# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-23-009104
**Filing Date:** 2023-2
**Character Count:** 360923
**Document Hash:** 3a72cb4fc2d513206efdbf821bedf28c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009104.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009104

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 23663076

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Variable Series Trust
- **DATE OF NAME CHANGE:** 20070920

## Series and Classes Contracts Data

### Columbia Variable Portfolio - Balanced Fund (Series ID: S000019838)

| Class ID   | Class Name                                          | Ticker Symbol   |
|:---|:---|:---|
| C000055675 | Columbia Variable Portfolio - Balanced Fund Class 3 |  |
| C000143976 | Columbia Variable Portfolio - Balanced Fund Class 1 |  |
| C000143977 | Columbia Variable Portfolio - Balanced Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Columbia Funds Variable Series Trust II

- **b. Investment Company Act file number:** 811-22127

- **c. CIK number of Registrant:** 0001413032

- **d. LEI of Registrant:** 54930017CSZ4UCL7G406

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

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 800-345-6611

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

- **a. Name of Series:** Columbia Variable Portfolio - Balanced Fund

- **b. EDGAR series identifier (if any):** S000019838

- **c. LEI of Series:** BP7VEYBDB8571LB64036

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

- **a. Date of fiscal year-end:** 2022-12-31

- **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:** $1326897681.16

**Total Liabilities:** $156112362.83

**Net Assets:** $1170785318.33

**Delayed Delivery Securities:** $152579968.09

**Cash Not Reported:** $474880.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 105640.254500000000 | **1-Year:** 162.497300000000 | **5-Year:** 7469.615300000000 | **10-Year:** 38350.743200000000 | **30-Year:** 44843.020700000000

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

- **3-Month:** 21.780300000000 | **1-Year:** 1746.675500000000 | **5-Year:** 16910.247300000000 | **10-Year:** 41285.747500000000 | **30-Year:** 41423.735300000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055675 | 4.11%                | 4.32%                | -3.87%               |
| Class ID C000143976 | 4.10%                | 4.34%                | -3.86%               |
| Class ID C000143977 | 4.06%                | 4.31%                | -3.88%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5371318.49             | $52157713.88                               |
| Month 2  | $-2815017.06             | $49169740.21                               |
| Month 3  | $9802895.93              | $-57663993.05                              |

**Designated Index Information**

- **Index Name:** 60% SNP500 / 40% LEH_AGG Index

- **Index Identifier:** SNPLEHAGU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_21-FCMT               | WFCM_21-FCMT                               | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $697931.85    | 0.06%             | 2031-05-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_21-FCMT               | WFCM_21-FCMT                               | CUSIP: 95003EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $559889.94    | 0.05%             | 2031-05-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                           | WESCO DISTRIBUTION INC                     | CUSIP: 95081QAN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43000 | PA      | $43588.24     | 0.00%             | 2025-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                           | WESCO DISTRIBUTION INC                     | CUSIP: 95081QAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     46000 | PA      | $46637.28     | 0.00%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                          | WESTERN MIDSTREAM OPERATING LP             | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     51000 | PA      | $46735.41     | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                          | WESTERN GAS PARTNERS LP                    | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     28000 | PA      | $23254.98     | 0.00%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                          | WESTERN MIDSTREAM OPERATING LP             | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $826855.88    | 0.07%             | 2050-02-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                              | WHITE CAP BUYER LLC                        | CUSIP: 96350RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     61000 | PA      | $53152.79     | 0.00%             | 2028-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GATES GLOBAL LLC                                                 | GATES GLOBAL LLC/GATES GLOBAL CO           | CUSIP: 36740LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     82000 | PA      | $79078.90     | 0.01%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                              | General Electric Co                        | CUSIP: 000000000<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EC               | CORP              | US        |     97937 | NS      | $8206141.23   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| WILLIAMS COMPANIES INC                                           | WILLIAMS PARTNERS LP                       | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $874683.55    | 0.07%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE INC                                         | WOLVERINE WORLD WIDE INC                   | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |     22000 | PA      | $16658.52     | 0.00%             | 2029-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                                         | WYNN RESORTS FIN LLC/CAPITAL CORP          | CUSIP: 983133AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26000 | PA      | $25886.65     | 0.00%             | 2025-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                  | XCEL ENERGY INC                            | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    900000 | PA      | $802751.85    | 0.07%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                          | FRONT RANGE BIDCO INC                      | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |     39000 | PA      | $28903.43     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Zebra Technologies Corp                                          | Zebra Technologies Corp                    | CUSIP: 989207105<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | EC               | CORP              | US        |      7990 | NS      | $2048715.90   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| ZIGGO BOND COMPANY BV                                            | ZIGGO BOND CO BV                           | CUSIP: 98953GAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     38000 | PA      | $30827.73     | 0.00%             | 2030-02-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ZIGGO BOND COMPANY BV                                            | ZIGGO BOND FINANCE BV                      | CUSIP: 98954UAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     53000 | PA      | $49337.20     | 0.00%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 1 LTD GLM_21-10A               | GLM_21-10A                                 | CUSIP: 38138TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1425000 | PA      | $1391303.03   | 0.12%             | 2034-07-20      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                    | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2854041.44   | 0.24%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                         | ZIGGO BV                                   | CUSIP: 98955DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     50000 | PA      | $41807.61     | 0.00%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ZOOMINFO TECHNOLOGIES INC                                        | ZoomInfo Technologies Inc                  | CUSIP: 98980F104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    126507 | NS      | $3809125.77   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| ZOOMINFO TECHNOLOGIES LLC                                        | ZI TECH LLC/ZI FIN CORP                    | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $75841.28     | 0.01%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORP                                             | EPICOR SOFTWARE CORP 2ND LN 7.75           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     17000 | PA      | $16719.50     | 0.00%             | 2028-07-31      | Variable      | 12.13%                | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER SAU                                        | GRIFOLS ESCROW ISSUER SAU                  | CUSIP: 39843UAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |     28000 | PA      | $24225.70     | 0.00%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTO INC                                                 | GROUP 1 AUTOMOTIVE INC                     | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     46000 | PA      | $39109.17     | 0.00%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                                                  | DIGICERT INC 2ND LN TL 7.0                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     36000 | PA      | $32724.00     | 0.00%             | 2029-02-19      | Variable      | 11.70%                | No            |                  2 | On Loan: No      |
| W R GRACE HOLDINGS LLC                                           | WR GRACE & CO TLB 3.75                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     33660 | PA      | $32965.93     | 0.00%             | 2028-09-22      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES INC                                       | H&E EQUIPMENT SERVICES INC                 | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |     17000 | PA      | $14472.78     | 0.00%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HB FULLER CO                                                     | H.B. FULLER CO                             | CUSIP: 40410KAA3<br>LEI: JSMX3Z5FOYM8V0Q52357 | Long             | DBT              | CORP              | US        |     79000 | PA      | $69546.24     | 0.01%             | 2028-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                          | UKG - ULTIMATE INC TL 1LN 3.25             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     22953 | PA      | $21805.50     | 0.00%             | 2026-05-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                          | UKG - ULTIMATE INC TL 2LN 5.25             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     45000 | PA      | $41197.50     | 0.00%             | 2027-05-03      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US 5YR NOTE MAR 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       337 | NC      | $-231306.81   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AON PLC                                                          | Aon PLC                                    | CUSIP: G0403H108<br>LEI: 635400FALWQYX5E6QC64 | Long             | EC               | CORP              | IE        |     19735 | NS      | $5923262.90   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                    | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1272606.81   | 0.11%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                          | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2600000 | PA      | $2007001.85   | 0.17%             | 2032-05-24      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECTUAL PROPERTY LTD                         | HAWAIIAN BRAND/HAWAIIAN MILES              | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     45737 | PA      | $41382.58     | 0.00%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                 | HEALTHEQUITY INC                           | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |     26000 | PA      | $23099.14     | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACCENTURE PLC                                                    | Accenture PLC                              | CUSIP: G1151C101<br>LEI: N/A                  | Long             | EC               | CORP              | IE        |     19055 | NS      | $5084636.20   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| TE CONNECTIVITY LTD                                              | TE Connectivity Ltd                        | CUSIP: H84989104<br>LEI: 894500ZRIX9K13RHXR17 | Long             | EC               | CORP              | CH        |     59162 | NS      | $6791797.60   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 2YR NOTE MAR 23                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -184 | NC      | $107054.47    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 10YR NOTE MAR 23                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       783 | NC      | $-691572.54   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| HELIOS SOFTWARE HOLDINGS INC                                     | HELIOS SOFTWARE HOLDINGS INC               | CUSIP: 42329HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     29000 | PA      | $22072.86     | 0.00%             | 2028-05-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                | HERC HOLDINGS INC                          | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16781.35     | 0.00%             | 2027-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HERENS HOLDCO SARL                                               | LONZA SPECIALTY INGREDIENTS                | CUSIP: 427169AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     40000 | PA      | $31990.00     | 0.00%             | 2028-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                            | HIGHTOWER HOLDINGS LLC                     | CUSIP: 43118DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $37668.97     | 0.00%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP                                              | HILCORP ENERGY I LP/HILCORP FIN            | CUSIP: 431318AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $58970.45     | 0.01%             | 2028-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP                                              | HILCORP ENERGY I LP/HILCORP FIN            | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11000 | PA      | $9829.25      | 0.00%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP                                              | HILCORP ENERGY I LP/HILCORP FIN            | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21000 | PA      | $18793.09     | 0.00%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP                                              | HILCORP ENERGY I LP/HILCORP FIN            | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19000 | PA      | $16323.12     | 0.00%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                            | HILTON DOMESTIC OPERATING CO               | CUSIP: 432833AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     33000 | PA      | $32106.54     | 0.00%             | 2028-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST HGVT_18-AA                          | HGVT_18-AA                                 | CUSIP: 43284BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181542 | PA      | $174114.77    | 0.01%             | 2032-02-25      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US ULTRA T-BOND MAR 23                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        32 | NC      | $19658.81     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HGVT_19-AA                                                       | HGVT_19-AA                                 | CUSIP: 43284HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416893 | PA      | $389109.45    | 0.03%             | 2033-07-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD COLLATERALIZED NOTES NZES_20-PLS1              | NZES_20-PLS1                               | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    443563 | PA      | $404235.10    | 0.03%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY                                                     | HOLLY ENERGY PARTNERS LP / FIN             | CUSIP: 435765AH5<br>LEI: 529900NVV7ODCT0QCG29 | Long             | DBT              | CORP              | US        |     41000 | PA      | $37572.34     | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY                                                     | HOLLY ENERGY PARTNERS LP / FIN             | CUSIP: 435765AJ1<br>LEI: 529900NVV7ODCT0QCG29 | Long             | DBT              | CORP              | US        |     36000 | PA      | $35527.13     | 0.00%             | 2027-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HOME RE LTD HMIR_21-1                                            | HMIR_21-1                                  | CUSIP: 437307AB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    984110 | PA      | $977433.15    | 0.08%             | 2033-07-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_19-2                          | HPA_19-2                                   | CUSIP: 43732TAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039293 | PA      | $870938.50    | 0.07%             | 2039-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_21-2                          | HPA_21-2                                   | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6319491 | PA      | $5398332.50   | 0.46%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-2                     | HOF_20-2                                   | CUSIP: 43789XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    550000 | PA      | $495930.33    | 0.04%             | 2065-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                      | Honeywell International Inc                | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     28012 | NS      | $6002971.60   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| HUB INTERNATIONAL LTD                                            | HUB INTERNATIONAL LIMITED                  | CUSIP: 44332PAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $44172.64     | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                            | HUB INTERNATIONAL LIMITED                  | CUSIP: 44332PAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59000 | PA      | $51740.76     | 0.00%             | 2029-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Hudbay                                                           | HUDBAY MINERALS INC                        | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |     42000 | PA      | $38278.62     | 0.00%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Hudbay                                                           | HUDBAY MINERALS INC                        | CUSIP: 443628AJ1<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |    125000 | PA      | $114126.69    | 0.01%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IAA INC                                                          | IAA SPINCO INC                             | CUSIP: 449253AB9<br>LEI: 549300PZCOPC5178W747 | Long             | DBT              | CORP              | US        |    112500 | PA      | $109331.13    | 0.01%             | 2027-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ILPT COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES ILPT_22-LPF2  | ILPT_22-LPF2                               | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2200528.31   | 0.19%             | 2039-10-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                | ILIAD HOLDING SAS                          | CUSIP: 449691AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     53000 | PA      | $49225.14     | 0.00%             | 2026-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                | ILIAD HOLDING SAS                          | CUSIP: 449691AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     79000 | PA      | $71651.15     | 0.01%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP                                                 | IRB HOLDING CORP                           | CUSIP: 44988MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     58000 | PA      | $57842.41     | 0.00%             | 2025-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC                   | CUSIP: 45174HBC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6440 | PA      | $5923.81      | 0.00%             | 2026-05-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC                   | CUSIP: 45174HBD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86366 | PA      | $73558.23     | 0.01%             | 2027-05-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC                   | CUSIP: 45174HBE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $22854.82     | 0.00%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC                   | CUSIP: 45174HBG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $39853.09     | 0.00%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGAN POWER CO                                        | INDIANA MICHIGAN POWER COMPANY             | CUSIP: 454889AM8<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |    600000 | PA      | $624074.63    | 0.05%             | 2037-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2 PLC                                      | INEOS QUATTRO FINANCE 2 PLC                | CUSIP: 45674GAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     25000 | PA      | $22612.73     | 0.00%             | 2026-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                             | NEXTERA ENERGY OP PARTNERS LP              | CUSIP: 65342QAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16000 | PA      | $15549.27     | 0.00%             | 2024-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NFP CORP                                                         | NFP CORP                                   | CUSIP: 65342RAD2<br>LEI: VO2L9FZNXDJNQNEYH039 | Long             | DBT              | CORP              | US        |    135000 | PA      | $111778.69    | 0.01%             | 2028-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NFP CORP                                                         | NFP CORP                                   | CUSIP: 65342RAE0<br>LEI: VO2L9FZNXDJNQNEYH039 | Long             | DBT              | CORP              | US        |     46000 | PA      | $39164.46     | 0.00%             | 2028-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NFP CORP                                                         | NFP CORP                                   | CUSIP: 65342RAF7<br>LEI: VO2L9FZNXDJNQNEYH039 | Long             | DBT              | CORP              | US        |     41000 | PA      | $38540.00     | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC.                                                    | NISOURCE FINANCE CORPORATION               | CUSIP: 65473QBC6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1147804.50   | 0.10%             | 2044-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                            | NORTHROP GRUMMAN CORP                      | CUSIP: 666807CE0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    375000 | PA      | $435142.35    | 0.04%             | 2031-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                              | NOVA CHEMICALS CORP                        | CUSIP: 66977WAQ2<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | NUSS              | CA        |     25000 | PA      | $24218.88     | 0.00%             | 2024-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                              | NOVA CHEMICALS CORP                        | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | NUSS              | CA        |     34000 | PA      | $30543.58     | 0.00%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                              | NOVA CHEMICALS CORP                        | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | NUSS              | CA        |     45000 | PA      | $36755.22     | 0.00%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Novelis                                                          | NOVELIS CORPORATION                        | CUSIP: 670001AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     52000 | PA      | $45974.44     | 0.00%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Novelis                                                          | NOVELIS CORP                               | CUSIP: 670001AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $25094.72     | 0.00%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Novelis                                                          | NOVELIS CORP                               | CUSIP: 670001AH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26000 | PA      | $21275.19     | 0.00%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                              | NUSTAR LOGISTICS LP                        | CUSIP: 67059TAE5<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37601.89     | 0.00%             | 2027-04-28      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                              | NUSTAR LOGISTICS LP                        | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33804.05     | 0.00%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                              | NUSTAR LOGISTICS LP                        | CUSIP: 67059TAH8<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27830.68     | 0.00%             | 2030-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                      | NVIDIA Corp                                | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     67964 | NS      | $9932258.96   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| OAK HILL CREDIT PARTNERS OAKC_19-4A                              | OAKC_19-4A                                 | CUSIP: 67098DAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1375000 | PA      | $1342807.13   | 0.11%             | 2036-10-22      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_21-1A                                        | OMIR_21-1A                                 | CUSIP: 67401FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    825000 | PA      | $807770.54    | 0.07%             | 2033-10-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC OBX_20-EXP3                             | OBX_20-EXP3                                | CUSIP: 67448WBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    185507 | PA      | $182988.72    | 0.02%             | 2060-01-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION           | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    102000 | PA      | $104060.02    | 0.01%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION           | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    225000 | PA      | $232489.16    | 0.02%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD OCT39_18-3A                   | OCT39_18-3A                                | CUSIP: 67592CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3525000 | PA      | $3411692.40   | 0.29%             | 2030-10-20      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE LOAN TRUST OVMLT_20-1                         | OVMLT_20-1                                 | CUSIP: 676477AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    319932 | PA      | $283893.31    | 0.02%             | 2050-05-28      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| OAKC_21-8A                                                       | OAKC_21-8A                                 | CUSIP: 67707GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    650000 | PA      | $637217.75    | 0.05%             | 2034-01-18      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| OH EDISON CO                                                     | OHIO EDISON COMPANY                        | CUSIP: 677347CH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $896294.44    | 0.08%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORP                                    | OLYMPUS WATER US HOLDINGS CORP             | CUSIP: 681639AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73000 | PA      | $59813.20     | 0.01%             | 2028-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORP                                    | OLYMPUS WATER US HOLDINGS CORP             | CUSIP: 681639AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $21276.94     | 0.00%             | 2029-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                | RESTAURANT BRANDS                          | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     57000 | PA      | $51339.10     | 0.00%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                | 1011778 BC ULC/NEW RED FINANCE INC         | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     18000 | PA      | $14616.82     | 0.00%             | 2030-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST ONYP_20-1NYP                            | ONYP_20-1NYP                               | CUSIP: 68249DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1026607.01   | 0.09%             | 2036-01-15      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST ONYP_20-1NYP                            | ONYP_20-1NYP                               | CUSIP: 68249DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $386735.08    | 0.03%             | 2036-01-15      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| 1375209 BC LTD                                                   | 1375209 BC LTD                             | CUSIP: 68251PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      6000 | PA      | $5845.11      | 0.00%             | 2028-01-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                             | ONEMAIN FINANCE CORP                       | CUSIP: 682691AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000 | PA      | $1494.96      | 0.00%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                         | CUSIP: 68389XAE5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    700000 | PA      | $727182.95    | 0.06%             | 2038-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO                                                     | ORGANON FINANCE 1 LLC                      | CUSIP: 68622TAA9<br>LEI: 549300AMCKY57OK2CO56 | Long             | DBT              | CORP              | US        |     22000 | PA      | $19479.22     | 0.00%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO                                                     | ORGANON FINANCE 1 LLC                      | CUSIP: 68622TAB7<br>LEI: 549300AMCKY57OK2CO56 | Long             | DBT              | CORP              | US        |     64000 | PA      | $55438.37     | 0.00%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAPITAL LLC                                       | OUTFRONT MEDIA CAP LLC/CAP CORP            | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $40665.94     | 0.00%             | 2027-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAPITAL LLC                                       | OUTFRONT MEDIA CAP LLC/CAP CORP            | CUSIP: 69007TAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $25708.35     | 0.00%             | 2030-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                        | PACIFIC GAS & ELECTRIC COMPANY             | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     33000 | PA      | $30029.04     | 0.00%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC           | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    700000 | PA      | $648040.09    | 0.06%             | 2033-06-06      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_20-1                                               | PRPM_21-1                                  | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    998427 | PA      | $906951.92    | 0.08%             | 2026-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                        | PRPM_21-3                                  | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1395309 | PA      | $1260401.40   | 0.11%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PRPM_21-4                                                        | PRPM_21-4                                  | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2368500 | PA      | $2120838.29   | 0.18%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_20-6                        | PRPM_20-6                                  | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    599032 | PA      | $552310.48    | 0.05%             | 2025-11-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_21-RPL1                                            | PRPM_21-RPL1                               | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    607298 | PA      | $534581.50    | 0.05%             | 2051-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-10                       | PRPM_21-10                                 | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1333974 | PA      | $1199493.43   | 0.10%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_21-9                                               | PRPM_21-9                                  | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2133778 | PA      | $1920851.09   | 0.16%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| PRKCM_21-AFC2 TRUST                                              | PRKCM_21-AFC2                              | CUSIP: 69361JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1150952.20   | 0.10%             | 2056-11-25      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| PRKCM_21-AFC2 TRUST                                              | PRKCM_21-AFC2                              | CUSIP: 69361JAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1475000 | PA      | $887457.20    | 0.08%             | 2056-11-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| PRKCM_21-AFC2 TRUST                                              | PRKCM_21-AFC2                              | CUSIP: 69361JAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1300000 | PA      | $761558.59    | 0.07%             | 2056-11-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_21-NPL6                | PRET_21-NPL6                               | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3395833 | PA      | $3137283.14   | 0.27%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                 | PACIFIC LIFECORP                           | CUSIP: 694476AF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $862903.58    | 0.07%             | 2052-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-1                         | PAID_22-1                                  | CUSIP: 69546MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674911 | PA      | $608116.25    | 0.05%             | 2029-10-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | PAID_21-5                                  | CUSIP: 69547EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    913065 | PA      | $880602.59    | 0.08%             | 2029-08-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| PALO ALTO NETWORKS INC                                           | Palo Alto Networks Inc                     | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Long             | EC               | CORP              | US        |     22216 | NS      | $3100020.64   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| CLARIOS GLOBAL LP                                                | PANTHER BF AGGREGATOR 2 LP                 | CUSIP: 69867DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     15000 | PA      | $14677.70     | 0.00%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                | PANTHER BF AGGREGATOR 2 LP                 | CUSIP: 69867DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     55000 | PA      | $53807.59     | 0.00%             | 2027-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC                                   | PARK INTERMEDIATE HOLDINGS/PK DOM          | CUSIP: 70052LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $40985.13     | 0.00%             | 2028-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PARK INTERMEDIATE HOLDINGS LLC                                   | PARK INTERMEDIATE HOLDINGS LLC             | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23000 | PA      | $19468.85     | 0.00%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PARKER HANNIFIN CORPORATION                                      | Parker-Hannifin Corp                       | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |     27981 | NS      | $8142471.00   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| PETSMART LLC                                                     | PETSMART INC/PETSMART FIN CORP             | CUSIP: 71677KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41000 | PA      | $37153.22     | 0.00%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETSMART LLC                                                     | PETSMART LLC/PETSMART FIN CORP             | CUSIP: 71677KAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $31718.51     | 0.00%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTS                                                   | PICASSO FINANCE SUB INC                    | CUSIP: 71953LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $33895.68     | 0.00%             | 2025-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                        | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     78000 | PA      | $66391.83     | 0.01%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                        | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     87000 | PA      | $68004.20     | 0.01%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPELINE LP                                  | PLAINS ALL AMERICAN PIPELINE LP            | CUSIP: 72650RAR3<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1553408.20   | 0.13%             | 2037-01-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                          | CUSIP: 737446AM6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27113.52     | 0.00%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                          | CUSIP: 737446AN4<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     24000 | PA      | $22683.60     | 0.00%             | 2028-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                          | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     52000 | PA      | $44862.36     | 0.00%             | 2030-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST ESA_21-ESH                           | ESA_21-ESH                                 | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292858 | PA      | $278965.48    | 0.02%             | 2038-07-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST ESA_21-ESH                           | ESA_21-ESH                                 | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292858 | PA      | $275184.51    | 0.02%             | 2038-07-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| FAGE INTERNATIONAL SA (STRASSEN)                                 | FAGE INTERNATIONAL SA/FAGE USA             | CUSIP: 30257WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     81000 | PA      | $76008.33     | 0.01%             | 2026-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                               | Meta Platforms Inc                         | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     63364 | NS      | $7625223.76   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 31283HR72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18233 | PA      | $18750.59     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 31287RQW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28172 | PA      | $28641.63     | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 31287ST49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96598 | PA      | $99064.55     | 0.01%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 31287YVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10718 | PA      | $10997.88     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3128KTAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24590 | PA      | $25337.17     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3128L6MK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4542 | PA      | $4587.19      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3128L6W70<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8908 | PA      | $9086.94      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3128L7JR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38721 | PA      | $39548.16     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3128LAJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3110 | PA      | $3173.42      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128LXB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51163 | PA      | $52305.48     | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M4XX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9081 | PA      | $9284.20      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    162861 | PA      | $169074.00    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M6JM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12588 | PA      | $12852.18     | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M6VG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13271 | PA      | $13543.76     | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M73M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20592 | PA      | $21015.46     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M7E44<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       928 | PA      | $947.60       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M7HT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13984 | PA      | $14265.95     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M7L61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     99261 | PA      | $98460.63     | 0.01%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M7UU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53512 | PA      | $53087.29     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M7Y59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26063 | PA      | $26422.85     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M8AK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6631 | PA      | $6763.41      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M8CC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1508 | PA      | $1539.79      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M8Q23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33215 | PA      | $33897.86     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M8TT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15516 | PA      | $15730.05     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128M9BZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    136400 | PA      | $135370.30    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128MJJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32321 | PA      | $32849.57     | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128MJLX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15157 | PA      | $15389.15     | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                           | CUSIP: 3128MJMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16665 | PA      | $16903.77     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 312936Y50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1970 | PA      | $1998.70      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 312939A50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6174 | PA      | $6259.50      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3129413N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    125458 | PA      | $124510.46    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 15YR UMBS MIRROR                     | CUSIP: 3131XDG82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    546814 | PA      | $519514.26    | 0.04%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3132GDJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47496 | PA      | $47137.50     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                 | CUSIP: 3132GEJ27<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     80120 | PA      | $79515.01     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                            | CUSIP: 3132JBN33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    130302 | PA      | $118695.92    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                            | CUSIP: 3133KNB44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4876179 | PA      | $4133444.06   | 0.35%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31368JBM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4196 | PA      | $4259.21      | 0.00%             | 2024-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6048 | PA      | $6085.26      | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31374TNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1270 | PA      | $1301.83      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31379YKX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17012 | PA      | $17429.64     | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31380HST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4348 | PA      | $4431.51      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31383KD38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21267 | PA      | $21211.63     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31383RF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9711 | PA      | $9704.45      | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31385B5A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32365 | PA      | $32405.03     | 0.00%             | 2029-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31385H7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4845 | PA      | $5030.08      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31385JNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15250 | PA      | $15945.19     | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138AKT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     98280 | PA      | $95730.55     | 0.01%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138EHJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59240 | PA      | $57816.20     | 0.00%             | 2026-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138EMT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26785 | PA      | $26380.45     | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138EMT43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26785 | PA      | $26380.45     | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138EMT50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26785 | PA      | $26380.45     | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138EMT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26785 | PA      | $26380.48     | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138EPE34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     45854 | PA      | $44466.75     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                  | CUSIP: 3138ETFP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    115466 | PA      | $112444.30    | 0.01%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                  | CUSIP: 3138WGC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20509 | PA      | $19053.41     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                  | CUSIP: 3138XWD47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     35265 | PA      | $32901.19     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31390CTB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61426 | PA      | $62740.60     | 0.01%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31390GFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16852 | PA      | $16808.52     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31391BUW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10859 | PA      | $11125.73     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31391MDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18522 | PA      | $18474.38     | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                  | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24000 | PA      | $21809.85     | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                  | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    103000 | PA      | $88959.87     | 0.01%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                  | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $86942.08     | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                  | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43000 | PA      | $34860.49     | 0.00%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CD&R SMOKEY BUYER INC                                            | CD&R SMOKEY BUYER INC                      | CUSIP: 12510CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $64685.74     | 0.01%             | 2025-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_21-GRN1                      | CFMT_21-GRN1                               | CUSIP: 12529KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584414 | PA      | $537966.79    | 0.05%             | 2041-03-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                 | CHS/COMMUNITY HEALTH SYSTEMS INC           | CUSIP: 12543DBG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000 | PA      | $10296.28     | 0.00%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                 | CHS/COMMUNITY HEALTH SYSTEMS INC           | CUSIP: 12543DBJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38000 | PA      | $19702.76     | 0.00%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                 | CHS/COMMUNITY HEALTH SYSTEMS INC           | CUSIP: 12543DBM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     94000 | PA      | $70996.77     | 0.01%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_18-R6                                              | CIM_18-R6                                  | CUSIP: 12554EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1057537 | PA      | $1032791.62   | 0.09%             | 2058-09-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR                         | CLNY_19-IKPR                               | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1757691.90   | 0.15%             | 2038-11-15      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR2                                             | CIM_21-NR2                                 | CUSIP: 12565CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    646690 | PA      | $595023.11    | 0.05%             | 2059-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR1                                             | CIM_21-NR1                                 | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    878440 | PA      | $827126.80    | 0.07%             | 2055-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CIM RETAIL PORTFOLIO TRUST CRPT_21-RETL                          | CRPT_21-RETL                               | CUSIP: 12566BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2868750 | PA      | $2802303.16   | 0.24%             | 2036-08-15      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-NQM1                               | CHNGE_22-NQM1                              | CUSIP: 12569CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    927330 | PA      | $897400.40    | 0.08%             | 2067-06-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                                  | CMS ENERGY CORPORATION                     | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    262000 | PA      | $238404.46    | 0.02%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST CSAIL_19-C16                     | CSAIL_19-C16                               | CUSIP: 12596WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3675000 | PA      | $3188006.64   | 0.27%             | 2052-06-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| CSMC_19-AFC1                                                     | CSMC 19-AFC1                               | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    438456 | PA      | $407387.27    | 0.03%             | 2049-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                           | CUSIP: 126307AS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $32243.36     | 0.00%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                           | CUSIP: 126307AZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57000 | PA      | $46767.12     | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                           | CUSIP: 126307BA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     54000 | PA      | $30532.89     | 0.00%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                           | CUSIP: 126307BB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     47000 | PA      | $33174.07     | 0.00%             | 2030-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                           | CUSIP: 126307BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36000 | PA      | $23484.57     | 0.00%             | 2031-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST                                  | CSAIL_15-C4                                | CUSIP: 12635RAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010000 | PA      | $1913968.83   | 0.16%             | 2048-11-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_20-RPL4                        | CSMC_20-RPL4                               | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    671827 | PA      | $595688.08    | 0.05%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-NQM1                        | CSMC_21-NQM1                               | CUSIP: 126407AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    253645 | PA      | $213430.31    | 0.02%             | 2065-05-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-NQM1                        | CSMC_21-NQM1                               | CUSIP: 126407AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    175000 | PA      | $121639.40    | 0.01%             | 2065-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                         | CSX CORPORATION                            | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    800000 | PA      | $669643.67    | 0.06%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                               | CNX RESOURCES CORP                         | CUSIP: 12653CAC2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4984.69      | 0.00%             | 2027-03-14      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                               | CNX RESOURCES CORP                         | CUSIP: 12653CAJ7<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     28000 | PA      | $25843.62     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                               | CNX RESOURCES CORP                         | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9594.98      | 0.00%             | 2031-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PARTNERS LP                                        | CNX MIDSTREAM PARTNERS LP                  | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $28891.51     | 0.00%             | 2030-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_18-RPL9             | CSMC_18-RPL9                               | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1542080 | PA      | $1440620.43   | 0.12%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_20-CX                                   | COMM_20-CX                                 | CUSIP: 12656KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $394674.47    | 0.03%             | 2046-11-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CSMC_20-RPL3                      | CSMC_20-RPL3                               | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    821235 | PA      | $766784.72    | 0.07%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RPL2                        | CSMC_21-RPL2                               | CUSIP: 12656TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    751019 | PA      | $532741.11    | 0.05%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RPL2                        | CSMC_21-RPL2                               | CUSIP: 12656TAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    375000 | PA      | $260639.29    | 0.02%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC COLT_21-2R                                      | COLT_21-2R                                 | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    384998 | PA      | $320860.07    | 0.03%             | 2054-07-27      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-AFC1                        | CSMC_21-AFC1                               | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    695054 | PA      | $520100.44    | 0.04%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RPL1                        | CSMC_21-RPL1                               | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1703544 | PA      | $1607157.80   | 0.14%             | 2060-09-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RPL4                        | CSMC_21-RPL4                               | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1111137 | PA      | $981074.19    | 0.08%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_22-NQM5                                          | CSMC_22-NQM5                               | CUSIP: 12663DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1585038 | PA      | $1584850.67   | 0.14%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_22-ATH3                        | CSMC_22-ATH3                               | CUSIP: 12664AAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1126966 | PA      | $1093771.81   | 0.09%             | 2067-08-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS Health Corp                            | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |    104816 | NS      | $9767803.04   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                            | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $902668.80    | 0.08%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | CAESARS ENTERTAINMENT INC                  | CUSIP: 12769GAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93000 | PA      | $75627.51     | 0.01%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC/CRC FINCO INC                      | CAESARS RESORT                             | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $49000.14     | 0.00%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CALLON PETRO CO                                                  | CALLON PETROLEUM COMPANY                   | CUSIP: 13123XAZ5<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |     92000 | PA      | $86536.01     | 0.01%             | 2026-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                     | CALPINE CORP                               | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |     29000 | PA      | $25918.48     | 0.00%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CAMELOT FINANCE SA                                               | CAMELOT FINANCE SA                         | CUSIP: 13323AAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     19000 | PA      | $17862.57     | 0.00%             | 2026-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                          | DARLING INGREDIENTS INC                    | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     43000 | PA      | $42143.55     | 0.00%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP                                      | DELEK LOGISTICS PARTNERS LP                | CUSIP: 24665FAB8<br>LEI: 549300UVYITDIU51P724 | Long             | DBT              | CORP              | US        |     31000 | PA      | $29991.61     | 0.00%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                            | DIRECTV HOLDINGS LLC/DIRECTV FIN           | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $28696.67     | 0.00%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                    | DISCOVER BANK                              | CUSIP: 25466AAP6<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    925000 | PA      | $866783.01    | 0.07%             | 2028-09-13      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                   | Walt Disney Co/The                         | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     78222 | NS      | $6795927.36   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| DISH NETWORK CORP                                                | DISH NETWORK CORP                          | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     69000 | PA      | $43228.50     | 0.00%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                | DISH NETWORK CORP                          | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41133.48     | 0.00%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                    | DISH DBS CORP                              | CUSIP: 25470XAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4000 | PA      | $3981.78      | 0.00%             | 2023-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                    | DISH DBS CORP                              | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $32255.58     | 0.00%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                    | DISH DBS CORP                              | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     61000 | PA      | $48724.98     | 0.00%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL COMPANY (THE)                                       | DOW CHEMICAL COMPANY (THE)                 | CUSIP: 260543CK7<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    550000 | PA      | $494295.11    | 0.04%             | 2034-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST DRIVE_20-2                          | DRIVE_20-2                                 | CUSIP: 26208VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $562385.02    | 0.05%             | 2028-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST DRIVE_21-2                          | DRIVE_21-2                                 | CUSIP: 262104AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3410000 | PA      | $3109097.17   | 0.27%             | 2029-03-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_15                                 | DRSLF_15-41A                               | CUSIP: 26244KAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2100000 | PA      | $2063403.30   | 0.18%             | 2031-04-15      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_16                                 | DRSLF_16-42A                               | CUSIP: 26244YAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    950000 | PA      | $916258.85    | 0.08%             | 2030-07-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_18-55A                             | DRSLF_18-55A                               | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1300000 | PA      | $1282821.80   | 0.11%             | 2031-04-15      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_20-3A                                  | DTAOT_20-3A                                | CUSIP: 26253AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $909384.26    | 0.08%             | 2026-06-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_19-3A                                  | DTAOT_19-3A                                | CUSIP: 26253KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1230373 | PA      | $1212755.58   | 0.10%             | 2025-04-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DUN & BRADSTREET CORPORATION (THE)                               | DUN & BRADSTREET CORPORATION (THE)         | CUSIP: 26483EAL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36000 | PA      | $31021.52     | 0.00%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                | EOG Resources Inc                          | CUSIP: 26875P101<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | EC               | CORP              | US        |     78365 | NS      | $10149834.80  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| ERAC USA FINANCE LLC                                             | ERAC USA FINANCE LLC                       | CUSIP: 26882PBE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    725000 | PA      | $789921.13    | 0.07%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQT MIDSTREAM PARTNERS LP                  | CUSIP: 26885BAA8<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22131.88     | 0.00%             | 2024-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP                  | CUSIP: 26885BAF7<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     56000 | PA      | $54400.02     | 0.00%             | 2025-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP                  | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     33000 | PA      | $31549.55     | 0.00%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP                  | CUSIP: 26885BAL4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    126000 | PA      | $103828.09    | 0.01%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP                  | CUSIP: 26885BAM2<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13715.58     | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP                  | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16387.78     | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EAGLE RE LTD EMIR_21-2                                           | EMIR_21-2                                  | CUSIP: 26982AAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1900000 | PA      | $1829308.22   | 0.16%             | 2034-04-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| EAGLE RE LTD EMIR_21-1                                           | EMIR_21-1                                  | CUSIP: 26983BAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    425000 | PA      | $415036.51    | 0.04%             | 2033-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| 8TH AVENUE FOOD & PROVISIONS INC                                 | 8TH AVENUE FOOD & PROV 2LN TL 7.75         | CUSIP: 28253PAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4859 | PA      | $2633.58      | 0.00%             | 2026-10-01      | Variable      | 12.13%                | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | ELDORADO RESORTS                           | CUSIP: 28470RAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59000 | PA      | $57402.36     | 0.00%             | 2025-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | ELDORADO RESORTS                           | CUSIP: 28470RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42000 | PA      | $41305.15     | 0.00%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| ELEMENT SOLUTIONS INC                                            | ELEMENT SOLUTIONS INC                      | CUSIP: 28618MAA4<br>LEI: 549300FLGN6P5CU20J91 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51214.98     | 0.00%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                              | EMERA US FINANCE LP                        | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1150000 | PA      | $894700.36    | 0.08%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCES LP                                     | ENDEAVOR ENERGY RESOURCES LP/EER           | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $52663.51     | 0.00%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR GROUP HOLDINGS INC                                      | Endeavor Group Holdings Inc                | CUSIP: 29260Y109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    159034 | NS      | $3584626.36   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER PARTNERS LP                | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $494007.34    | 0.04%             | 2042-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                                             | ENTEGRIS ESCROW CORP                       | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     51000 | PA      | $47050.03     | 0.00%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                | EVERSOURCE ENERGY                          | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    525000 | PA      | $456534.80    | 0.04%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                               | EXELON CORPORATION                         | CUSIP: 30161NBF7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    875000 | PA      | $703734.86    | 0.06%             | 2052-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_21-3                    | EART_21-3A                                 | CUSIP: 30166AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3960000 | PA      | $3594166.88   | 0.31%             | 2027-06-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_20-3A                   | EART_20-3A                                 | CUSIP: 30166NAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $577668.84    | 0.05%             | 2026-07-15      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_21-1A                   | EART_21-1A                                 | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1135041.88   | 0.10%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_19-4A                   | EART_19-4A                                 | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151930 | PA      | $1128452.21   | 0.10%             | 2025-09-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_20-1A                   | EART_20-1A                                 | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1091056 | PA      | $1068932.71   | 0.09%             | 2025-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| EART_20-2A                                                       | EART_20-2A                                 | CUSIP: 30167YAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $346423.88    | 0.03%             | 2026-04-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                   | Mastercard Inc                             | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     32948 | NS      | $11457008.04  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| MATADOR RESOURCES CO                                             | MATADOR RESOURCES CO                       | CUSIP: 576485AE6<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |     67000 | PA      | $64662.23     | 0.01%             | 2026-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                      | MATCH GROUP INC                            | CUSIP: 57665RAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $28580.44     | 0.00%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP INC                                                  | Match Group Inc                            | CUSIP: 57667L107<br>LEI: 15OMOPB0A8K0EFUVD031 | Long             | EC               | CORP              | US        |    124335 | NS      | $5158659.15   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| MATTEL INC                                                       | MATTEL INC                                 | CUSIP: 577081BE1<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     18000 | PA      | $16585.30     | 0.00%             | 2026-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                       | MATTEL INC                                 | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     35000 | PA      | $30763.05     | 0.00%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                      | CONDOR MERGER SUB INC                      | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |     66000 | PA      | $53300.55     | 0.00%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                   | McDonald's Corp                            | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |     25753 | NS      | $6786688.09   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| MERITAGE HOMES CORP                                              | MERITAGE HOMES CORP                        | CUSIP: 59001AAY8<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |     46000 | PA      | $45673.94     | 0.00%             | 2025-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERITAGE HOMES CORP                                              | MERITAGE HOMES CORP                        | CUSIP: 59001ABD3<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |     43000 | PA      | $36492.14     | 0.00%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                      | METLIFE INC                                | CUSIP: 59156RCC0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    197000 | PA      | $189034.33    | 0.02%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST MST_18-1A                           | MST_18-1A                                  | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    380376 | PA      | $357163.66    | 0.03%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                   | Microsoft Corp                             | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    184641 | NS      | $44280604.62  | 3.78%             |  |  |  | No            |                  1 | On Loan: No      |
| MICROCHIP TECH INC                                               | Microchip Technology Inc                   | CUSIP: 595017104<br>LEI: 5493007PTFULNYZJ1R12 | Long             | EC               | CORP              | US        |     50992 | NS      | $3582188.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| MIDWEST GAMING BORROWER LLC                                      | MIDWEST GAMING BORROWER LLC                | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41000 | PA      | $35033.26     | 0.00%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE TRUST MCMLT_18-3                              | MCMLT_18-3                                 | CUSIP: 59980XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    791190 | PA      | $750270.69    | 0.06%             | 2058-08-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE TRUST MCMLT_21-NMR1                           | MCMLT_21-NMR1                              | CUSIP: 59982HAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1150000 | PA      | $962894.66    | 0.08%             | 2060-11-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| MINERVA MERGER SUB INC                                           | MINERVA MERGER SUB INC                     | CUSIP: 60337JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $47413.06     | 0.00%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                       | Mondelez International Inc                 | CUSIP: 609207105<br>LEI: 549300DV9GIB88LZ5P30 | Long             | EC               | CORP              | US        |    179763 | NS      | $11981203.95  | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MONSTER BEVERAGE CORP                                            | Monster Beverage Corp                      | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |     23010 | NS      | $2336205.30   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST M                                 | MSC_15-UBS8                                | CUSIP: 61691ABK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1721471 | PA      | $1618177.15   | 0.14%             | 2048-12-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_17-HR2                        | MSC_17-HR2                                 | CUSIP: 61691NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040995 | PA      | $947602.32    | 0.08%             | 2050-12-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                             | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2575000 | PA      | $2131015.67   | 0.18%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BAML TRUST MSBAM_                                 | MSBAM_16-C29                               | CUSIP: 61766EBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945096 | PA      | $878553.87    | 0.08%             | 2049-05-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BAML TRUST MSBAM_17-C34                           | MSBAM_17-C34                               | CUSIP: 61767EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2049922.13   | 0.18%             | 2052-11-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD                       | MSC_19-MEAD                                | CUSIP: 61771LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1016124.49   | 0.09%             | 2036-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| MOZART DEBT MERGER SUB INC                                       | MOZART DEBT MERGER SUB INC                 | CUSIP: 62482BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9000 | PA      | $7253.63      | 0.00%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MOZART DEBT MERGER SUB INC                                       | MOZART DEBT MERGER SUB INC                 | CUSIP: 62482BAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66000 | PA      | $52455.45     | 0.00%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                            | CUSIP: 62886EAU2<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23962.32     | 0.00%             | 2027-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                            | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68643.59     | 0.01%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                            | CUSIP: 62886EAZ1<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3297.53      | 0.00%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                            | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50177.68     | 0.00%             | 2029-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                              | NCL CORPORATION LTD                        | CUSIP: 62886HBA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     24000 | PA      | $18889.55     | 0.00%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NCL FINANCE LTD                                                  | NCL FINANCE LTD                            | CUSIP: 62888HAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     12000 | PA      | $8908.37      | 0.00%             | 2028-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                             | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     24000 | PA      | $21203.85     | 0.00%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                             | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     28000 | PA      | $22606.86     | 0.00%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                             | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     42000 | PA      | $32135.42     | 0.00%             | 2031-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                             | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     75000 | PA      | $56546.09     | 0.00%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV/NXP FUNDING LLC/NXP USA INC         | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1294436.07   | 0.11%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                            | NABORS INDUSTRIES INC                      | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1959.68      | 0.00%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                     | NAVIENT CORP                               | CUSIP: 63938CAH1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     31000 | PA      | $29799.78     | 0.00%             | 2025-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                             | NEPTUNE BIDCO US INC                       | CUSIP: 640695AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     53000 | PA      | $49938.88     | 0.00%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TR                                 | NRZT_16-3A                                 | CUSIP: 64829HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150234 | PA      | $137723.99    | 0.01%             | 2056-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                | NEWELL BRANDS INC                          | CUSIP: 651229BC9<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11914.36     | 0.00%             | 2027-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                | NEWELL BRANDS INC                          | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16779.13     | 0.00%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                             | NEXTERA ENERGY OP PARTNERS LP              | CUSIP: 65342QAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48000 | PA      | $44185.52     | 0.00%             | 2027-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31391TR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     46152 | PA      | $46116.93     | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31391VUW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42007 | PA      | $41967.63     | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                 | CUSIP: 31414CBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59081 | PA      | $59773.42     | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                  | CUSIP: 31414PKT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22282 | PA      | $23075.87     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                  | CUSIP: 31419JLS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    115292 | PA      | $114292.88    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_22-2                     | EFMT_22-2                                  | CUSIP: 31572YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5382322 | PA      | $5157888.72   | 0.44%             | 2067-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_19-2                     | EFMT_19-2                                  | CUSIP: 31573TAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115847 | PA      | $105938.03    | 0.01%             | 2059-11-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_20-1                     | EFMT_20-1                                  | CUSIP: 31574PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     36762 | PA      | $34842.13     | 0.00%             | 2065-05-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SE                                 | Fidelity National Information Services Inc | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |     46288 | NS      | $3140640.80   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTKEY HOMES FKH_20-SFR2                                       | FKH_20-SFR2                                | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2975000 | PA      | $2625548.17   | 0.22%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES FKH_20-SFR1                                       | FKH_20-SFR1                                | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $602827.65    | 0.05%             | 2037-08-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FUNDING TRUST II                                    | FIVE CORNERS FUNDING TRUST II              | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1384591.69   | 0.12%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| 510 ASSETS BACKED TRUST FTAB_21-NPL2                             | FTAB_21-NPL2                               | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1380476 | PA      | $1278831.46   | 0.11%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                               | FORD MOTOR COMPANY                         | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     31000 | PA      | $23325.83     | 0.00%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397A45<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $49866.12     | 0.00%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397A60<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9640.47      | 0.00%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397A86<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $40212.16     | 0.00%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397B28<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $58875.35     | 0.01%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397B36<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $25460.93     | 0.00%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397B51<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $20657.47     | 0.00%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397B85<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $31950.85     | 0.00%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC              | CUSIP: 345397C27<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $51371.07     | 0.00%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT CO LLC                   | CUSIP: 345397C35<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30741.00     | 0.00%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST FFIN_19-1A                              | FFIN_19-1A                                 | CUSIP: 35041JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179349 | PA      | $175627.56    | 0.02%             | 2034-11-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST FCRT_21-1         | FCRT_21-1                                  | CUSIP: 35105WAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $746231.20    | 0.06%             | 2027-03-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA1                      | STACR_21-DNA1                              | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    563198 | PA      | $549851.06    | 0.05%             | 2051-01-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-HQA1                      | STACR_21-HQA1                              | CUSIP: 35564KBK4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     75816 | PA      | $75504.25     | 0.01%             | 2033-08-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA6                      | STACR_22-DNA6                              | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    558632 | PA      | $558628.98    | 0.05%             | 2042-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_21-DNA5                      | STACR_21-DNA5                              | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    466379 | PA      | $459166.10    | 0.04%             | 2034-01-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA7                      | STACR_21-DNA7                              | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4051712 | PA      | $3978232.45   | 0.34%             | 2041-11-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA2                      | STACR_22-DNA2                              | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2430414.00   | 0.21%             | 2042-02-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA3                      | STACR_22-DNA3                              | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1100000 | PA      | $1087338.23   | 0.09%             | 2042-04-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA4                      | STACR_22-DNA4                              | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5171261 | PA      | $5170002.66   | 0.44%             | 2042-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA5                      | STACR_22-DNA5                              | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1928645 | PA      | $1949853.27   | 0.17%             | 2042-06-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-DNA4                      | STACR_19-DNA4                              | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    128346 | PA      | $128346.30    | 0.01%             | 2049-10-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - STACR 2020-DNA1                                    | STACR_20-DNA1                              | CUSIP: 35565HAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    548540 | PA      | $546841.97    | 0.05%             | 2050-01-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FREEDOM FINANCIAL FREED_21-1CP                                   | FREED_21-1CP                               | CUSIP: 35635BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98653.90     | 0.01%             | 2028-03-20      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                             | FRONTIER COMMUNICATIONS HOLDINGS           | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24000 | PA      | $24504.31     | 0.00%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                          | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     18000 | PA      | $15203.96     | 0.00%             | 2031-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT LLC GCAT_21-CM2                                             | GCAT_21-CM2                                | CUSIP: 36167AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2988490 | PA      | $2692363.03   | 0.23%             | 2066-08-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| ANGELO GORDON MORTGAGE TRUST GCAT_19-RPL1                        | GCAT_19-RPL1                               | CUSIP: 36167CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    847066 | PA      | $794422.06    | 0.07%             | 2068-10-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                                              | PRESTIGE BRANDS INC                        | CUSIP: 74112BAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $60452.66     | 0.01%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PRIMO WATER HOLDINGS INC                                         | PRIMO WATER HOLDINGS INC                   | CUSIP: 74168LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     97000 | PA      | $83772.86     | 0.01%             | 2029-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GCAT_20-3                                                        | GCAT_20-3                                  | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1008285 | PA      | $973528.09    | 0.08%             | 2025-09-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_22-NQM3                                          | GCAT_22-NQM3                               | CUSIP: 36168MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5342903 | PA      | $5158846.78   | 0.44%             | 2067-04-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO                                              | Procter & Gamble Co/The                    | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |    121041 | NS      | $18344973.96  | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| PROGRESS ENERGY INC                                              | PROGRESS ENERGY INC                        | CUSIP: 743263AE5<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    800000 | PA      | $906531.98    | 0.08%             | 2031-03-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                            | GFL ENVIRONMENTAL INC                      | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     51000 | PA      | $49017.62     | 0.00%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATI                                 | GSMS_17-485L                               | CUSIP: 36252CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $539629.13    | 0.05%             | 2037-02-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSMBS_19-SL1                        | GSMBS_19-SL1                               | CUSIP: 36257EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    125846 | PA      | $125198.89    | 0.01%             | 2059-01-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST GCAR_20-1A                            | GCAR_20-1A                                 | CUSIP: 36258XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1472604.60   | 0.13%             | 2025-11-17      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR4                          | PROG_19-SFR4                               | CUSIP: 74331AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2850000 | PA      | $2655942.36   | 0.23%             | 2036-10-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR1                          | PROG_20-SFR1                               | CUSIP: 74331CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $297172.01    | 0.03%             | 2037-04-17      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE_BACKED SECURITIES GSMBS_20-NQM1                      | GSMBS_20-NQM1                              | CUSIP: 36259WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    386529 | PA      | $347041.33    | 0.03%             | 2060-09-27      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSMS_21-IP                          | GSMS_21-IP                                 | CUSIP: 36262MAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825000 | PA      | $753216.92    | 0.06%             | 2036-10-15      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR1                          | PROG_20-SFR1                               | CUSIP: 74331CAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $615711.65    | 0.05%             | 2037-04-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR3                          | PROG_19-SFR3                               | CUSIP: 74332WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $706070.93    | 0.06%             | 2036-09-17      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST GSMS_22-ECI             | GSMS_22-ECI                                | CUSIP: 36265XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1425000 | PA      | $1415964.93   | 0.12%             | 2039-08-15      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                   | GE HEALTHCARE HOLDING LLC                  | CUSIP: 36267VAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    684000 | PA      | $733392.69    | 0.06%             | 2052-11-22      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                      | GARTNER INC                                | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     42000 | PA      | $36416.70     | 0.00%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR3                          | PROG_19-SFR3                               | CUSIP: 74332WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125000 | PA      | $1058020.43   | 0.09%             | 2036-09-17      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST PROG_22-SFR5                   | PROG_22-SFR5                               | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2019642 | PA      | $1894162.48   | 0.16%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR2                          | PROG_20-SFR2                               | CUSIP: 74333LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424476 | PA      | $388297.24    | 0.03%             | 2037-06-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR2                          | PROG_20-SFR2                               | CUSIP: 74333LAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92093.31     | 0.01%             | 2037-06-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR2                          | PROG_20-SFR2                               | CUSIP: 74333LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $115852.63    | 0.01%             | 2037-06-17      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST PROG_21-SFR8                   | PROG_21-SFR8                               | CUSIP: 74333TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1505599.19   | 0.13%             | 2038-10-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FUNDING ASSOCIATES LP                                  | PROVIDENT FUNDING ASSOCIATES LP            | CUSIP: 74387UAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $39752.60     | 0.00%             | 2025-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED                     | Public Service Enterprise Group Inc        | CUSIP: 744573106<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | EC               | CORP              | US        |    132383 | NS      | $8111106.41   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM INC                                                     | QUALCOMM Inc                               | CUSIP: 747525103<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | EC               | CORP              | US        |     26787 | NS      | $2944962.78   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| ROCKET MORTGAGE LLC                                              | QUICKEN LOANS LLC/QUICKEN LOANS            | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $42475.88     | 0.00%             | 2031-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RBSCF TRUST RBSCF_13-GSP                                         | RBSCF_13-GSP                               | CUSIP: 74932QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1058720.19   | 0.09%             | 2032-01-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                 | RELX CAPITAL INC                           | CUSIP: 74949LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    439000 | PA      | $421015.68    | 0.04%             | 2032-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST LP                                             | RLJ LODGING TRUST LP                       | CUSIP: 74965LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $19581.35     | 0.00%             | 2026-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST LP                                             | RLJ LODGING TRUST LP                       | CUSIP: 74965LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $16326.49     | 0.00%             | 2029-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RACEP_15-9A                                                      | RACEP_15-9A                                | CUSIP: 74982WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1900000 | PA      | $1806421.20   | 0.15%             | 2030-10-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| RR LTD RRAM_22-20A                                               | RRAM_22-20A                                | CUSIP: 74989UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1300000 | PA      | $1276189.20   | 0.11%             | 2037-07-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| RADIAN GRP INC                                                   | RADIAN GROUP INC                           | CUSIP: 750236AW1<br>LEI: 54930005OUP720S5U385 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22909.89     | 0.00%             | 2027-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC                                               | RADIATE HOLDCO LLC/RADIATE FIN INC         | CUSIP: 75026JAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $36012.19     | 0.00%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC                                               | RADIATE HOLDCO LLC/RADIATE FIN INC         | CUSIP: 75026JAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66000 | PA      | $27661.52     | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RADNOR RE LTD RMIR_20-1                                          | RMIR_20-1                                  | CUSIP: 750493AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    125315 | PA      | $123653.70    | 0.01%             | 2030-01-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-2                                        | RMIR_21-2                                  | CUSIP: 75049GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    397412 | PA      | $393311.50    | 0.03%             | 2031-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-2                                        | RMIR_21-2                                  | CUSIP: 75049GAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    725000 | PA      | $684749.67    | 0.06%             | 2031-11-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORPORATION                                | Raytheon Technologies Corp                 | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |    147016 | NS      | $14836854.72  | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I RPM_21-2A             | RPM_21-2A                                  | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834837 | PA      | $734120.49    | 0.06%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE TRUST RMLT_20-1                             | RMLT_20-1                                  | CUSIP: 76119CAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    156790 | PA      | $145496.94    | 0.01%             | 2060-01-26      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                                              | RESIDEO FUNDING INC                        | CUSIP: 76119LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $69384.90     | 0.01%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RITCHIE BROS AUCTIONEERS INC                                     | RITCHIE BROS AUCTIONEERS INC               | CUSIP: 767744AA3<br>LEI: 5493002H8U24DJXQ4886 | Long             | DBT              | CORP              | CA        |      6000 | PA      | $5916.24      | 0.00%             | 2025-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROBLOX CORP                                                      | ROBLOX CORPORATION                         | CUSIP: 771049AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59000 | PA      | $46474.87     | 0.00%             | 2030-05-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC                                              | ROCKET MORTGAGE LLC/ROCKET MORT            | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     92000 | PA      | $68816.30     | 0.01%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD                | CUSIP: 780153AW2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     33000 | PA      | $24489.00     | 0.00%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD                | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     39000 | PA      | $31153.63     | 0.00%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD                | CUSIP: 780153BH4<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     62000 | PA      | $50200.55     | 0.00%             | 2026-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD                | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     19000 | PA      | $15985.46     | 0.00%             | 2026-08-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD                | CUSIP: 780153BK7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     18000 | PA      | $14642.89     | 0.00%             | 2027-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY GROUP LLC                                         | RYAN SPECIALTY GROUP LLC                   | CUSIP: 78351MAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7000 | PA      | $6118.47      | 0.00%             | 2030-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT TRUST LLC SCFET_19-2A                              | SCFET_19-2A                                | CUSIP: 784034AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1275000 | PA      | $1229716.97   | 0.11%             | 2026-08-20      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT TRUST LLC SCFET_20-1                               | SCFET_20-1A                                | CUSIP: 784054AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $726185.76    | 0.06%             | 2028-08-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_19-XL                            | BX_19-XL                                   | CUSIP: 056054AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977500 | PA      | $953109.33    | 0.08%             | 2036-10-15      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_19-ATL                           | BX_19-ATL                                  | CUSIP: 056058AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699000 | PA      | $671093.82    | 0.06%             | 2036-10-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_19-ATL                           | BX_19-ATL                                  | CUSIP: 056058AL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622000 | PA      | $584751.41    | 0.05%             | 2036-10-15      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-PAC                           | BX_21-PAC                                  | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2175000 | PA      | $2024459.12   | 0.17%             | 2036-10-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO BCC_21-7                                 | BCC_21-7A                                  | CUSIP: 05682NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2425000 | PA      | $2292129.40   | 0.20%             | 2035-01-22      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| BALLYROCK LTD BALLY_18-1A                                        | BALLY_18-1A                                | CUSIP: 05875HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    550000 | PA      | $540964.60    | 0.05%             | 2031-04-20      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | Bank of America Corp                       | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    182171 | NS      | $6033503.52   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                       | CUSIP: 06051GHU6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4675000 | PA      | $3887203.17   | 0.33%             | 2040-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                      | BACARDI LTD                                | CUSIP: 067316AG4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1300000 | PA      | $1178782.46   | 0.10%             | 2038-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD BABSN_18-4A                                       | BABSN_18-4A                                | CUSIP: 06760XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3450000 | PA      | $3345899.70   | 0.29%             | 2030-10-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| BASSWOOD PARK CLO LTD BARK_21-1A                                 | BARK_21-1A                                 | CUSIP: 070252AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1025000 | PA      | $998138.85    | 0.09%             | 2034-04-20      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COS INC                      | CUSIP: 071734AC1<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     28000 | PA      | $19057.91     | 0.00%             | 2027-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COS INC                      | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     15000 | PA      | $9596.54      | 0.00%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COMPANIES INC                | CUSIP: 071734AP2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $13758.69     | 0.00%             | 2027-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COS INC                      | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     11000 | PA      | $8626.24      | 0.00%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COS INC                      | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      1000 | PA      | $594.04       | 0.00%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| BEACON ROOFING                                                   | BEACON ROOFING SUPPLY INC                  | CUSIP: 073685AF6<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     51000 | PA      | $47802.56     | 0.00%             | 2026-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEACON ROOFING                                                   | BEACON ROOFING SUPPLY INC                  | CUSIP: 073685AH2<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     29000 | PA      | $24207.49     | 0.00%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                     | BECTON DICKINSON AND COMPANY               | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    700000 | PA      | $622900.82    | 0.05%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| BELLEMEAD RE LTD BMIR_21-1A                                      | BMIR_21-1A                                 | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $765006.64    | 0.07%             | 2031-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-3A                                     | BMIR_21-3A                                 | CUSIP: 078777AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1544055 | PA      | $1512647.95   | 0.13%             | 2031-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| BERK HATH FIN                                                    | BERKSHIRE HATHAWAY FINANCE CORP            | CUSIP: 084664DB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1170280.67   | 0.10%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY INC                                           | Berkshire Hathaway Inc                     | CUSIP: 084670702<br>LEI: 5493000C01ZX7D35SD85 | Long             | EC               | CORP              | US        |     71522 | NS      | $22093145.80  | 1.89%             |  |  |  | No            |                  1 | On Loan: No      |
| BIOMARIN PHARMACEUTICAL INC.                                     | BioMarin Pharmaceutical Inc                | CUSIP: 09061G101<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | EC               | CORP              | US        |     63405 | NS      | $6561783.45   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACK KNIGHT INFOSERV LLC                                        | BLACK KNIGHT INFOSERV LLC                  | CUSIP: 092174AA9<br>LEI: 549300H5PS5C68DAUX66 | Long             | DBT              | CORP              | US        |     39000 | PA      | $34007.89     | 0.00%             | 2028-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BLACKROCK INC                                                    | BlackRock Inc                              | CUSIP: 09247X101<br>LEI: 549300LRIF3NWCU26A80 | Long             | EC               | CORP              | US        |      6811 | NS      | $4826478.93   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE MORTGAGE TRUST INC                                    | BLACKSTONE MORTGAGE TRUST INC              | CUSIP: 09257WAD2<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              | CORP              | US        |     27000 | PA      | $23023.15     | 0.00%             | 2027-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                                  | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1570822.74   | 0.13%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                   | BOMBARDIER INC                             | CUSIP: 097751BT7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     45000 | PA      | $43810.45     | 0.00%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BOSTON SCIENTIFIC CORP                                           | Boston Scientific Corp                     | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |    162391 | NS      | $7513831.57   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| BOXER PARENT CO INC                                              | BOXER PARENT CO INC                        | CUSIP: 103186AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14000 | PA      | $13730.45     | 0.00%             | 2025-10-02      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                 | BOYD GAMING CORPORATION                    | CUSIP: 103304BU4<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |     39000 | PA      | $36315.17     | 0.00%             | 2027-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                 | BOYD GAMING CORPORATION                    | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |     26000 | PA      | $22629.59     | 0.00%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-B                       | BRAVO_21-B                                 | CUSIP: 10568JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    888286 | PA      | $829327.29    | 0.07%             | 2069-04-01      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-RPL1                    | BRAVO_20-RPL1                              | CUSIP: 10568YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    633596 | PA      | $583195.82    | 0.05%             | 2059-05-26      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-A                       | BRAVO_21-A                                 | CUSIP: 105693AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1263754 | PA      | $1199433.56   | 0.10%             | 2059-10-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | BRAVO_20-NQM1                              | CUSIP: 105699AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    195416 | PA      | $180060.05    | 0.02%             | 2060-05-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | BRAVO_21-NQM2                              | CUSIP: 10569EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    321264 | PA      | $301045.32    | 0.03%             | 2060-03-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | BRAVO_21-NQM2                              | CUSIP: 10569EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    425000 | PA      | $334380.99    | 0.03%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_22-NQM3                    | BRAVO_22-NQM3                              | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1080871 | PA      | $1077923.85   | 0.09%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM1                    | BRAVO_21-NQM1                              | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1215266 | PA      | $1044940.23   | 0.09%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM1                    | BRAVO_21-NQM1                              | CUSIP: 10569TAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    495112 | PA      | $420239.80    | 0.04%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                          | BRISTOL-MYERS SQUIBB CO                    | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    562000 | PA      | $510536.86    | 0.04%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                               | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1559000 | PA      | $1087592.56   | 0.09%             | 2051-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BROADSTREET PARTNERS INC                                         | BROADSTREET PARTNERS INC                   | CUSIP: 11135RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66000 | PA      | $56735.23     | 0.00%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP                  | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     68000 | PA      | $63451.92     | 0.01%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ACM AUTO TRUST ACMAT_22-1A                                       | ACMAT_22-1A                                | CUSIP: 00091QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1609340.04   | 0.14%             | 2029-04-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST AMSR_20-SFR2                                          | AMSR_20-SFR2                               | CUSIP: 00178UAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $452878.20    | 0.04%             | 2037-07-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                   | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1292701.97   | 0.11%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                  | AMERICAN AIRLINES/AADVANTAGE               | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    128934 | PA      | $123991.02    | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                  | AMERICAN AIRLINES/AADVANTAGE               | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36290 | PA      | $33200.27     | 0.00%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                              | Abbott Laboratories                        | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     97192 | NS      | $10670709.68  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                                 | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1102818.91   | 0.09%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                         | ACADIA HEALTHCARE COMPANY INC              | CUSIP: 00404AAN9<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56960.01     | 0.00%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                         | ACADIA HEALTHCARE CO INC                   | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23057.76     | 0.00%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                                  | ADAPTHEALTH LLC                            | CUSIP: 00653VAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     97000 | PA      | $82558.49     | 0.01%             | 2030-03-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                                        | Adobe Inc                                  | CUSIP: 00724F101<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | EC               | CORP              | US        |     34475 | NS      | $11601871.75  | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| ADVANCED MICRO DEVICES INC                                       | Advanced Micro Devices Inc                 | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     67821 | NS      | $4392766.17   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| AG TTMT ESCROW ISSUER LLC                                        | AG TTMT ESCROW ISSUER LLC                  | CUSIP: 00840KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $35327.19     | 0.00%             | 2027-09-30      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                       | AIR CANADA                                 | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |     29000 | PA      | $25763.44     | 0.00%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-B                              | AJAXM_21-B                                 | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1108647 | PA      | $1022733.04   | 0.09%             | 2066-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-A                              | AJAXM_21-A                                 | CUSIP: 00971AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2369602 | PA      | $2055697.52   | 0.18%             | 2065-09-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC/SAFEWAY INC/NEW ALBERTSONS LP/ALBERTSONS LLC  | ALBERTSONS COMPANIES LLC/SAFEWAY           | CUSIP: 013092AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $15355.60     | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC/SAFEWAY INC/NEW ALBERTSONS LP/ALBERTSONS LLC  | ALBERTSONS COMPANIES LLC/SAFEWAY           | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $23783.84     | 0.00%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC/SAFEWAY INC/NEW ALBERTSONS LP/ALBERTSONS LLC  | ALBERTSONS COMPANIES LLC/SAFEWAY           | CUSIP: 013092AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $27384.61     | 0.00%             | 2026-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                          | ALLEGHENY TECHNOLOGIES INC                 | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     32000 | PA      | $28267.08     | 0.00%             | 2029-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                          | ALLEGHENY TECHNOLOGIES INC                 | CUSIP: 01741RAM4<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     46000 | PA      | $40360.93     | 0.00%             | 2031-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS         | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $99114.48     | 0.01%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS         | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     72000 | PA      | $64854.62     | 0.01%             | 2027-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS         | CUSIP: 01883LAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     31000 | PA      | $25525.00     | 0.00%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| INGEVITY CORP                                                    | INGEVITY CORP                              | CUSIP: 45688CAB3<br>LEI: 5493009UTFC4B5IMGF87 | Long             | DBT              | CORP              | US        |     31000 | PA      | $26742.10     | 0.00%             | 2028-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| INNOPHOS HOLDINGS INC                                            | IRIS MERGER SUB 2019                       | CUSIP: 45774NAB4<br>LEI: XQ0331QX53IRX25OY417 | Long             | DBT              | CORP              | US        |     44000 | PA      | $43139.33     | 0.00%             | 2028-02-15      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| INTERFACE INC                                                    | INTERFACE INC                              | CUSIP: 458665AS5<br>LEI: 549300VXZWQOIDFPU355 | Long             | DBT              | CORP              | US        |     23000 | PA      | $18942.64     | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BUSINESS MACHINES CORP                             | International Business Machines Corp       | CUSIP: 459200101<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | EC               | CORP              | US        |     22049 | NS      | $3106483.61   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                           | International Flavors & Fragrances Inc     | CUSIP: 459506101<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | EC               | CORP              | US        |     68427 | NS      | $7173886.68   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL GAME TECHNOLOGY PL                                 | INTERNATIONAL GAME TECHNOLOGY PLC          | CUSIP: 460599AC7<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |     16000 | PA      | $16122.29     | 0.00%             | 2025-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL GAME TECHNOLOGY PL                                 | INTERNATIONAL GAME TECHNOLOGY PLC          | CUSIP: 460599AF0<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |     19000 | PA      | $17778.93     | 0.00%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| INTUIT INC.                                                      | Intuit Inc                                 | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |     29309 | NS      | $11407648.98  | 0.97%             |  |  |  | No            |                  1 | On Loan: No      |
| INVITATION HOMES TRUST IHSFR_18-SFR4                             | IHSFR_18-SFR4                              | CUSIP: 46187XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3014632 | PA      | $2984990.56   | 0.25%             | 2038-01-17      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| ION TRADING TECHNOLOGIES SARL                                    | ION TRADING TECHNOLOGIES SARL              | CUSIP: 46205YAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     32000 | PA      | $26711.15     | 0.00%             | 2028-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IQVIA HOLDINGS INC                                               | IQVIA Holdings Inc                         | CUSIP: 46266C105<br>LEI: 549300W3R20NM4KQPH86 | Long             | EC               | CORP              | US        |     16946 | NS      | $3472065.94   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| IRIS HOLDINGS INC                                                | IRIS HOLDINGS INC PIK                      | CUSIP: 46272EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $19155.80     | 0.00%             | 2026-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                | IRON MOUNTAIN INC                          | CUSIP: 46284VAC5<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     14000 | PA      | $12892.15     | 0.00%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                | IRON MOUNTAIN INC                          | CUSIP: 46284VAE1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22996.77     | 0.00%             | 2028-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                | IRON MOUNTAIN INC                          | CUSIP: 46284VAG6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     54000 | PA      | $48537.47     | 0.00%             | 2028-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                | IRON MOUNTAIN INC                          | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     26000 | PA      | $22579.78     | 0.00%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ISHARES CORE MSCI EAFE ETF                                       | iShares Core MSCI EAFE ETF                 | CUSIP: 46432F842<br>LEI: 5493009FT582MI7Y3I36 | Long             | EC               | RF                | US        |    168620 | NS      | $10393736.80  | 0.89%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS FIN         | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     30000 | PA      | $24473.46     | 0.00%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_21-2N | JPMCC_21-2NU                               | CUSIP: 46592FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $459960.54    | 0.04%             | 2040-01-05      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_21-2N | JPMCC_21-2NU                               | CUSIP: 46592FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $187349.55    | 0.02%             | 2040-01-05      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMorgan Chase & Co                        | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     45827 | NS      | $6145400.70   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                        | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4725000 | PA      | $3890300.83   | 0.33%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JAMES HARDIE INTERNATIONAL FINANCE DAC                           | JAMES HARDIE INTERNATIONAL FINANCE         | CUSIP: 47032FAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     37000 | PA      | $34385.13     | 0.00%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAY PARK CLO LTD JPARK_16-1A                                     | JPARK_16-1A                                | CUSIP: 47206VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2775000 | PA      | $2722904.93   | 0.23%             | 2027-10-20      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                | Johnson & Johnson                          | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |    139537 | NS      | $24649211.05  | 2.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KAR AUCTION SERVICES INC                                         | KAR AUCTION SERVICES INC                   | CUSIP: 48238TAA7<br>LEI: 5493004HKD20LBSG7D03 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87978.65     | 0.01%             | 2025-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KKR INDUSTRIAL PORTFOLIO TRUST KIND_21-KDIP                      | KIND_21-KDIP                               | CUSIP: 48254CAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $353230.16    | 0.03%             | 2037-12-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORPORATION                                      | KAISER ALUMINUM CORPORATION                | CUSIP: 483007AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $23670.28     | 0.00%             | 2028-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORPORATION                                      | KAISER ALUMINUM CORPORATION                | CUSIP: 483007AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $60256.27     | 0.01%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                 | KINDER MORGAN ENERGY PARTNERS LP           | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $998152.91    | 0.09%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                       | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $898525.40    | 0.08%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                            | L BRANDS INC                               | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22684.92     | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                            | L BRANDS INC                               | CUSIP: 501797AU8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      6000 | PA      | $6429.88      | 0.00%             | 2025-07-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                            | L BRANDS INC                               | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56275.62     | 0.00%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/CAP FIN            | CUSIP: 505742AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     81000 | PA      | $76296.88     | 0.01%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/FIN CORP           | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26000 | PA      | $21893.29     | 0.00%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/FIN CORP           | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $64592.69     | 0.01%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LAM RSRCH CORP                                                   | Lam Research Corp                          | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |     15391 | NS      | $6468837.30   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| LEEWARD RENEWABLE ENERGY LLC                                     | LEEWARD RENEWABLE ENERGY OP LLC            | CUSIP: 524590AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13000 | PA      | $11258.68     | 0.00%             | 2029-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1                          | LMAT_21-GS1                                | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200323 | PA      | $1094617.56   | 0.09%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS2                          | LMAT_21-GS2                                | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2327652 | PA      | $2103943.63   | 0.18%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| LDPT_20-REV1                                                     | LDPT_20-REV1                               | CUSIP: 52606YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1575000 | PA      | $1532960.10   | 0.13%             | 2028-10-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| LIFE_21-BMR                                                      | LIFE_21-BMR                                | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688079 | PA      | $651817.20    | 0.06%             | 2038-03-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ELI LILLY AND COMPANY                                            | Eli Lilly & Co                             | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     43516 | NS      | $15919893.44  | 1.36%             |  |  |  | No            |                  1 | On Loan: No      |
| LITHIA MOTORS INC                                                | LITHIA MOTORS INC                          | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16412.63     | 0.00%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                    | LIVE NATION ENTERTAINMENT INC              | CUSIP: 538034AN9<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     44000 | PA      | $41779.00     | 0.00%             | 2026-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                    | LIVE NATION ENTERTAINMENT INC              | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15154.74     | 0.00%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMENT INC                                    | LIVE NATION ENTERTAINMENT INC              | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     33000 | PA      | $32293.85     | 0.00%             | 2027-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LLEND_21-1A                                                      | LLEND_21-1A                                | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319760 | PA      | $308759.04    | 0.03%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| LOEWS CORPORATION                                                | LOEWS CORPORATION                          | CUSIP: 540424AT5<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |    665000 | PA      | $586485.50    | 0.05%             | 2030-05-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GOTO GROUP INC                                                   | LOGAN MERGER SUB INC                       | CUSIP: 541056AA5<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |     83000 | PA      | $44799.26     | 0.00%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOWES COMPANIES INC                                              | Lowe's Cos Inc                             | CUSIP: 548661107<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | EC               | CORP              | US        |     16270 | NS      | $3241634.80   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| LOWES COMPANIES INC                                              | LOWES COMPANIES INC                        | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1281391.60   | 0.11%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST MFRA_21-INV1                                          | MFRA_21-INV1                               | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    251255 | PA      | $222500.80    | 0.02%             | 2056-01-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST MFRA_21-INV1                                          | MFRA_21-INV1                               | CUSIP: 552747AB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46547 | PA      | $40955.01     | 0.00%             | 2056-01-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST MFRA_21-INV1                                          | MFRA_21-INV1                               | CUSIP: 552747AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77828 | PA      | $67808.15     | 0.01%             | 2056-01-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| MFA TRUST MFRA_20-NQM3                                           | MFRA_20-NQM3                               | CUSIP: 552757AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    475000 | PA      | $372676.74    | 0.03%             | 2065-01-26      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST MFRA_21-NQM1                                          | MFRA_21-NQM1                               | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    726577 | PA      | $622961.88    | 0.05%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| MFA TRUST MFRA_22-NQM2                                           | MFRA_22-NQM2                               | CUSIP: 55285QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5137529 | PA      | $4834411.59   | 0.41%             | 2067-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                          | MPLX LP                                    | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $973020.54    | 0.08%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                         | MSCI Inc                                   | CUSIP: 55354G100<br>LEI: 549300HTIN2PD78UB763 | Long             | EC               | CORP              | US        |      7261 | NS      | $3377599.37   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| MVW OWNER TRUST MVWOT_17-1A                                      | MVWOT_17-1A                                | CUSIP: 553896AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366724 | PA      | $358371.21    | 0.03%             | 2034-12-20      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                  | MADISON IAQ LLC                            | CUSIP: 55760LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $26648.44     | 0.00%             | 2028-06-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                  | MADISON IAQ LLC                            | CUSIP: 55760LAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     33000 | PA      | $22698.65     | 0.00%             | 2029-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_19-33A                             | MDPK_19-33A                                | CUSIP: 55819JAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3600000 | PA      | $3436502.40   | 0.29%             | 2032-10-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_21-48A                             | MDPK_21-48A                                | CUSIP: 55821UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    475000 | PA      | $467077.00    | 0.04%             | 2033-04-19      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                             | CUSIP: 55903VAS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2091000 | PA      | $1531774.49   | 0.13%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO MAGNE_15-12A                                       | MAGNE_15-12A                               | CUSIP: 55953HAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2150000 | PA      | $2117031.90   | 0.18%             | 2031-10-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                           | Marvell Technology Inc                     | CUSIP: 573874104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     57990 | NS      | $2147949.60   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| SYSCO CORP                                                       | Sysco Corp                                 | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |     69826 | NS      | $5338197.70   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| TJX COMPANIES INC                                                | TJX Cos Inc/The                            | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     74959 | NS      | $5966736.40   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE US INC                                                  | T-Mobile US Inc                            | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |     72449 | NS      | $10142860.00  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                           | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1094251.55   | 0.09%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOFTWARE INC.                               | Take-Two Interactive Software Inc          | CUSIP: 874054109<br>LEI: BOMSTHHJK882EWYX3334 | Long             | EC               | CORP              | US        |     99314 | NS      | $10341566.82  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| TAPESTRY INC                                                     | Tapestry Inc                               | CUSIP: 876030107<br>LEI: 549300LJNVY5SW3VTN33 | Long             | EC               | CORP              | US        |    148477 | NS      | $5654004.16   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP                                      | TARGA RESOURCES PARTNERS LP/TARGA          | CUSIP: 87612BBQ4<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37694.73     | 0.00%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                  | TAYLOR MORRISON COMMUNITIES INC            | CUSIP: 87724RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9623.41      | 0.00%             | 2027-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                  | TAYLOR MORRISON COMMUNITIES INC            | CUSIP: 87724RAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $27843.70     | 0.00%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TEMPO ACQUISITION LLC                                            | TEMPO ACQUISITION LLC/TEMPO FIN            | CUSIP: 88023JAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $45144.77     | 0.00%             | 2025-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TEMPUR SEALY INTERNATIONAL INC                                   | TEMPUR SEALY INTERNATIONAL INC             | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     33000 | PA      | $25833.68     | 0.00%             | 2031-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION               | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14660.45     | 0.00%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION               | CUSIP: 88033GCX6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     56000 | PA      | $53788.38     | 0.00%             | 2027-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION               | CUSIP: 88033GDA5<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     37000 | PA      | $34525.99     | 0.00%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION               | CUSIP: 88033GDG2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9859.29      | 0.00%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION               | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     51000 | PA      | $45765.66     | 0.00%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION               | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     22000 | PA      | $19060.63     | 0.00%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION               | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25715.19     | 0.00%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TESLA INC                                                        | Tesla Inc                                  | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |     29145 | NS      | $3590081.10   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_21-1                                  | THRM_21-1A                                 | CUSIP: 88339VAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $651830.48    | 0.06%             | 2027-12-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER                                                    | Thermo Fisher Scientific Inc               | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     11076 | NS      | $6099442.44   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| TIBCO SOFTWARE INC                                               | TIBCO SOFTWARE INC                         | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     58000 | PA      | $49111.35     | 0.00%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                            | TIME WARNER CABLE INC                      | CUSIP: 88732JAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1232786.79   | 0.11%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_20-1                                   | TRK_20-1                                   | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1715147 | PA      | $1656584.12   | 0.14%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_21-1                                   | TRK_21-1                                   | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $861667.02    | 0.07%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_18-1                              | TPMT_18-1                                  | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    153030 | PA      | $147554.04    | 0.01%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_18-6                              | TPMT_18-6                                  | CUSIP: 89176LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    588567 | PA      | $565260.72    | 0.05%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_19-HY1                            | TPMT_19-HY1                                | CUSIP: 89177EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    472929 | PA      | $469121.30    | 0.04%             | 2048-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_19-HY2                            | TPMT_19-HY2                                | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    580642 | PA      | $573517.75    | 0.05%             | 2058-05-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT HE TRUST TPHT_21-HE1                                  | TPHT_21-HE1                                | CUSIP: 89180DAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    450000 | PA      | $375155.10    | 0.03%             | 2063-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                              | CUSIP: 893647BE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    161000 | PA      | $159119.93    | 0.01%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                              | CUSIP: 893647BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     54000 | PA      | $54702.08     | 0.00%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                              | CUSIP: 893647BL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57000 | PA      | $53526.13     | 0.00%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                              | CUSIP: 893647BQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41000 | PA      | $35746.56     | 0.00%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS LLC                                      | TRANSMONTAIGE PARTNERS LP / FIN CO         | CUSIP: 89376VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38000 | PA      | $33051.41     | 0.00%             | 2026-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN SENTRY LTD                                            | TRANSOCEAN SENTRY LTD                      | CUSIP: 89385AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     55569 | PA      | $55127.26     | 0.00%             | 2023-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TAH_20-SFR1                                | TAH_20-SFR1                                | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $564805.61    | 0.05%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TAH_20-SFR2                                | TAH_20-SFR2                                | CUSIP: 89613JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $885496.64    | 0.08%             | 2039-11-17      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                     | TRIVIUM PACKAGING FINANCE BV               | CUSIP: 89686QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     62000 | PA      | $57954.32     | 0.00%             | 2026-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TVC_20-RTL1                                                      | TVC_20-RTL1                                | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     87835 | PA      | $87630.55     | 0.01%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUS                                 | AOTA_15-1211                               | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1275000 | PA      | $1179882.20   | 0.10%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                     | US FOODS INC                               | CUSIP: 90290MAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8000 | PA      | $7935.12      | 0.00%             | 2025-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                     | US FOODS INC                               | CUSIP: 90290MAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $39960.30     | 0.00%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                     | US FOODS INC                               | CUSIP: 90290MAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $23858.10     | 0.00%             | 2030-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | Uber Technologies Inc                      | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |    356881 | NS      | $8825667.13   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC                      | CUSIP: 90353TAF7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     56000 | PA      | $56079.90     | 0.00%             | 2025-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC                      | CUSIP: 90353TAG5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     39000 | PA      | $37573.91     | 0.00%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC                      | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     88000 | PA      | $76720.20     | 0.01%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                        | Union Pacific Corp                         | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     30483 | NS      | $6312114.81   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIRLINES INC                        | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     38000 | PA      | $35392.23     | 0.00%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIRLINES INC                        | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34908.54     | 0.00%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS (NORTH AMERICA) INC                               | UNITED RENTALS NA INC                      | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     32000 | PA      | $30053.67     | 0.00%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                              | CUSIP: 912810RK6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5750000 | PA      | $4343046.88   | 0.37%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                     | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1323000 | PA      | $1244985.92   | 0.11%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                     | UNIVISION COMMUNICATIONS INC               | CUSIP: 914906AV4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $20894.60     | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                     | UNIVISION COMMUNICATIONS INC               | CUSIP: 914906AX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $28707.09     | 0.00%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-3                           | UPST_21-3                                  | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $395780.15    | 0.03%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_20-2                           | UPST_20-2                                  | CUSIP: 91680CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277919 | PA      | $271824.34    | 0.02%             | 2030-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-2                           | UPST_21-2                                  | CUSIP: 91680FAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $404435.06    | 0.03%             | 2031-06-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS THROUGH TRUST UPSPT_21-ST10                         | UPSPT_21-ST10                              | CUSIP: 91681WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2016835 | PA      | $1910608.17   | 0.16%             | 2030-01-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST2                          | UPSPT_21-ST2                               | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137848 | PA      | $128875.00    | 0.01%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST7                          | UPSPT_21-ST7                               | CUSIP: 91683KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423847 | PA      | $394714.35    | 0.03%             | 2029-09-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS THROUGH TRUST UPSPT_21-ST9                          | UPSPT_21-ST9                               | CUSIP: 91683MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248566 | PA      | $235832.32    | 0.02%             | 2029-11-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| USIS MERGER SUB INC                                              | USI INC/NY                                 | CUSIP: 91739VAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38000 | PA      | $36475.10     | 0.00%             | 2025-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP                                      | USA COMPRESSION PARTNERS LP                | CUSIP: 91740PAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26000 | PA      | $24383.95     | 0.00%             | 2027-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL1                                                | VCAT_21-NPL1                               | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159440 | PA      | $150308.05    | 0.01%             | 2050-12-26      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| VWH CAPITAL VCAT_21-NPL6                                         | VCAT_21-NPL6                               | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4024908 | PA      | $3503949.00   | 0.30%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| VSE VOI MORTGAGE LLC VSTNA_18-A                                  | VSTNA_18-A                                 | CUSIP: 918286AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199692 | PA      | $193187.73    | 0.02%             | 2036-02-20      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL6               | VOLT_21-NPL6                               | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3757105 | PA      | $3304817.19   | 0.28%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL1               | VOLT_21-NPL1                               | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1536255 | PA      | $1315127.46   | 0.11%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                          | VZ SECURED FINANCING BV                    | CUSIP: 91845AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     76000 | PA      | $61965.05     | 0.01%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC          | CUSIP: 92328MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $42900.71     | 0.00%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC          | CUSIP: 92328MAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $68200.69     | 0.01%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC          | CUSIP: 92328MAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41000 | PA      | $33472.82     | 0.00%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VERTEX PHARM INC                                                 | Vertex Pharmaceuticals Inc                 | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |     35608 | NS      | $10282878.24  | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| VERSCEND ESCROW CORP                                             | VERSCEND HOLDING CORP                      | CUSIP: 92535WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $62691.89     | 0.01%             | 2026-08-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-1                            | VERUS_20-1                                 | CUSIP: 92536PAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $737885.40    | 0.06%             | 2060-01-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_19-4                            | VERUS_19-4                                 | CUSIP: 92537KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    583361 | PA      | $549335.17    | 0.05%             | 2059-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                                         | VERTICAL US NEWCO INC                      | CUSIP: 92537RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $30244.42     | 0.00%             | 2027-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-INV1                         | VERUS_20-INV1                              | CUSIP: 92537TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     44957 | PA      | $43614.72     | 0.00%             | 2060-03-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                      | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8950000 | PA      | $7280469.33   | 0.62%             | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-2                            | VERUS_20-2                                 | CUSIP: 92537UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113433 | PA      | $109150.63    | 0.01%             | 2060-05-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR HOLDCO GMBH                                          | VERTICAL HOLDCO GMBH                       | CUSIP: 92537VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |     28000 | PA      | $22945.08     | 0.00%             | 2028-07-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                      | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22825000 | PA      | $19321689.13  | 1.65%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  15YR TBA(REG B)                      | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1825000 | PA      | $1709192.05   | 0.15%             | 2038-01-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-R1                           | VERUS_21-R1                                | CUSIP: 92538BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    201391 | PA      | $176391.33    | 0.02%             | 2063-10-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-R1                           | VERUS_21-R1                                | CUSIP: 92538BAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    255096 | PA      | $220923.60    | 0.02%             | 2063-10-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                      | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  24250000 | PA      | $21276204.56  | 1.82%             | 2053-01-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  15YR TBA(REG B)                      | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4600000 | PA      | $4400296.06   | 0.38%             | 2038-01-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                      | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19825000 | PA      | $18007101.42  | 1.54%             | 2053-01-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                      | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  33825000 | PA      | $31716347.47  | 2.71%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-4                            | VERUS_22-4                                 | CUSIP: 92538NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    461218 | PA      | $448514.58    | 0.04%             | 2067-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-1                            | VERUS_22-1                                 | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3591885 | PA      | $3188926.62   | 0.27%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                      | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  26825000 | PA      | $25812524.98  | 2.20%             | 2053-01-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                      | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16600000 | PA      | $16354675.41  | 1.40%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIDEOTRON LTD                                                    | VIDEOTRON LTD / VIDEOTRON LTEE             | CUSIP: 92660FAN4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     31000 | PA      | $26209.85     | 0.00%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                         | VIRGIN MEDIA FINANCE PLC                   | CUSIP: 92769VAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     47000 | PA      | $37760.71     | 0.00%             | 2030-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                     | Alphabet Inc                               | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    123457 | NS      | $10954339.61  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                                     | Alphabet Inc                               | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    122131 | NS      | $10775618.13  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                 | VIRGIN MEDIA SECURED FINANCE PLC           | CUSIP: 92769XAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     51000 | PA      | $45832.08     | 0.00%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                 | VIRGIN MEDIA SECURED FINANCE PLC           | CUSIP: 92769XAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     31000 | PA      | $25906.54     | 0.00%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA (FRANCE)                                        | ALTICE FRANCE SA                           | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     33000 | PA      | $30125.15     | 0.00%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA (FRANCE)                                        | ALTICE FRANCE SA                           | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     93000 | PA      | $73017.42     | 0.01%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                         | Visa Inc                                   | CUSIP: 92826C839<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | EC               | CORP              | US        |     55663 | NS      | $11564544.88  | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| VISIO_19-2                                                       | VISIO_19-2                                 | CUSIP: 92837DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    327730 | PA      | $302253.95    | 0.03%             | 2054-11-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA (FRANCE)                                        | ALTICE FRANCE SA                           | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     32000 | PA      | $23933.95     | 0.00%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                         | ALTICE FRANCE HOLDING SA                   | CUSIP: 02156TAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     85000 | PA      | $50187.08     | 0.00%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISIO_20-1R                                                      | VISIO_20-1R                                | CUSIP: 92837MAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    177767 | PA      | $160278.85    | 0.01%             | 2055-11-25      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| VISIO_20-1R                                                      | VISIO_20-1R                                | CUSIP: 92837MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    207395 | PA      | $186016.93    | 0.02%             | 2055-11-25      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                   | Amazon.com Inc                             | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    237239 | NS      | $19928076.00  | 1.70%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_21-1           | ACAR_21-1                                  | CUSIP: 02528BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936337 | PA      | $922048.56    | 0.08%             | 2027-03-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                    | VISTRA OPERATIONS COMPANY LLC              | CUSIP: 92840VAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9646.00      | 0.00%             | 2026-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                    | VISTRA OPERATIONS COMPANY LLC              | CUSIP: 92840VAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $52526.59     | 0.00%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_21-2           | ACAR_21-2                                  | CUSIP: 025291AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $553201.02    | 0.05%             | 2027-07-13      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_20-1           | ACAR_20-1                                  | CUSIP: 02529VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2440641 | PA      | $2413470.42   | 0.21%             | 2026-03-13      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                    | VISTRA OPERATIONS COMPANY LLC              | CUSIP: 92840VAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     61000 | PA      | $56767.11     | 0.00%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                    | VISTRA OPERATIONS COMPANY LLC              | CUSIP: 92840VAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18000 | PA      | $15530.61     | 0.00%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC.                             | American Electric Power Co Inc             | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |    117205 | NS      | $11128614.75  | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                         | American Express Co                        | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |      5066 | NS      | $748501.50    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                       | VMED O2 UK FINANCING I PLC                 | CUSIP: 92858RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     27000 | PA      | $21871.41     | 0.00%             | 2031-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                       | VMED O2 UK FINANCING I PLC                 | CUSIP: 92858RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     52000 | PA      | $42344.41     | 0.00%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AH4R_14-SFR2                                                     | AH4R_14-SFR2                               | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112941 | PA      | $1064370.49   | 0.09%             | 2036-10-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LLC AH4R_14-SFR3                           | AH4R_14-SFR3                               | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1228630 | PA      | $1177694.84   | 0.10%             | 2036-12-17      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| VOLT LLC VOLT_21-NPL8                                            | VOLT_21-NPL8                               | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    982529 | PA      | $867883.98    | 0.07%             | 2051-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL3               | VOLT_21-NPL3                               | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1505945 | PA      | $1350353.05   | 0.12%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT AH4R_15-SFR1                               | AH4R_15-SFR1                               | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1135917 | PA      | $1071854.17   | 0.09%             | 2052-04-17      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT AH4R_15-SF                                 | AH4R_15-SFR2                               | CUSIP: 02666BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677448 | PA      | $641805.40    | 0.05%             | 2052-10-17      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| VOLT_21-NPL2                                                     | VOLT_21-NPL2                               | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1281152 | PA      | $1144456.02   | 0.10%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRUST VOLT_21-NP10                    | VOLT_21-NP10                               | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2687446 | PA      | $2400617.05   | 0.21%             | 2051-05-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | American Tower Corp                        | CUSIP: 03027X100<br>LEI: 5493006ORUSIL88JOE18 | Long             | EC               | CORP              | US        |     50678 | NS      | $10736641.08  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION                 | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    740000 | PA      | $672935.27    | 0.06%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL5               | VOLT_21-NPL5                               | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    916679 | PA      | $831018.40    | 0.07%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| VOLT_21-NP11                                                     | VOLT_21-NP11                               | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2084359 | PA      | $1827092.81   | 0.16%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | AMGEN INC                                  | CUSIP: 031162CY4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1917000 | PA      | $1158019.31   | 0.10%             | 2053-09-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_18-3                               | AOMT_18-3                                  | CUSIP: 03464NAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9674 | PA      | $9610.45      | 0.00%             | 2048-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                                 | WFRBS_14-C22                               | CUSIP: 92890KBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $410120.67    | 0.04%             | 2057-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                               | VOYA FINANCIAL INC                         | CUSIP: 929089AC4<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    818000 | PA      | $667076.83    | 0.06%             | 2046-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_20-R1                              | AOMT_20-R1                                 | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    615518 | PA      | $544325.78    | 0.05%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_20-6                               | AOMT_20-6                                  | CUSIP: 03465AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    134980 | PA      | $113403.26    | 0.01%             | 2065-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| WFRBS_13-C15                                                     | WFRBS_13-C15                               | CUSIP: 92938CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491563 | PA      | $488022.10    | 0.04%             | 2046-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| W R GRACE HOLDINGS LLC                                           | WR GRACE HOLDINGS LLC                      | CUSIP: 92943GAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $76856.44     | 0.01%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_20-6                               | AOMT_20-6                                  | CUSIP: 03465AAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $288979.44    | 0.02%             | 2065-05-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_22-6                               | AOMT_22-6                                  | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4448291 | PA      | $4257438.02   | 0.36%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| W R GRACE HOLDINGS LLC                                           | WR GRACE HOLDINGS LLC                      | CUSIP: 92943GAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $21740.42     | 0.00%             | 2024-10-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| W R GRACE HOLDINGS LLC                                           | WR GRACE HOLDINGS LLC                      | CUSIP: 92943GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     67000 | PA      | $59354.93     | 0.01%             | 2027-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WORLDWIDE INC                               | ANHEUSER-BUSCH INBEV WORLDWIDE INC         | CUSIP: 035240AG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1124806.76   | 0.10%             | 2042-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | Anthem Inc                                 | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |     21613 | NS      | $11086820.61  | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| WALMART INC                                                      | Walmart Inc                                | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     64429 | NS      | $9135387.91   | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| WASTE CONNECTIONS INC                                            | WASTE CONNECTIONS INC                      | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $929001.43    | 0.08%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | ANTHEM INC                                 | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    235000 | PA      | $225243.60    | 0.02%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                      | APACHE CORPORATION                         | CUSIP: 037411AW5<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     28000 | PA      | $23252.81     | 0.00%             | 2040-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                | WASTE PRO USA INC                          | CUSIP: 94107JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     81000 | PA      | $71777.59     | 0.01%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | Wells Fargo & Co                           | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    319236 | NS      | $13181254.44  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| APACHE CORP                                                      | APACHE CORPORATION                         | CUSIP: 037411AY1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9020.00      | 0.00%             | 2042-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| APIDOS CDO APID_12-11A                                           | APID_12-11A                                | CUSIP: 03763YBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1925000 | PA      | $1839497.28   | 0.16%             | 2034-04-17      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE                                  | WFCM_15-C28                                | CUSIP: 94989JAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067263 | PA      | $1017197.14   | 0.09%             | 2048-05-15      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                      | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3625000 | PA      | $2591466.46   | 0.22%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO APID_17-28A                                           | APID_17-28A                                | CUSIP: 03767CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    900000 | PA      | $867192.30    | 0.07%             | 2031-01-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                        | Apple Inc                                  | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    276873 | NS      | $35974108.89  | 3.07%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_20-SDAL               | WFCM_20-SDAL                               | CUSIP: 95002GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $472026.45    | 0.04%             | 2037-02-15      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST AQFIT_21-A                                    | AQFIT_21-A                                 | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576899 | PA      | $525099.04    | 0.04%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                 | ARCHES BUYER INC                           | CUSIP: 039524AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     67000 | PA      | $52549.21     | 0.00%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                 | ARCHES BUYER INC                           | CUSIP: 039524AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     59000 | PA      | $47344.71     | 0.00%             | 2028-12-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS LP / ARCHROCK                                  | ARCHROCK PARTNERS LP/ARCHROCK FIN          | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26000 | PA      | $23896.62     | 0.00%             | 2028-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FINANCE PLC/ARD                                 | ARDAGH PACKAGING FIN PLC/HLDGS USA         | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     35000 | PA      | $30340.69     | 0.00%             | 2026-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE PLC                               | ARDAGH METAL PACKAGING FIN/FIN PLC         | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     94000 | PA      | $74563.09     | 0.01%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE PLC                               | ARDAGH METAL PACKAGING FIN/FIN PLC         | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     55000 | PA      | $53887.31     | 0.00%             | 2027-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_18-47A                                         | ARES_18-47A                                | CUSIP: 04016VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    550000 | PA      | $529514.15    | 0.05%             | 2030-04-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_20-58A                                         | ARES_20-58A                                | CUSIP: 04018AAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    475000 | PA      | $410233.28    | 0.04%             | 2035-01-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC.                                     | ASBURY AUTOMOTIVE GROUP INC                | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     39000 | PA      | $32905.03     | 0.00%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC.                                     | ASBURY AUTOMOTIVE GROUP INC                | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     41000 | PA      | $33823.35     | 0.00%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                              | ASCEND LEARNING LLC TLB 3.5                | CUSIP: 04349HAK0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     38610 | PA      | $36438.19     | 0.00%             | 2028-12-11      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                              | ASCEND LEARNING LLC TL 2LN 5.75            | CUSIP: 04349HAM6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     23000 | PA      | $19636.25     | 0.00%             | 2029-12-10      | Variable      | 10.13%                | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST INC AHT1_18-KEYS                       | AHT1_18-KEYS                               | CUSIP: 04410CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2533473.08   | 0.22%             | 2035-05-15      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                              | ASSUREDPARTNERS INC                        | CUSIP: 04624VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $19443.86     | 0.00%             | 2025-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                              | ASSUREDPARTNERS INC                        | CUSIP: 04624VAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     58000 | PA      | $48184.69     | 0.00%             | 2029-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                          | ASTRAZENECA FINANCE LLC                    | CUSIP: 04636NAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    525000 | PA      | $436909.16    | 0.04%             | 2031-05-28      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                              | AVANTOR FUNDING INC                        | CUSIP: 05352TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $40861.49     | 0.00%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                              | AVANTOR FUNDING INC                        | CUSIP: 05352TAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     53000 | PA      | $44535.10     | 0.00%             | 2029-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST AVNT_21-REV1                           | AVNT_21-REV1                               | CUSIP: 05353LAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $295622.18    | 0.03%             | 2030-07-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                      | AVIENT CORPORATION                         | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     34000 | PA      | $33442.80     | 0.00%             | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC                                       | AXALTA COATING SYSTEMS LLC                 | CUSIP: 05453GAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19000 | PA      | $15767.20     | 0.00%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC / AXALTA COATING SYSTEMS  | AXALTA COATING SYSTEMS/HOLDING BV          | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     89000 | PA      | $82242.48     | 0.01%             | 2027-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH        | BBCMS_18-BXH                               | CUSIP: 05491RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1088003.16   | 0.09%             | 2037-10-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH        | BBCMS_18-BXH                               | CUSIP: 05491RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $590008.38    | 0.05%             | 2037-10-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                  | BAE SYSTEMS PLC                            | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1056398.40   | 0.09%             | 2030-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BB-UBS TRUST BBUBS_12-SHOW                                       | BBUBS_12-SHOW                              | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1325000 | PA      | $1232902.43   | 0.11%             | 2036-11-05      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| BHMS MORTGAGE TRUST BHMS_18-ATLS                                 | BHMS_18-ATLS                               | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2375000 | PA      | $2289238.75   | 0.20%             | 2035-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| SFO COMMERICAL MORTGAGE TRUST SFO-21-555                         | SFO_21-555                                 | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $371792.81    | 0.03%             | 2038-05-15      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                     | NAVIENT LLC                                | CUSIP: 78442FEQ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59911.47     | 0.01%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                     | SM ENERGY CO                               | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38990.33     | 0.00%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SPCM SA                                                          | SPCM SA                                    | CUSIP: 7846ELAD9<br>LEI: 969500F7036FEDYPRV54 | Long             | DBT              | CORP              | FR        |     21000 | PA      | $18172.18     | 0.00%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                             | SRS DISTRIBUTION INC                       | CUSIP: 78471RAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23000 | PA      | $20544.65     | 0.00%             | 2028-07-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                             | SRS DISTRIBUTION INC                       | CUSIP: 78471RAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43000 | PA      | $34900.92     | 0.00%             | 2029-07-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                             | SRS DISTRIBUTION INC                       | CUSIP: 78471RAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     53000 | PA      | $42388.53     | 0.00%             | 2029-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPGN TFLM MORTGAGE TRUST SPGN_22-TFLM                            | SPGN_22-TFLM                               | CUSIP: 78473HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4725000 | PA      | $4463917.76   | 0.38%             | 2039-02-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| STAR_22-SFR3                                                     | STAR_22-SFR3                               | CUSIP: 78474PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2641885 | PA      | $2623898.10   | 0.22%             | 2024-05-17      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| STAR_22-SFR3                                                     | STAR_22-SFR3                               | CUSIP: 78474PAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1878830.39   | 0.16%             | 2024-05-17      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| SANTANDER CONSUMER AUTO RECEIVABLES TRUST SCART_21-AA            | SCART_21-AA                                | CUSIP: 80282YAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $182309.58    | 0.02%             | 2026-11-16      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER CONSUMER AUTO RECEIVABLES TRUST SCART_21-AA            | SCART_21-AA                                | CUSIP: 80282YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $158468.38    | 0.01%             | 2027-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-2                | SDART_20-2                                 | CUSIP: 80285RAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925000 | PA      | $899309.24    | 0.08%             | 2026-09-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-3                | SDART_20-3                                 | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6578000 | PA      | $6299772.31   | 0.54%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| IHO VERWALTUNGS GMBH                                             | SCHAEFFLER VERWALTUNG ZWEI PIK             | CUSIP: 80627DAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |     42827 | PA      | $37118.74     | 0.00%             | 2026-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES HOLDINGS LP                                     | SCIENTIFIC GAMES HOLDINGS LP/FINCO         | CUSIP: 80874DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     68000 | PA      | $57419.71     | 0.00%             | 2030-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO/THE                                        | SCOTTS MIRACLE-GRO CO/THE                  | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |     21000 | PA      | $16056.38     | 0.00%             | 2032-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO/THE                                        | SCOTTS MIRACLE-GRO CO/THE                  | CUSIP: 810186AX4<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15358.06     | 0.00%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS CO                                                    | SCRIPPS ESCROW INC                         | CUSIP: 81104PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11000 | PA      | $9851.63      | 0.00%             | 2027-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS CO                                                    | SCRIPPS ESCROW II INC                      | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7000 | PA      | $5695.16      | 0.00%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EW SCRIPPS CO                                                    | SCRIPPS ESCROW II INC                      | CUSIP: 81105DAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $12071.88     | 0.00%             | 2031-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                              | SELECT MEDICAL CORP                        | CUSIP: 816196AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104000 | PA      | $99116.54     | 0.01%             | 2026-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                          | SENSATA TECHNOLOGIES BV                    | CUSIP: 81725WAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     32000 | PA      | $30311.21     | 0.00%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SHEA HOMES LIMITED PARTNERSHIP A CALIFORNIA LP                   | SHEA HOMES LP/SHEA HOMES FUNDING           | CUSIP: 82088KAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $23593.58     | 0.00%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS COMPANY (THE)                                   | Sherwin-Williams Co/The                    | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |     27832 | NS      | $6605368.56   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| SHIFT4 PAYMENTS LLC                                              | SHIFT4 PAYMENTS LLC/SHIFT4 FIN             | CUSIP: 82453AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $51882.33     | 0.00%             | 2026-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SIERRA RECEIVABLES FUNDING COMPANY SRFC_18-2A                    | SRFC_18-2A                                 | CUSIP: 82653DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121573 | PA      | $119989.71    | 0.01%             | 2035-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SIERRA RECEIVABLES FUNDING CO LLC SRFC_18-3A                     | SRFC_18-3A                                 | CUSIP: 82653GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82594 | PA      | $81664.60     | 0.01%             | 2035-09-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOODS INC                                                | SIMMONS FOODS INC/SIMMONS PREP             | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23000 | PA      | $18819.40     | 0.00%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                              | SIRIUS XM RADIO INC                        | CUSIP: 82967NBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36000 | PA      | $32889.62     | 0.00%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                              | SIRIUS XM RADIO INC                        | CUSIP: 82967NBL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $28412.03     | 0.00%             | 2026-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP                                     | SIX FLAGS ENTERTAINMENT CORP               | CUSIP: 83001AAB8<br>LEI: 549300JYTDUAA4JQ3717 | Long             | DBT              | CORP              | US        |     52000 | PA      | $50113.70     | 0.00%             | 2024-07-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY (THE)                                           | SOUTHERN CO                                | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1003640.77   | 0.09%             | 2046-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                            | Southwest Airlines Co                      | CUSIP: 844741108<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | EC               | CORP              | US        |     91988 | NS      | $3097235.96   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                           | SOUTHWESTERN ENERGY COMPANY                | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     88000 | PA      | $75137.23     | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | SPECTRUM BRANDS INC                        | CUSIP: 84762LAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $17494.69     | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | SPECTRUM BRANDS HOLDINGS INC               | CUSIP: 84762LAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000 | PA      | $1775.26      | 0.00%             | 2030-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                             | SPRINGLEAF FINANCE CORP                    | CUSIP: 85172FAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $32887.06     | 0.00%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SPIRIT AROSYSTMS                                                 | SPIRIT AEROSYSTEMS INC                     | CUSIP: 85205TAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17000 | PA      | $17915.12     | 0.00%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORPORATION                                       | SPRINT CAPITAL CORPORATION                 | CUSIP: 852060AT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38000 | PA      | $45203.55     | 0.00%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                       | SPRINT CORP                                | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     44000 | PA      | $46301.59     | 0.00%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                          | STANDARD INDUSTRIES INC                    | CUSIP: 853496AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9249.31      | 0.00%             | 2027-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                      | STAPLES INC                                | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     19000 | PA      | $16355.71     | 0.00%             | 2026-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR_19-INV1                       | STAR_2019-INV1                             | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    557774 | PA      | $523910.01    | 0.04%             | 2049-09-27      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL STAR_20-2                          | STAR_20-2                                  | CUSIP: 85573DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    975000 | PA      | $923381.75    | 0.08%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_20-INV1                 | STAR_20-INV1                               | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150506 | PA      | $132814.54    | 0.01%             | 2055-11-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_21-4                    | STAR_21-4                                  | CUSIP: 85573PAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    525000 | PA      | $302296.00    | 0.03%             | 2056-08-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                | State Street Corp                          | CUSIP: 857477103<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | EC               | CORP              | US        |    122982 | NS      | $9539713.74   | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                                                | STATE STREET CORP                          | CUSIP: 857477BP7<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    716000 | PA      | $572379.20    | 0.05%             | 2031-03-03      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| STEVENS HOLDING COMPANY INC                                      | ALTRA INDUSTRIAL MOTION CORP               | CUSIP: 86024TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000 | PA      | $12089.76     | 0.00%             | 2026-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                   | Canadian Natural Resources Ltd             | CUSIP: 136385101<br>LEI: 549300T15RIMIKZC5Q38 | Long             | EC               | CORP              | CA        |    144574 | NS      | $8028194.22   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| CANPACK SA/CANPACK US LLC                                        | CANPACK SA/CANPACK US LLC                  | CUSIP: 13806CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | PL        |     65000 | PA      | $51465.88     | 0.00%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CARBONE CLO LTD CRBN_17-1A                                       | CRBN_17-1A                                 | CUSIP: 141312AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2350000 | PA      | $2315165.95   | 0.20%             | 2031-01-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CGMS_18-C17A                    | CGMS_C17A                                  | CUSIP: 14307PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    500000 | PA      | $457452.50    | 0.04%             | 2031-04-30      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES                                 | CGMS_16-4A                                 | CUSIP: 143109AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3425000 | PA      | $3327983.45   | 0.28%             | 2027-10-20      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_21-1                               | CARMX_21-1                                 | CUSIP: 14316NAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $249721.20    | 0.02%             | 2026-12-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORP                              | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     17000 | PA      | $13577.56     | 0.00%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORPORATION                       | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    108000 | PA      | $77056.96     | 0.01%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORP                              | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     54000 | PA      | $43993.31     | 0.00%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORP                              | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     43000 | PA      | $28813.59     | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL HOLDINGS (BERMUDA) LTD                                  | CARNIVAL HOLDINGS BERMUDA LTD              | CUSIP: 14366RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     27000 | PA      | $27715.12     | 0.00%             | 2028-05-01      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                              | CARRIER GLOBAL CORP                        | CUSIP: 14448CAR5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    850000 | PA      | $643985.66    | 0.06%             | 2040-04-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTIONS INC                                    | CATALENT PHARMA SOLUTIONS INC              | CUSIP: 14879EAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21000 | PA      | $16563.56     | 0.00%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CEDAR FAIR LP/CANADA WONDERLAND CO/MAGNUM MANAGEMENT CORP        | CEDAR FAIR LP/CANADA WONDERLAND            | CUSIP: 150190AF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23000 | PA      | $22726.81     | 0.00%             | 2025-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CEDAR FAIR LP/CANADAS WONDERLAND CO/MAGNUM MANAGEMENT CORP/MILLE | CEDAR FAIR LP/CANADA WONDERLAND            | CUSIP: 150190AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $43774.15     | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                             | CENGAGE LEARNING INC TLB 4.75              | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |     55304 | PA      | $49618.15     | 0.00%             | 2026-07-14      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                        | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68771.16     | 0.01%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC (PRE-MERGER)                                  | CENOVUS ENERGY INC                         | CUSIP: 15135UAX7<br>LEI: 549300NKHFE6ZRF37I48 | Long             | DBT              | CORP              | CA        |    710000 | PA      | $500729.47    | 0.04%             | 2052-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                             | CENGAGE LEARNING INC                       | CUSIP: 15137NAA1<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25716.12     | 0.00%             | 2024-06-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                     | CHARLES RIVER LABORATORIES INTL            | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23004.14     | 0.00%             | 2028-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                     | CHARLES RIVER LABORATORIES INTL            | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     19000 | PA      | $16798.71     | 0.00%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES                                                 | CHART INDUSTRIES INC                       | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |     21000 | PA      | $21087.15     | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES                                                 | CHART INDUSTRIES INC                       | CUSIP: 16115QAG5<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |      7000 | PA      | $7179.09      | 0.00%             | 2031-01-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CHEEVER ESCROW ISSUER LLC                                        | OLYMPUS WATER US HOLDINGS CORP             | CUSIP: 16308NAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     33000 | PA      | $31468.48     | 0.00%             | 2027-10-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                      | CHENIERE ENERGY PARTNERS LP                | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17100.47     | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                      | CHENIERE ENERGY PARTNERS LP                | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     37000 | PA      | $31691.69     | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                      | CHENIERE ENERGY PARTNERS LP                | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     64000 | PA      | $50976.70     | 0.00%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                              | CHENIERE ENERGY INC                        | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22670.90     | 0.00%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                     | Chevron Corp                               | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    102813 | NS      | $18453905.37  | 1.58%             |  |  |  | No            |                  1 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                                 | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2253711 | PA      | $2056139.63   | 0.18%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                 | CINEMARK USA INC                           | CUSIP: 172441BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $15225.05     | 0.00%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                 | CINEMARK USA INC                           | CUSIP: 172441BD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     56000 | PA      | $46587.99     | 0.00%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                 | CINEMARK USA INC                           | CUSIP: 172441BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $4456.67      | 0.00%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                              | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2260867.64   | 0.19%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HOLDINGS CORP                                  | CLARIVATE SCIENCE HOLDINGS CORP            | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $21687.79     | 0.00%             | 2028-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HOLDINGS CORP                                  | CLARIVATE SCIENCE HOLDINGS CORP            | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73000 | PA      | $62070.57     | 0.01%             | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                               | CLEAR CHANNEL WORLDWIDE HOLDINGS           | CUSIP: 18453HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88000 | PA      | $76251.97     | 0.01%             | 2027-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                               | CLEAR CHANNEL OUTDOOR HOLDINGS             | CUSIP: 18453HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     49000 | PA      | $35962.80     | 0.00%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                               | CLEAR CHANNEL OUTDOOR HOLDINGS INC         | CUSIP: 18453HAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     43000 | PA      | $31276.93     | 0.00%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                    | CLEARWAY ENERGY OPERATING LLC              | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     58000 | PA      | $53778.10     | 0.00%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                    | CLEARWAY ENERGY OPERATING LLC              | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     75000 | PA      | $62601.88     | 0.01%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                    | CLEARWAY ENERGY OPERATING LLC              | CUSIP: 18539UAE5<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     16000 | PA      | $12929.28     | 0.00%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                  | COLGATE ENERGY PARTNERS III LLC            | CUSIP: 19416MAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     62000 | PA      | $53382.68     | 0.00%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_22-4                               | COLT_22-4                                  | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1989338 | PA      | $1917184.47   | 0.16%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_22-1                               | COLT_22-1                                  | CUSIP: 19688HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2263215 | PA      | $1968895.45   | 0.17%             | 2066-12-27      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC COLT_20-2                                       | COLT_20-2                                  | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31880 | PA      | $31178.71     | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND              | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        | 101792055 | NS      | $101761517.60 | 8.69%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORPORATION                                              | Comcast Corp                               | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |    254265 | NS      | $8891647.05   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_20-CBM                                  | COMM_20-CBM                                | CUSIP: 20049AAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $418486.12    | 0.04%             | 2037-02-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECHNOLOGIES LLC                                       | COMMSCOPE TECHNOLOGIES FINANCE LLC         | CUSIP: 20337YAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $24571.66     | 0.00%             | 2025-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE - CAS CAS 22-R04                                      | CAS_22-R04                                 | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    975000 | PA      | $971360.33    | 0.08%             | 2042-03-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_20-R01              | CAS_20-R01                                 | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    508040 | PA      | $504536.04    | 0.04%             | 2040-01-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE (FRANCE)                                          | CONSTELLIUM NV                             | CUSIP: 210383AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     35000 | PA      | $33748.60     | 0.00%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE (FRANCE)                                          | CONSTELLIUM SE                             | CUSIP: 21039CAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     86000 | PA      | $79523.12     | 0.01%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE (FRANCE)                                          | CONSTELLIUM SE                             | CUSIP: 21039CAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |    145000 | PA      | $118066.05    | 0.01%             | 2029-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                         | COREBRIDGE FINANCIAL INC                   | CUSIP: 21871XAL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $717512.33    | 0.06%             | 2052-04-05      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CORTEVA INC                                                      | Corteva Inc                                | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |     56692 | NS      | $3332355.76   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| COTY INC                                                         | Coty Inc                                   | CUSIP: 222070203<br>LEI: 549300BO9IWPF3S48F93 | Long             | EC               | CORP              | US        |    343179 | NS      | $2937612.24   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| CROSSROADS ASSET TRUST XROAD_21-A                                | XROAD_21-A                                 | CUSIP: 22767CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $171260.97    | 0.01%             | 2025-06-20      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CROWNROCK LP                                                     | CROWNROCK LP/CROWNROCK FINANCE INC         | CUSIP: 228701AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     51000 | PA      | $49215.00     | 0.00%             | 2025-10-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CROWNROCK LP                                                     | CROWNROCK LP/CROWNROCK FINANCE INC         | CUSIP: 228701AG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42000 | PA      | $37648.89     | 0.00%             | 2029-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_20-2                                   | DTAOT_20-2A                                | CUSIP: 23343RAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $122686.11    | 0.01%             | 2026-03-16      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_20-1A                                  | DTAOT_20-1A                                | CUSIP: 23344EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1365962.22   | 0.12%             | 2025-11-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                 | DT MIDSTREAM INC                           | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $27453.47     | 0.00%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                 | DT MIDSTREAM INC                           | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36000 | PA      | $30108.85     | 0.00%             | 2031-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-23

**Name of Applicant:** Columbia Funds Variable Series Trust II

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer