust 2020-3A F                                  | CUSIP: 96042QAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6795437.00   | 0.25%             | 2027-05-17      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivable       | Westlake Automobile Receivable Trust 2021-3A E                                  | CUSIP: 96043JAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4315605.00   | 0.16%             | 2027-04-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Willis Engine Securitization T       | Willis Engine Securitization Trust 2020-A B                                     | CUSIP: 97064FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5487497 | PA      | $3676959.00   | 0.14%             | 2045-03-15      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Willis Engine Securitization T       | Willis Engine Securitization Trust 2020-A C                                     | CUSIP: 97064FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1577551 | PA      | $1041972.00   | 0.04%             | 2045-03-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Z CAPITAL CREDIT PARTNERS CLO        | Z Capital Credit Partners CLO 2018-1A A2 Ltd                                    | CUSIP: 98878CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    3058485 | PA      | $3022019.00   | 0.11%             | 2031-01-16      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LL       | Cologix Data Centers Issuer LLC 2022-1CAN A2                                    | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    5000000 | PA      | $3369294.00   | 0.13%             | 2052-01-25      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage        | Citigroup Commercial Mortgage Trust 2021-PRM2                                   | CUSIP: 17291HAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1881170.00   | 0.07%             | 2036-10-15      | Floating      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage        | Citigroup Commercial Mortgage Trust 2021-PRM2                                   | CUSIP: 17291HAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5657158.00   | 0.21%             | 2036-10-15      | Floating      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage        | Citigroup Commercial Mortgage Trust 2021-PRM2                                   | CUSIP: 17291HAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5500823.00   | 0.21%             | 2036-10-15      | Floating      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage        | Citigroup Commercial Mortgage Trust 2021-PRM2                                   | CUSIP: 17291HAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5545565.00   | 0.21%             | 2036-10-15      | Floating      | 9.72%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd             | Madison Park Funding Ltd 2016-22A DR                                            | CUSIP: 55819XBG6<br>LEI: 254900YXXBTCF4NGD347 | Long             | ABS-O            | CORP              | KY        |    8500000 | PA      | $7836099.00   | 0.29%             | 2033-01-15      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd       | Palmer Square Loan Funding 2022-5A C                                            | CUSIP: 69702QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    7000000 | PA      | $6705426.00   | 0.25%             | 2031-01-15      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Thunderbolt Aircraft Lease Lim       | Thunderbolt Aircraft Lease Ltd 2017-A B                                         | CUSIP: 88606WAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2354539 | PA      | $1685382.00   | 0.06%             | 2032-05-17      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| ACURIS FINANCE US INC                | Acuris Finance US Inc                                                           | CUSIP: 00510DAB0<br>LEI: 213800PHEXJH1L7ZN896 | Long             | LON              | CORP              | US        |    2570885 | PA      | $2522681.00   | 0.09%             | 2028-02-16      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| ARCLINE FM HOLDINGS LLC              | Arcline FM Holdings LLC                                                         | CUSIP: 03960DAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   12859010 | PA      | $11315929.00  | 0.42%             | 2029-06-25      | Floating      | 12.98%                | No            |                  2 | On Loan: No      |
| ARUBA INVESTMENT HOLDING             | Aruba Investments Holdings LLC                                                  | CUSIP: 04317JAF5<br>LEI: 254900GMIYFF4FZ0A357 | Long             | LON              | CORP              | US        |    5786000 | PA      | $5236330.00   | 0.20%             | 2028-11-24      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| QUIKSILVER INC                       | Boardriders Inc                                                                 | CUSIP: 09660JAB6<br>LEI: 54930013HYANWRQLRU09 | Long             | LON              | CORP              | US        |    4502490 | PA      | $2386320.00   | 0.09%             | 2024-04-23      | Floating      | 10.91%                | No            |                  2 | On Loan: No      |
| QUIKSILVER INC                       | Boardriders Inc                                                                 | CUSIP: 09660JAE0<br>LEI: 54930013HYANWRQLRU09 | Long             | LON              | CORP              | US        |       1521 | PA      | $1521.00      | 0.00%             | 2024-04-23      | Floating      | 12.56%                | No            |                  3 | On Loan: No      |
| CAESARS RESORT COLLECTIO             | CAESARS RESORT COLLECTIO                                                        | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    6613000 | PA      | $6590450.00   | 0.25%             | 2025-07-21      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES LP                | Citadel Securities LP                                                           | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    7329830 | PA      | $7177736.00   | 0.27%             | 2028-02-02      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                | Directv Financing LLC                                                           | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6169638 | PA      | $5993557.00   | 0.22%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| EYECARE PARTNERS LLC                 | Eyecare Partners LLC                                                            | CUSIP: 30233PAK6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |    7500000 | PA      | $6099975.00   | 0.23%             | 2029-11-15      | Floating      | 11.48%                | No            |                  2 | On Loan: No      |
| FIRST STUDENT BIDCO INC              | First Student Bidco Inc                                                         | CUSIP: 33718FAB6<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |    2696078 | PA      | $2429275.00   | 0.09%             | 2028-07-21      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| FIRST STUDENT BIDCO INC              | First Student Bidco Inc                                                         | CUSIP: 33718FAD2<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |    7249142 | PA      | $6531767.00   | 0.24%             | 2028-07-21      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| JOURNEY PERSONAL CARE CO             | Journey Personal Care Corp                                                      | CUSIP: 48114NAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3385236 | PA      | $2455988.00   | 0.09%             | 2028-03-01      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| LSF9 ATLANTIS HOLDINGS LLC           | LSF9 ATLANTIS HOLDINGS LLC                                                      | CUSIP: 50226BAH1<br>LEI: 549300KWDYQKQSF0MQ18 | Long             | LON              | CORP              | US        |    8900000 | PA      | $8628550.00   | 0.32%             | 2029-03-31      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| MIC GLEN LLC                         | Mic Glen LLC                                                                    | CUSIP: 55304PAE1<br>LEI: 549300XD843A2SP50882 | Long             | LON              | CORP              | US        |    7907942 | PA      | $7169894.00   | 0.27%             | 2029-07-20      | Floating      | 11.13%                | No            |                  2 | On Loan: No      |
| MAGENTA BUYER LLC                    | McAfee Enterprise Business Second-lien Term Loan 825 2029-04-12                 | CUSIP: 55910RAE3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8900000 | PA      | $6971637.00   | 0.26%             | 2029-07-27      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| MAMBA PURCHASER INC                  | Mamba Purchaser Inc                                                             | CUSIP: 56150KAE5<br>LEI: 549300EAB6F7TKRLOT57 | Long             | LON              | CORP              | US        |    4000000 | PA      | $3280000.00   | 0.12%             | 2029-10-15      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| MITCHELL INTERNATIONAL               | Mitchell International First-lien Term Loan 375 2028-09-19                      | CUSIP: 60662WAS1<br>LEI: 5493002RDNIGEM7SSV41 | Long             | LON              | CORP              | US        |    7800800 | PA      | $7170495.00   | 0.27%             | 2028-10-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| NATIONAL MENTOR HOLDINGS             | National Mentor Holdings Inc                                                    | CUSIP: 63689EAW5<br>LEI: 5493004QULJVJP3CNZ62 | Long             | LON              | CORP              | US        |     580826 | PA      | $378989.00    | 0.01%             | 2029-03-02      | Floating      | 11.98%                | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC                    | Rent-A-Center Inc                                                               | CUSIP: 76009WAW0<br>LEI: 529900QUHE15UQNCCJ63 | Long             | LON              | CORP              | US        |    4937343 | PA      | $4746021.00   | 0.18%             | 2028-02-17      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| SOVOS BRANDS INTERMEDIATE            | Sovos Brands Intermediate Inc                                                   | CUSIP: 84611UAH1<br>LEI: 549300LNTCFBIDJ7R637 | Long             | LON              | CORP              | US        |    3495764 | PA      | $3396729.00   | 0.13%             | 2028-06-08      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| CORNERSTONE ONDEMAND INC             | Sunshine Software Merger Sub Inc                                                | CUSIP: 86803YAB9<br>LEI: 549300Z402F16H5EGH48 | Long             | LON              | CORP              | US        |    4952115 | PA      | $4407382.00   | 0.17%             | 2028-10-16      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| SURGERY CENTER HOLDINGS INC          | Surgery Center Holdings Inc                                                     | CUSIP: 86880NAX1<br>LEI: 54930054EVI5HWPPW113 | Long             | LON              | CORP              | US        |    2380784 | PA      | $2347786.00   | 0.09%             | 2026-08-31      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| WOOF HOLDINGS INC                    | Woof Holdings Inc                                                               | CUSIP: 98082EAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1707290 | PA      | $1536561.00   | 0.06%             | 2028-12-21      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| WYNDHAM WORLDWIDE CORP               | Wyndham Worldwide Corp                                                          | CUSIP: 98309GAD8<br>LEI: T4VNTWMFQ7JQB65L7T35 | Long             | LON              | CORP              | US        |    4500000 | PA      | $4421250.00   | 0.17%             | 2029-12-14      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| LOIRE FINCO LUXEMBOURG               | Loire Finco Luxembourg                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | GB        |    2660000 | PA      | $2611316.00   | 0.10%             | 2027-04-21      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| TACALA INVESTMENT CORP               | Tacala Investment Corp                                                          | CUSIP: N/A<br>LEI: 549300XTM341KBSTDI88       | Long             | LON              | CORP              | US        |    5683991 | PA      | $5134065.00   | 0.19%             | 2028-02-04      | Floating      | 11.88%                | No            |                  2 | On Loan: No      |
| INEOS US PETROCHEM LLC               | INEOS US Petrochem LLC                                                          | CUSIP: G4770MAH7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3576725 | PA      | $3507873.00   | 0.13%             | 2026-01-29      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| HERENS US HOLDCO CORP                | Herens US Holdco Corp                                                           | CUSIP: L4780EAC8<br>LEI: 549300Y0CIXN5D40L888 | Long             | LON              | CORP              | US        |    7596586 | PA      | $6941380.00   | 0.26%             | 2028-07-03      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC              | Standard Industries Inc                                                         | CUSIP: 85350EAB2<br>LEI: 54930064UHXCIUWVI755 | Long             | LON              | CORP              | US        |    7913865 | PA      | $7809323.00   | 0.29%             | 2028-09-22      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HO             | PECF USS Intermediate Holding III Corp                                          | CUSIP: 69291LAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   10644153 | PA      | $8844972.00   | 0.33%             | 2028-12-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| DRIVEN HOLDINGS LLC                  | Driven Holdings LLC                                                             | CUSIP: 26209HAC0<br>LEI: 2549009H8IC4YXR5FV18 | Long             | LON              | CORP              | US        |    4602565 | PA      | $4349423.00   | 0.16%             | 2028-12-17      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| OLAPLEX INC                          | Olaplex Inc                                                                     | CUSIP: 67936UAB7<br>LEI: 254900QYCAW2BUUZ1O97 | Long             | LON              | CORP              | US        |    6268500 | PA      | $5829705.00   | 0.22%             | 2029-02-23      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| PERRIGO INVESTMENTS LLC              | Perrigo Investments LLC                                                         | CUSIP: 71429TAC4<br>LEI: 549300POZGC78VHAAJ73 | Long             | LON              | CORP              | US        |    4987500 | PA      | $4950094.00   | 0.18%             | 2029-04-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| FLUTTER FINANCING BV                 | Flutter Financing BV                                                            | CUSIP: N8233BAE2<br>LEI: 635400VFWPBIKJK6GN11 | Long             | LON              | CORP              | NL        |    8713513 | PA      | $8663933.00   | 0.32%             | 2028-07-22      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| DELTA 2 LUX SARL                     | Delta 2 Lux Sarl                                                                | CUSIP: 9TERM7BA1<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |    6300000 | PA      | $6292125.00   | 0.23%             | 2030-01-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| SUMMIT MATERIALS LLC                 | Summit Materials LLC                                                            | CUSIP: 86614DAJ7<br>LEI: 549300C97P3BW8QROE16 | Long             | LON              | CORP              | US        |     711000 | PA      | $710111.00    | 0.03%             | 2027-12-14      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| LUXEMBOURG INVESTMENT CO             | Luxembourg Investment Co 428 Sarl                                               | CUSIP: L6124KAC4<br>LEI: 254900EYK4430ZH92J61 | Long             | LON              | CORP              | DE        |    7944280 | PA      | $6249527.00   | 0.23%             | 2029-01-03      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| STARS GROUP HOLDINGS BV              | Stars Group Holdings BV                                                         | CUSIP: N8233BAC6<br>LEI: 549300RNFXC8F8RT6R13 | Long             | LON              | CORP              | NL        |    5361482 | PA      | $5278808.00   | 0.20%             | 2026-07-21      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                  | Sell CAD / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-57674.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-3289487.00  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-63497.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-59415.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-69814.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-43277.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-22475.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-191984.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $21221.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell USD / Buy EUR                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $61585.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-47269.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | Sell EUR / Buy USD                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |          1 | NC      | $-70621.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                  | US 5YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2416 | NC      | $773896.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 2YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      12272 | NC      | $-8539628.00  | -0.32%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10YR NOTE (CBT)Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3767 | NC      | $-3999377.00  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US LONG BOND(CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -64 | NC      | $139000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US 10yr Ultra Fut Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -3628 | NC      | $9515535.00   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | US ULTRA BOND CBT Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -75 | NC      | $488750.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                  | CDX.HY.CDSI S39                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        | -166250000 | OU      | $-968245.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-14

**Name of Applicant:** JANUS INVESTMENT FUND

**Signature:** JESPER NERGAARD

**Name of Signer:** JESPER NERGAARD

**Title:** VP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER