# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001752724-23-043991
**Filing Date:** 2023-2
**Character Count:** 249255
**Document Hash:** eea483ba8a19364aea6614dcfcfb8658
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043991.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-043991

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust I
- **CENTRAL INDEX KEY:** 0001126087
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 23678657

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 9809495121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 125 HIGH STREET, SUITE 732
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### Brighthouse/Franklin Low Duration Total Return Portfolio (Series ID: S000032438)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000100086 | Class A      |  |
| C000100087 | Class B      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 980-949-4301

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

- **a. Name of Series:** Brighthouse/Franklin Low Duration Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000032438

- **c. LEI of Series:** 549300HDUGIR8TU0PL77

**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:** $880814209.75

**Total Liabilities:** $125061805.00

**Net Assets:** $755752404.75

**Cash Not Reported:** $984639.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1555.80000000 | **1-Year:** -42504.83000000 | **5-Year:** -42368.19000000 | **10-Year:** -4851.00000000 | **30-Year:** -1218.65000000

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

- **3-Month:** -131.00000000 | **1-Year:** -5127.92000000 | **5-Year:** -660.11000000 | **10-Year:** -662.36000000 | **30-Year:** -0.53000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000100086 | -0.12%               | 1.18%                | 0.47%                |
| Class ID C000100087 | -0.24%               | 1.30%                | 0.35%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1355866.18             | $-979346.99                                |
| Month 2  | $-4320490.87             | $13478573.27                               |
| Month 3  | $-6418733.77             | $7472018.58                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED AIRLINES INC                                 | United Airlines Inc                                                                                                        | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92692.60     | 0.01%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Medical Solutions Holdings, Inc.                    | Medical Solutions Holdings, Inc. 2021 Delayed Draw Term Loan                                                               | CUSIP: 58462QAJ0<br>LEI: 549300JH2XHZ7TIKYR39 | Long             | LON              | CORP              | US        |     13147 | PA      | $12358.10     | 0.00%             | 2028-11-01      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| COCA-COLA EUROPACIFIC                               | Coca-Cola Europacific Partners PLC                                                                                         | CUSIP: 19123MAF0<br>LEI: 549300LTH67W4GWMRF57 | Long             | DBT              | CORP              | GB        |   1600000 | PA      | $1383803.49   | 0.18%             | 2027-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| Holland Park CLO DAC                                | Holland Park CLO DAC                                                                                                       | CUSIP: 000000000<br>LEI: 549300DH041IB658HY57 | Long             | ABS-CBDO         | CORP              | IE        |   9900000 | PA      | $10213398.39  | 1.35%             | 2032-11-14      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| K2016470260 SA LTD                                  | K2016470260 South Africa Ltd                                                                                               | CUSIP: 000000000<br>LEI: 3789003E1C22310B3356 | Long             | DBT              | CORP              | ZA        |    313720 | PA      | $0.00         | 0.00%             | 2022-12-31      | Fixed         | 25.00%                | No            |                  3 | On Loan: No      |
| Penn National Gaming, Inc.                          | Penn National Gaming, Inc. 2022 Term Loan B                                                                                | CUSIP: 70757DAZ2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     63592 | PA      | $63053.28     | 0.01%             | 2029-05-03      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                              | Mitsubishi UFJ Financial Group Inc                                                                                         | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3200000 | PA      | $3177183.01   | 0.42%             | 2025-09-12      | Fixed         | 5.06%                 | No            |                  2 | On Loan: —       |
| Intercontinental Exchange, Inc.                     | Long: B8177254  CDS USD R V 03MEVENT 28177254_PRO CCPCDX / Short: B8177254  CDS USD P F  5.00000 28177254_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   2300000 | OU      | $-13433.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                       | UBS AG LONDON                                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             | 2023-03-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AssuredPartners, Inc.                               | AssuredPartners, Inc. 2020 Term Loan B                                                                                     | CUSIP: 04621HAN3<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | LON              | CORP              | US        |    690216 | PA      | $672097.81    | 0.09%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                 | COMM 2014-277P Mortgage Trust                                                                                              | CUSIP: 12592FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1153141.56   | 0.15%             | 2049-08-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Sovos Compliance, LLC                               | Sovos Compliance, LLC 2021 Term Loan                                                                                       | CUSIP: 84611YAB6<br>LEI: 549300M9XYG5WP2QHH07 | Long             | LON              | CORP              | US        |     52326 | PA      | $48283.41     | 0.01%             | 2028-08-11      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 3138EGBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767982 | PA      | $775151.00    | 0.10%             | 2035-09-01      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       716 | PA      | $712.29       | 0.00%             | 2032-01-01      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402DD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14279 | PA      | $14111.48     | 0.00%             | 2033-07-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                    | Bain Capital Credit CLO 2018-1                                                                                             | CUSIP: 05683LAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $958720.00    | 0.13%             | 2031-04-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| USIC Holdings, Inc.                                 | USIC Holdings, Inc. 2021 Term Loan                                                                                         | CUSIP: 90290HAP7<br>LEI: 5493009ZYUWB7X699U62 | Long             | LON              | CORP              | US        |    173782 | PA      | $166359.96    | 0.02%             | 2028-05-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                               | Truist Financial Corp                                                                                                      | CUSIP: 89788MAJ1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2044602.26   | 0.27%             | 2026-10-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31385UNU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9161 | PA      | $8845.04      | 0.00%             | 2030-08-01      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Cloudera, Inc.                                      | Cloudera, Inc. 2021 Term Loan                                                                                              | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |    118859 | PA      | $112990.73    | 0.01%             | 2028-10-08      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Tory Burch LLC                                      | Tory Burch LLC Term Loan B                                                                                                 | CUSIP: 89148GAF7<br>LEI: 549300GGL74W33KY2650 | Long             | LON              | CORP              | US        |     79194 | PA      | $73328.50     | 0.01%             | 2028-04-16      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                             | GA Global Funding Trust                                                                                                    | CUSIP: 36143L2J3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3636894.65   | 0.48%             | 2025-04-11      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| New York Mortgage Trust                             | New York Mortgage Trust 2005-3                                                                                             | CUSIP: 649603AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60791 | PA      | $57721.67     | 0.01%             | 2036-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 3138XP2F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25869 | PA      | $25261.06     | 0.00%             | 2044-02-01      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4690 | PA      | $4629.25      | 0.00%             | 2038-03-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                            | BX Trust 2022-IND                                                                                                          | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3062164 | PA      | $2996950.82   | 0.40%             | 2037-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bausch Health Companies Inc.                        | Bausch Health Companies Inc. 2022 Term Loan B                                                                              | CUSIP: 000000000<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | LON              | CORP              | CA        |    298178 | PA      | $231087.95    | 0.03%             | 2027-02-01      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Aptean, Inc.                                        | Aptean, Inc. 2019 Term Loan                                                                                                | CUSIP: 03834WAQ8<br>LEI: 549300D5LUPGZUDZXC96 | Long             | LON              | CORP              | US        |    325478 | PA      | $312459.23    | 0.04%             | 2026-04-23      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15950 | PA      | $15639.51     | 0.00%             | 2033-10-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD,NY                   | SUMITOMO MITSUI TRUST BANK LTD,NY                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000556 | PA      | $2000556.00   | 0.26%             | 2023-03-07      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| LaserShip, Inc.                                     | LaserShip, Inc. 2021 Term Loan                                                                                             | CUSIP: 51809EAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    113615 | PA      | $81404.95     | 0.01%             | 2028-05-07      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                    | Societe Generale                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   1300000 | PA      | $1300000.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Vision Solutions, Inc.                              | Vision Solutions, Inc. 2021 Incremental Term Loan                                                                          | CUSIP: 70477BAE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    171723 | PA      | $142888.07    | 0.02%             | 2028-04-24      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31404TAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14402 | PA      | $14104.10     | 0.00%             | 2034-04-01      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| ASP Blade Holdings, Inc                             | ASP Blade Holdings, Inc Initial Term Loan                                                                                  | CUSIP: 00217HAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    236531 | PA      | $190491.50    | 0.03%             | 2028-10-13      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                  | Energy Transfer LP                                                                                                         | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $993723.09    | 0.13%             | 2023-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Adjustable Rate Mortgage Trust                      | Adjustable Rate Mortgage Trust 2004-2                                                                                      | CUSIP: 007036BT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842633 | PA      | $811512.95    | 0.11%             | 2035-02-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                     | AstraZeneca PLC                                                                                                            | CUSIP: 046353AV0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $175824.48    | 0.02%             | 2026-04-08      | Fixed         | 0.70%                 | No            |                  2 | On Loan: —       |
| WILLIAMS COMPANIES INC                              | Williams Cos Inc/The                                                                                                       | CUSIP: 96949LAB1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    500000 | PA      | $485983.09    | 0.06%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Curators of the University of Missouri/The          | CURATORS OF THE UNIV OF MISSOURI MO SYS FACS REVENUE                                                                       | CUSIP: 231266MN4<br>LEI: G0G4PRB87K0V5MXIV248 | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1738461.20   | 0.23%             | 2027-11-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                              | GE HealthCare Technologies Inc                                                                                             | CUSIP: 36267VAA1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    900000 | PA      | $903240.23    | 0.12%             | 2024-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| Quest Software US Holdings Inc.                     | Quest Software US Holdings Inc. 2022 Term Loan                                                                             | CUSIP: 74834YAN2<br>LEI: 549300LMV4JEXTGLE324 | Long             | LON              | CORP              | US        |    447078 | PA      | $346764.89    | 0.05%             | 2029-02-01      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| AI Aqua Merger Sub, Inc.                            | AI Aqua Merger Sub, Inc. 2022 Delayed Draw Term Loan                                                                       | CUSIP: 000000000<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |     25739 | PA      | $24310.39     | 0.00%             | 2028-07-31      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31406RGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4335 | PA      | $4249.23      | 0.00%             | 2035-09-01      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Harvest Operations Corp                             | Harvest Operations Corp                                                                                                    | CUSIP: 41754WAS0<br>LEI: B1EEF6ML54YDWRC6ZK53 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $797616.00    | 0.11%             | 2023-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Medline Borrower, LP                                | Medline Borrower, LP USD Term Loan B                                                                                       | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    129057 | PA      | $122854.47    | 0.02%             | 2028-10-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield U.S. Borrower, LLC              | Cushman & Wakefield U.S. Borrower, LLC 2020 Term Loan B                                                                    | CUSIP: 23340DAP7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    302283 | PA      | $295922.70    | 0.04%             | 2025-08-21      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                | BlueMountain CLO XXXIV Ltd                                                                                                 | CUSIP: 09631JAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1090000 | PA      | $1014581.81   | 0.13%             | 2035-04-20      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                   | Iliad Holding SASU                                                                                                         | CUSIP: 449691AA2<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |    700000 | PA      | $649217.69    | 0.09%             | 2026-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| MPH Acquisition Holdings LLC                        | MPH Acquisition Holdings LLC 2021 Term Loan B                                                                              | CUSIP: 55328HAK7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    171572 | PA      | $147247.96    | 0.02%             | 2028-09-01      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                            | Santander UK Group Holdings PLC                                                                                            | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1800000 | PA      | $1530526.91   | 0.20%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: B8194930  CDS USD R V 03MEVENT 28194930_PRO CCPCDX / Short: B8194930  CDS USD P F  5.00000 28194930_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1900000 | OU      | $-11097.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                | CUSIP: 38143U8H7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1925113.88   | 0.25%             | 2026-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| BP CAP MARKETS AMERICA                              | BP Capital Markets America Inc                                                                                             | CUSIP: 10373QAB6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3141966.62   | 0.42%             | 2025-09-21      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| UNITED AIR 2020-1 B PTT                             | United Airlines 2020-1 Class B Pass Through Trust                                                                          | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    152400 | PA      | $144991.12    | 0.02%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK LONDON                       | CANADIAN IMPERIAL BANK LONDON                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   5000000 | PA      | $5000000.00   | 0.66%             | 2023-01-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PRA Health Sciences, Inc.                           | PRA Health Sciences, Inc. US Term Loan                                                                                     | CUSIP: 000000000<br>LEI: 549300R1HR1VWWHIAK47 | Long             | LON              | CORP              | US        |     20920 | PA      | $20880.51     | 0.00%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                    | Altria Group Inc                                                                                                           | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2072206.69   | 0.27%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: —       |
| ORIFLAME INVESTMENT HLDG                            | Oriflame Investment Holding PLC                                                                                            | CUSIP: 68621CAA7<br>LEI: 549300LGP4VBCHWQTD80 | Long             | DBT              | CORP              | JE        |    700000 | PA      | $429800.00    | 0.06%             | 2026-05-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                          | FIXED INC CLEARING CORP.REPO                                                                                               | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   8979189 | PA      | $8979188.60   | 1.19%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED NY                               | STANDARD CHARTERED NY                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1001518 | PA      | $1001517.86   | 0.13%             | 2023-05-02      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                            | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-397349.22   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Illuminate Buyer, LLC                               | Illuminate Buyer, LLC 2021 Term Loan                                                                                       | CUSIP: 45232UAE8<br>LEI: 549300K1Y0YC1YC1H809 | Long             | LON              | CORP              | US        |    224695 | PA      | $215753.62    | 0.03%             | 2027-06-30      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       449 | PA      | $443.53       | 0.00%             | 2029-08-01      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Mitchell International, Inc.                        | Mitchell International, Inc. 2021 Term Loan B                                                                              | CUSIP: 60662WAS1<br>LEI: 5493002RDNIGEM7SSV41 | Long             | LON              | CORP              | US        |    256987 | PA      | $237841.10    | 0.03%             | 2028-10-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31401CUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5888 | PA      | $5781.84      | 0.00%             | 2033-05-01      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                            | BX Commercial Mortgage Trust 2021-VOLT                                                                                     | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1878377.67   | 0.25%             | 2036-09-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                     | DAE Funding LLC                                                                                                            | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $557585.71    | 0.07%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                       | HSBC Bank PLC                                                                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | Long             | RA               | CORP              | US        |   6118984 | PA      | $6118983.83   | 0.81%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                 | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                       | CUSIP: 3137G0JU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1670237 | PA      | $1718476.00   | 0.23%             | 2028-10-25      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| SANCHEZ ENERGY CORP                                 | SANCHEZ ENERGY CORP                                                                                                        | CUSIP: 799ESCAH1<br>LEI: 549300SB0HTIM17TVR61 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $16500.00     | 0.00%             | 2021-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                              | BP Capital Markets America Inc                                                                                             | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1920067.16   | 0.25%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: —       |
| BANK OF MONTREAL                                    | Bank of Montreal                                                                                                           | CUSIP: 06368LAP1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $2960036.01   | 0.39%             | 2024-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Bank of America Corp                                | Bank of America Corp                                                                                                       | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3686072.76   | 0.49%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FIELDWOOD PENNY WARRANTS                            | FIELDWOOD PENNY WARRANTS                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      2901 | NS      | $386511.54    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PMHC II, Inc.                                       | PMHC II, Inc. 2022 Term Loan B                                                                                             | CUSIP: 69346EAG2<br>LEI: 549300GYZ1T3S8OPH343 | Long             | LON              | CORP              | US        |    183731 | PA      | $156271.59    | 0.02%             | 2029-04-23      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                               | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2300000 | PA      | $2221394.90   | 0.29%             | 2024-09-18      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: 27549092  CDS USD R F  5.00000 27549092_FEE CDX / Short: 27549092  CDS USD P V 03MEVENT 27549092_PRO CDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   4500000 | OU      | $94436.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| First Brands Group, LLC                             | First Brands Group, LLC 2021 Term Loan                                                                                     | CUSIP: 31935HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    431403 | PA      | $410911.36    | 0.05%             | 2027-03-30      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: B8037085  CDS USD R V 03MEVENT 28037085_PRO CCPCDX / Short: B8037085  CDS USD P F  1.00000 28037085_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   4210000 | OU      | $246089.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| eResearchTechnology, Inc.                           | eResearchTechnology, Inc. 2020 1st Lien Term Loan                                                                          | CUSIP: 29481PAH4<br>LEI: 2549003SUFVGC903CK03 | Long             | LON              | CORP              | US        |    191562 | PA      | $170171.09    | 0.02%             | 2027-02-04      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                | Bank of America Corp                                                                                                       | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3567384.00   | 0.47%             | 2024-07-23      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Peraton Corp.                                       | Peraton Corp. Term Loan B                                                                                                  | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    321023 | PA      | $314258.92    | 0.04%             | 2028-02-01      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | Long: 26172150  CDS USD R F   .00000 / Short: 26172150  CDS USD P V 03MEVENT                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   2100000 | OU      | $-756336.78   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS NY                                          | NATIXIS NY                                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000789 | PA      | $2000789.06   | 0.26%             | 2023-02-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339002 | PA      | $1373851.10   | 0.18%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Inc                        | Citigroup Global Markets Inc                                                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| Perrigo Investments, LLC                            | Perrigo Investments, LLC Term Loan B                                                                                       | CUSIP: 71429TAC4<br>LEI: 549300POZGC78VHAAJ73 | Long             | LON              | CORP              | US        |    109916 | PA      | $108541.82    | 0.01%             | 2029-04-20      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Tencent Holdings Ltd                                | Tencent Holdings Ltd                                                                                                       | CUSIP: 88032WAE6<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |   3300000 | PA      | $3297094.88   | 0.44%             | 2023-01-19      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31406NYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26806 | PA      | $26166.93     | 0.00%             | 2035-02-01      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| ING (US) Funding LLC                                | ING (US) Funding LLC                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2002724 | PA      | $2002724.00   | 0.26%             | 2023-08-04      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                     | Sands China Ltd                                                                                                            | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1200000 | PA      | $1027716.00   | 0.14%             | 2027-03-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31409BFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8920 | PA      | $8737.10      | 0.00%             | 2036-03-01      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31374WF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $58.84        | 0.00%             | 2025-07-01      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Flynn Restaurant Group LP                           | Flynn Restaurant Group LP 2021 Term Loan B                                                                                 | CUSIP: 34410JAF8<br>LEI: 5493008VE8TQONGO3817 | Long             | LON              | CORP              | US        |    123747 | PA      | $116322.33    | 0.02%             | 2028-12-01      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31373YXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10523 | PA      | $10381.12     | 0.00%             | 2025-02-01      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Dermatology Intermediate Holdings III, Inc.         | Dermatology Intermediate Holdings III, Inc. 2022 Term Loan B                                                               | CUSIP: 24982LAB1<br>LEI: 254900GUIR9SP64DNR96 | Long             | LON              | CORP              | US        |       176 | PA      | $172.21       | 0.00%             | 2029-03-30      | Variable      | 8.57%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                            | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC                                            | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    168750 | PA      | $166760.99    | 0.02%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31410QDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       992 | PA      | $996.34       | 0.00%             | 2036-10-01      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13292 | PA      | $13508.54     | 0.00%             | 2036-04-01      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                            | Delta Air Lines Inc / SkyMiles IP Ltd                                                                                      | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   4700000 | PA      | $4585234.46   | 0.61%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31385XUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2362 | PA      | $2354.07      | 0.00%             | 2033-11-01      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                                        | Bio-Rad Laboratories Inc                                                                                                   | CUSIP: 090572AR9<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |    300000 | PA      | $277249.27    | 0.04%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                 | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $5012799.75   | 0.66%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: —       |
| Citibank N.A.                                       | Long: 25995199  CDS USD R F  1.00000 25995199_FEE SOVEREIGN / Short: 25995199  CDS USD P V 03MEVENT 25995199_PRO SOVEREIGN | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   2500000 | OU      | $3110.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31417MKJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44290 | PA      | $44183.81     | 0.01%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                  | Dominican Republic International Bond                                                                                      | CUSIP: 25714PDX3<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |  82600000 | PA      | $1458337.48   | 0.19%             | 2023-02-15      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                            | Cheniere Corpus Christi Holdings LLC                                                                                       | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2515184.85   | 0.33%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31403U5E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34890 | PA      | $34171.66     | 0.00%             | 2033-12-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                 | NCL Corp Ltd                                                                                                               | CUSIP: 62886HBA8<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    900000 | PA      | $706923.00    | 0.09%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| SABINE PASS LIQUEFACTION                            | Sabine Pass Liquefaction LLC                                                                                               | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000241.53   | 0.13%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| American Trailer World Corp.                        | American Trailer World Corp. Term Loan B                                                                                   | CUSIP: 03028BAB3<br>LEI: 254900WNYWX3HF6TKT69 | Long             | LON              | CORP              | US        |     83874 | PA      | $72944.59     | 0.01%             | 2028-03-03      | Variable      | 8.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1642 | PA      | $1612.45      | 0.00%             | 2033-09-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                               | American Homes 4 Rent 2015-SFR1 Trust                                                                                      | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2170672 | PA      | $2067046.85   | 0.27%             | 2052-04-17      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 3138EM2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830444 | PA      | $841392.38    | 0.11%             | 2035-11-01      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                  | Energy Transfer LP                                                                                                         | CUSIP: 29273RBD0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1743470.08   | 0.23%             | 2025-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                     | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $341636.68    | 0.05%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                        | Voya CLO 2016-3 Ltd                                                                                                        | CUSIP: 92915HAN3<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |   2454544 | PA      | $2386589.95   | 0.32%             | 2031-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                 | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2682216.02   | 0.35%             | 2024-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| National Bank Of Canada                             | National Bank Of Canada                                                                                                    | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |  10000000 | PA      | $10000000.00  | 1.32%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | BNP Paribas SA                                                                                                             | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    700000 | PA      | $642696.73    | 0.09%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                 | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                       | CUSIP: 3137G0BK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60866 | PA      | $61026.34     | 0.01%             | 2024-08-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| MANUF & TRADERS TRUST CO                            | Manufacturers & Traders Trust Co                                                                                           | CUSIP: 55279HAT7<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2312061.20   | 0.31%             | 2025-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| MACQUARIE BANK LTD                                  | MACQUARIE BANK LTD                                                                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   3000810 | PA      | $3000810.00   | 0.40%             | 2023-02-03      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                            | Banque Ouest Africaine de Developpement                                                                                    | CUSIP: 06675QAB9<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |   1300000 | PA      | $1219166.00   | 0.16%             | 2027-07-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                           | CUSIP: 3132D6CT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3712459 | PA      | $3477220.07   | 0.46%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1016 | PA      | $1000.01      | 0.00%             | 2028-07-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                       | Ares European CLO VIII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400YZA9JLL9KZ2M47 | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $503263.43    | 0.07%             | 2032-04-17      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| CIBC NY                                             | CIBC NY                                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000066 | PA      | $1000066.18   | 0.13%             | 2023-02-03      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                             | National Bank of Canada                                                                                                    | CUSIP: 63307A2S3<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   2300000 | PA      | $2235151.73   | 0.30%             | 2025-06-09      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| COLT Funding LLC                                    | COLT 2022-4 Mortgage Loan Trust                                                                                            | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1029775 | PA      | $983842.76    | 0.13%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1619042.98   | 0.21%             | 2024-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                               | Wells Fargo & Co                                                                                                           | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3148296.58   | 0.42%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: —       |
| STATE STREET INST US GOVT FUND                      | STATE STREET INST US GOVT FUND                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5000000 | NS      | $5000000.00   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                            | BX 2021-LBA3 Mortgage Trust                                                                                                | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2643000 | PA      | $2536934.82   | 0.34%             | 2036-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                 | Dominion Energy Inc                                                                                                        | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1780526.36   | 0.24%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: —       |
| Alliant Holdings Intermediate, LLC                  | Alliant Holdings Intermediate, LLC 2021 Term Loan B4                                                                       | CUSIP: 01881UAJ4<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |    267994 | PA      | $262354.65    | 0.03%             | 2027-11-06      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31417JYK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1708 | PA      | $1684.23      | 0.00%             | 2039-09-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31390HWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6930 | PA      | $6766.79      | 0.00%             | 2032-06-01      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| CARLYLE GMS FINANCE MM CLO LLC                      | Carlyle GMS Finance MM CLO 2015-1 LLC                                                                                      | CUSIP: 14310QAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $942035.00    | 0.12%             | 2031-10-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECH LLC                                  | CommScope Technologies LLC                                                                                                 | CUSIP: 20337YAA5<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $273000.00    | 0.04%             | 2025-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| CCO HLDGS LLC/CAP CORP                              | CCO Holdings LLC / CCO Holdings Capital Corp                                                                               | CUSIP: 1248EPBZ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $795690.14    | 0.11%             | 2023-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Asurion LLC                                         | Asurion LLC 2021 Second Lien Term Loan B4                                                                                  | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    544707 | PA      | $426233.47    | 0.06%             | 2029-01-20      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| Navicure, Inc.                                      | Navicure, Inc. 2019 Term Loan B                                                                                            | CUSIP: 63939WAG8<br>LEI: 549300BIRBTAWWHCSZ09 | Long             | LON              | CORP              | US        |    252850 | PA      | $249531.34    | 0.03%             | 2026-10-22      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31400PFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26578 | PA      | $25958.16     | 0.00%             | 2033-02-01      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HLDGS                                | Country Garden Holdings Co Ltd                                                                                             | CUSIP: 000000000<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    700000 | PA      | $441602.57    | 0.06%             | 2026-04-08      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCE                            | Endeavor Energy Resources LP / EER Finance Inc                                                                             | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $861768.00    | 0.11%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| McAfee, LLC                                         | McAfee, LLC 2022 USD Term Loan B                                                                                           | CUSIP: 57906HAD9<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |    182483 | PA      | $170621.62    | 0.02%             | 2029-03-01      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31385JPH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20195 | PA      | $19693.50     | 0.00%             | 2032-08-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                             | Imperial Brands Finance PLC                                                                                                | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $764008.68    | 0.10%             | 2025-07-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31408DCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5347 | PA      | $5276.07      | 0.00%             | 2035-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2021-6                                                                                            | CUSIP: 46653PAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4471918 | PA      | $3834146.34   | 0.51%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US 10YR NOTE (CBT)MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -198 | NC      | $219384.99    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Gainwell Acquisition Corp.                          | Gainwell Acquisition Corp. Term Loan B                                                                                     | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    246599 | PA      | $233961.07    | 0.03%             | 2027-10-01      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $818.06       | 0.00%             | 2028-06-01      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                    | Peruvian Government International Bond                                                                                     | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    600000 | PA      | $496337.82    | 0.07%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: —       |
| ANHEUSER-BUSCH CO/INBEV                             | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                                | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1347368.72   | 0.18%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Edelman Financial Center, LLC                       | Edelman Financial Center, LLC 2021 Term Loan B                                                                             | CUSIP: 27943UAK2<br>LEI: 549300Z31KZXNP05U733 | Long             | LON              | CORP              | US        |    689500 | PA      | $647021.97    | 0.09%             | 2028-04-07      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| InterGen NV                                         | InterGen NV                                                                                                                | CUSIP: 45867XAG9<br>LEI: 549300E3XRGX2JMPEC79 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1455050.79   | 0.19%             | 2023-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                             | Walt Disney Co/The                                                                                                         | CUSIP: 254687FV3<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1189855.80   | 0.16%             | 2026-01-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| PARKER-HANNIFIN CORP                                | Parker-Hannifin Corp                                                                                                       | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1565520.11   | 0.21%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank, National Association           | Long: 25410914  CDS EUR R F  5.00000 25410914_FEE CORPORATE / Short: 25410914  CDS EUR P V 03MEVENT 25410914_PRO CORPORATE | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    760000 | OU      | $-37728.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Jazz Financing Lux S.a.r.l.                         | Jazz Financing Lux S.a.r.l. USD Term Loan                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    584258 | PA      | $580078.66    | 0.08%             | 2028-05-05      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| WEATHERFORD INTL LTD                                | Weatherford International Ltd                                                                                              | CUSIP: 947075AP2<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |     12000 | PA      | $12240.53     | 0.00%             | 2024-12-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31403DHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20151 | PA      | $20127.35     | 0.00%             | 2036-01-01      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Verscend Holding Corp.                              | Verscend Holding Corp. 2021 Term Loan B                                                                                    | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    234206 | PA      | $233327.38    | 0.03%             | 2025-08-27      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Great Canadian Gaming Corporation                   | Great Canadian Gaming Corporation 2021 Term Loan                                                                           | CUSIP: 000000000<br>LEI: 549300FU60SSFLTE0M84 | Long             | LON              | CORP              | CA        |    151273 | PA      | $148941.29    | 0.02%             | 2026-11-01      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection, LLC                      | Caesars Resort Collection, LLC 2020 Term Loan B1                                                                           | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    227833 | PA      | $227512.59    | 0.03%             | 2025-07-21      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                          | Fiserv Inc                                                                                                                 | CUSIP: 337738BB3<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $892484.40    | 0.12%             | 2027-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| TransDigm Inc                                       | TransDigm Inc                                                                                                              | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    900000 | PA      | $887571.00    | 0.12%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Organon & Co                                        | Organon & Co USD Term Loan                                                                                                 | CUSIP: 68621XAE3<br>LEI: 549300AMCKY57OK2CO56 | Long             | LON              | CORP              | US        |    378214 | PA      | $375377.78    | 0.05%             | 2028-06-02      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Colorado Bridge Enterprise                          | COLORADO ST BRIDGE ENTERPRISE REVENUE                                                                                      | CUSIP: 19633SAZ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5000000 | PA      | $4787537.50   | 0.63%             | 2023-12-31      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| Polaris Newco LLC                                   | Polaris Newco LLC USD Term Loan B                                                                                          | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |    394819 | PA      | $361259.35    | 0.05%             | 2028-06-02      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402JVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37022 | PA      | $36628.16     | 0.00%             | 2033-08-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                                | Chase Issuance Trust                                                                                                       | CUSIP: 161571HS6<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |   2047000 | PA      | $2002557.99   | 0.26%             | 2027-09-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31410GGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3088 | PA      | $3120.32      | 0.00%             | 2037-08-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| K2016470219 SA LTD                                  | K2016470219 South Africa Ltd                                                                                               | CUSIP: 000000000<br>LEI: 378900DECAC8CFA88345 | Long             | DBT              | CORP              | ZA        |    712186 | PA      | $0.00         | 0.00%             | 2022-12-31      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831730 | PA      | $850492.85    | 0.11%             | 2034-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31403DHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1570 | PA      | $1530.94      | 0.00%             | 2036-04-01      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                            | Charter Communications Operating LLC / Charter Communications Operating Capital                                            | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2940302.94   | 0.39%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                               | Wells Fargo & Co                                                                                                           | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2904755.28   | 0.38%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: —       |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2018-3                                                                                           | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2376050 | PA      | $2246288.39   | 0.30%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg S.A.R.L.                            | ICON Luxembourg S.A.R.L. LUX Term Loan                                                                                     | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |     83964 | PA      | $83806.80     | 0.01%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                 | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1662125.89   | 0.22%             | 2025-06-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| PROTECTIVE LIFE GLOBAL                              | Protective Life Global Funding                                                                                             | CUSIP: 74368CBL7<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1429345.13   | 0.19%             | 2025-03-28      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| BlackRock European CLO DAC                          | Blackrock European CLO IX DAC                                                                                              | CUSIP: 000000000<br>LEI: 549300CTNII509TFCV23 | Long             | ABS-CBDO         | CORP              | IE        |    800000 | PA      | $794508.17    | 0.11%             | 2032-12-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LTD                             | Studio City Finance Ltd                                                                                                    | CUSIP: 86389QAE2<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |   1000000 | PA      | $867024.79    | 0.11%             | 2025-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Kenan Advantage Group, Inc.                         | Kenan Advantage Group, Inc. 2021 Term Loan B1                                                                              | CUSIP: 48853UBE9<br>LEI: 549300GVUXCXDWYPIY65 | Long             | LON              | CORP              | US        |    264003 | PA      | $257874.67    | 0.03%             | 2026-03-24      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402GTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10960 | PA      | $10776.65     | 0.00%             | 2033-07-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                         | Netflix Inc                                                                                                                | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    700000 | PA      | $673750.00    | 0.09%             | 2026-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| JP Morgan Mortgage Trust                            | J.P. Morgan Mortgage Trust 2021-15                                                                                         | CUSIP: 46654TAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796838 | PA      | $683195.05    | 0.09%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                    | Societe Generale                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037159 | PA      | $1054409.85   | 0.14%             | 2023-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| AssuredPartners, Inc.                               | AssuredPartners, Inc. 2021 Term Loan B                                                                                     | CUSIP: 04621HAS2<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | LON              | CORP              | US        |    128067 | PA      | $124504.74    | 0.02%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp            | GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT                                                                | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2190000 | PA      | $1936256.31   | 0.26%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402CQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18038 | PA      | $17311.17     | 0.00%             | 2033-07-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26465 | PA      | $26435.88     | 0.00%             | 2035-11-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                               | Toronto-Dominion Bank/The                                                                                                  | CUSIP: 89115A2J0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   4200000 | PA      | $4150760.42   | 0.55%             | 2024-09-13      | Fixed         | 4.29%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31412RE94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156488 | PA      | $156190.21    | 0.02%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                            | Neuberger Berman CLO XVIII Ltd                                                                                             | CUSIP: 64128QAS4<br>LEI: 549300FCSYYS3J0RKL34 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1638109.80   | 0.22%             | 2030-10-21      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                                      | Owens-Brockway Glass Container Inc                                                                                         | CUSIP: 690872AB2<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    300000 | PA      | $287820.08    | 0.04%             | 2025-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| TD Prime Svcs                                       | TD Prime Svcs                                                                                                              | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |   2500000 | PA      | $2500000.00   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804939 | PA      | $816955.68    | 0.11%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| FIDELITY INST GOVT LEX                              | FIDELITY INST GOVT LEX                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2000000 | NS      | $2000000.00   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| KOREA ELECTRIC POWER CO                             | Korea Electric Power Corp                                                                                                  | CUSIP: 500631AX4<br>LEI: 988400QG33WS7JEIV602 | Long             | DBT              | NUSS              | KR        |    800000 | PA      | $806294.78    | 0.11%             | 2026-04-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402Q5X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9830 | PA      | $9785.06      | 0.00%             | 2035-03-01      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                         | RAAC Series 2004-SP1 Trust                                                                                                 | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65092 | PA      | $62909.15     | 0.01%             | 2034-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                | Colombia Government International Bond                                                                                     | CUSIP: 195325BD6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1910000 | PA      | $1963938.40   | 0.26%             | 2024-05-21      | Fixed         | 8.12%                 | No            |                  2 | On Loan: —       |
| Societe Generale                                    | Societe Generale                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   4900000 | PA      | $4900000.00   | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                            | Teva Pharmaceutical Finance Netherlands III BV                                                                             | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $723119.79    | 0.10%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                | CUSIP: 38141GXZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2670909.42   | 0.35%             | 2024-03-08      | Fixed         | 0.67%                 | No            |                  2 | On Loan: —       |
| Madison Park Funding Ltd                            | Madison Park Funding XIV Ltd                                                                                               | CUSIP: 55818RBA3<br>LEI: 254900Q2IOW6JYPYIV98 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $974948.00    | 0.13%             | 2030-10-22      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                        | Illumina Inc                                                                                                               | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1208154.11   | 0.16%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31401XUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25164 | PA      | $24800.55     | 0.00%             | 2033-07-01      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31391LWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29514 | PA      | $29079.94     | 0.00%             | 2032-08-01      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                       | Citigroup Inc                                                                                                              | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3928878.12   | 0.52%             | 2026-03-09      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| INEOS Styrolution US Holding LLC                    | INEOS Styrolution US Holding LLC 2021 USD Term Loan B                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    548062 | PA      | $539840.93    | 0.07%             | 2026-01-29      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                            | Berkshire Hathaway Energy Co                                                                                               | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1673832.65   | 0.22%             | 2025-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| TORONTO DOMINION NY                                 | TORONTO DOMINION NY                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             | 2023-03-21      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31412ECR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234348 | PA      | $238436.79    | 0.03%             | 2035-11-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Sparta U.S. HoldCo LLC                              | Sparta U.S. HoldCo LLC 2021 Term Loan                                                                                      | CUSIP: 84673EAB5<br>LEI: 5493004EFF9NBQ1A8453 | Long             | LON              | CORP              | US        |    127686 | PA      | $124812.93    | 0.02%             | 2028-08-02      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | BNP Paribas SA                                                                                                             | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1420917.57   | 0.19%             | 2025-11-19      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| US Radiology Specialists, Inc.                      | US Radiology Specialists, Inc. 2020 Term Loan                                                                              | CUSIP: 90372AAJ7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    133961 | PA      | $121381.63    | 0.02%             | 2027-12-15      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1667886 | PA      | $1688353.83   | 0.22%             | 2024-05-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                             | GSK Consumer Healthcare Capital US LLC                                                                                     | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1303338.12   | 0.17%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                         | Equinor ASA                                                                                                                | CUSIP: 29446MAD4<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   4700000 | PA      | $4503620.09   | 0.60%             | 2025-04-06      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       211 | PA      | $204.56       | 0.00%             | 2030-03-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| PRIMARY PRODUCTS FINANCE LLC                        | Primary Products Finance LLC Term Loan                                                                                     | CUSIP: 74167NAC7<br>LEI: 549300D4W5WVUVR3LC81 | Long             | LON              | CORP              | US        |     84354 | PA      | $83097.84     | 0.01%             | 2029-03-31      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31406WWR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152409 | PA      | $151785.83    | 0.02%             | 2035-04-01      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Klockner-Pentaplast of America, Inc.                | Klockner-Pentaplast of America, Inc. 2021 Term Loan B                                                                      | CUSIP: 49865NAT7<br>LEI: 5299004QDA11QZOG5N31 | Long             | LON              | CORP              | US        |    211245 | PA      | $188800.40    | 0.02%             | 2026-02-12      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                        | SK Hynix Inc                                                                                                               | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   3400000 | PA      | $2946463.49   | 0.39%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                             | American Airlines, Inc. 2021 Term Loan                                                                                     | CUSIP: 02376CBJ3<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | LON              | CORP              | KY        |    168286 | PA      | $167760.40    | 0.02%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                 | Elevance Health Inc                                                                                                        | CUSIP: 036752AR4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2696347.23   | 0.36%             | 2026-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2019-1                                                                                           | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402297 | PA      | $378524.91    | 0.05%             | 2058-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104083 | PA      | $105230.21    | 0.01%             | 2024-11-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: B8282554  CDS USD R V 03MEVENT 28282554_PRO CCPCDX / Short: B8282554  CDS USD P F  5.00000 28282554_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1130000 | OU      | $-6599.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                   | General Mills Inc                                                                                                          | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400995.98    | 0.05%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: —       |
| Talen Energy Supply LLC                             | Talen Energy Supply LLC                                                                                                    | CUSIP: 87422VAE8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |    500000 | PA      | $232500.00    | 0.03%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                             | MPT Operating Partnership LP / MPT Finance Corp                                                                            | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1092689.00   | 0.14%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| PSMC Trust                                          | PSMC 2021-3 Trust                                                                                                          | CUSIP: 69376DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4167329 | PA      | $3583415.77   | 0.47%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                | FirstKey Homes 2020-SFR2 Trust                                                                                             | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1414101 | PA      | $1252990.02   | 0.17%             | 2037-10-19      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| K2016470219 (SOUTH AFRICA) LTD                      | K2016470219 (SOUTH AFRICA) LTD                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    817800 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ECI Macola Max Holding, LLC                         | ECI Macola Max Holding, LLC 2020 Term Loan                                                                                 | CUSIP: 26825UAK7<br>LEI: 549300MZ2LKM75L5EI42 | Long             | LON              | CORP              | US        |    192060 | PA      | $184617.96    | 0.02%             | 2027-11-09      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                     | Nordea Bank Abp                                                                                                            | CUSIP: 65558RAC3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1200000 | PA      | $1192420.97   | 0.16%             | 2025-09-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| U.S. Anesthesia Partners, Inc.                      | U.S. Anesthesia Partners, Inc. 2021 Term Loan                                                                              | CUSIP: 90350HAL3<br>LEI: 549300J001GMNRO7SQ51 | Long             | LON              | CORP              | US        |     99716 | PA      | $94979.79     | 0.01%             | 2028-10-01      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    909982 | PA      | $914513.40    | 0.12%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 28, LTD                 | Octagon Investment Partners 28 Ltd                                                                                         | CUSIP: 67591EAS2<br>LEI: 254900BI638DCRT6IN48 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1934048.00   | 0.26%             | 2030-10-24      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AssuredPartners, Inc.                               | AssuredPartners, Inc. 2022 Term Loan                                                                                       | CUSIP: 04621HAT0<br>LEI: 549300HNDSDQWQ3L2P80 | Long             | LON              | CORP              | US        |    148875 | PA      | $144315.70    | 0.02%             | 2027-02-12      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| MS GOVT US LEX                                      | MS GOVT US LEX                                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2000000 | NS      | $2000000.00   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| TWDC Enterprises 18 Corp                            | TWDC Enterprises 18 Corp                                                                                                   | CUSIP: 25468PDF0<br>LEI: 7260JQNI6SCF9FIV2392 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2874290.25   | 0.38%             | 2025-09-17      | Fixed         | 3.15%                 | No            |                  2 | On Loan: —       |
| United States Treasury                              | United States Treasury Note/Bond                                                                                           | CUSIP: 9128285N6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26000000 | PA      | $25016875.00  | 3.31%             | 2025-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Pathway Vet Alliance LLC                            | Pathway Vet Alliance LLC 2021 Term Loan                                                                                    | CUSIP: 70323KAE8<br>LEI: 2549001HRKTHAW7MOH74 | Long             | LON              | CORP              | US        |    270338 | PA      | $225732.46    | 0.03%             | 2027-03-31      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Varsity Brands, Inc.                                | Varsity Brands, Inc. 2017 Term Loan B                                                                                      | CUSIP: 42703UAG0<br>LEI: 549300YOKDS0ZSYJRX81 | Long             | LON              | CORP              | US        |    211347 | PA      | $204032.75    | 0.03%             | 2024-12-15      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                       | DISH DBS Corp                                                                                                              | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $673868.00    | 0.09%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402RRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       809 | PA      | $791.54       | 0.00%             | 2034-08-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Radiate Holdco, LLC                                 | Radiate Holdco, LLC 2021 Term Loan B                                                                                       | CUSIP: 75025KAH1<br>LEI: 5493000GQJ5RDX9DNJ71 | Long             | LON              | CORP              | US        |    295511 | PA      | $241765.34    | 0.03%             | 2026-09-25      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31409A5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4401 | PA      | $4284.85      | 0.00%             | 2036-03-01      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Diamond Sports Group, LLC                           | Diamond Sports Group, LLC 2022 First Priority Term Loan                                                                    | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |      3514 | PA      | $3303.35      | 0.00%             | 2026-05-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| ACRISURE, LLC                                       | Acrisure, LLC 2021 Incremental Term Loan B                                                                                 | CUSIP: 00488PAN5<br>LEI: 549300R0Z1Q47XRTGO22 | Long             | LON              | CORP              | US        |    161005 | PA      | $153424.81    | 0.02%             | 2027-02-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Woori Bank                                          | Woori Bank                                                                                                                 | CUSIP: 98105FAC8<br>LEI: 549300VUVMRL6RE7R376 | Long             | DBT              | CORP              | KR        |   1200000 | PA      | $1180572.00   | 0.16%             | 2024-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                 | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                       | CUSIP: 3137G0CU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873347 | PA      | $882904.97    | 0.12%             | 2024-10-25      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| Adagio CLO                                          | Adagio CLO VIII DAC                                                                                                        | CUSIP: 000000000<br>LEI: 635400GXSZ7DMJYBSH11 | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $398564.74    | 0.05%             | 2032-04-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31390K5Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7477 | PA      | $7290.65      | 0.00%             | 2032-11-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Athenahealth, Inc.                                  | Athenahealth, Inc. 2022 Term Loan B                                                                                        | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    412745 | PA      | $373706.29    | 0.05%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Staples, Inc.                                       | Staples, Inc. 7 Year Term Loan                                                                                             | CUSIP: 855031AQ3<br>LEI: XQM2JINI1UL7642TU573 | Long             | LON              | CORP              | US        |    556911 | PA      | $516273.47    | 0.07%             | 2026-04-16      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| Rocket Software, Inc.                               | Rocket Software, Inc. 2018 Term Loan                                                                                       | CUSIP: 77313DAN1<br>LEI: 549300PVG26ISP5X1556 | Long             | LON              | CORP              | US        |    268027 | PA      | $258422.61    | 0.03%             | 2025-11-28      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| CHG Healthcare Services Inc.                        | CHG Healthcare Services Inc. 2021 Term Loan                                                                                | CUSIP: 000000000<br>LEI: 54930016Y1HPAVB9PZ54 | Long             | LON              | CORP              | US        |     57295 | PA      | $56180.99     | 0.01%             | 2028-09-29      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                    | Societe Generale                                                                                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   1900000 | PA      | $1900000.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: B8209547  CDS USD R V 03MEVENT 28209547_PRO CCPCDX / Short: B8209547  CDS USD P F  5.00000 28209547_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1900000 | OU      | $-11097.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Michaels Companies, Inc.                            | Michaels Companies, Inc. 2021 Term Loan B                                                                                  | CUSIP: 59408UAB3<br>LEI: 549300H9LWMBP7HYLR98 | Long             | LON              | CORP              | US        |    226550 | PA      | $196645.40    | 0.03%             | 2028-04-15      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31374TU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96 | PA      | $94.53        | 0.00%             | 2027-04-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                             | Romanian Government International Bond                                                                                     | CUSIP: 77586RAD2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   2300000 | PA      | $2287566.20   | 0.30%             | 2024-01-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| City Brewing Company, LLC                           | City Brewing Company, LLC Closing Date Term Loan                                                                           | CUSIP: 17776EAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    110000 | PA      | $49500.00     | 0.01%             | 2028-04-05      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                | BX Commercial Mortgage Trust 2019-XL                                                                                       | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7157790 | PA      | $7069540.12   | 0.94%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                       | Univision Communications Inc. 2021 First Lien Term Loan B                                                                  | CUSIP: 914908BC1<br>LEI: 549300YQDE2JSGTL8V47 | Long             | LON              | CORP              | US        |    419615 | PA      | $413844.85    | 0.05%             | 2026-03-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                         | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A                                                                  | CUSIP: 589929F94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104920 | PA      | $98828.75     | 0.01%             | 2028-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31388HAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9063 | PA      | $8890.33      | 0.00%             | 2032-10-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                            | AT&T Inc                                                                                                                   | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    400000 | PA      | $355755.54    | 0.05%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| Hexion Holdings Corporation                         | Hexion Holdings Corporation 2022 USD Term Loan                                                                             | CUSIP: 00217XAB2<br>LEI: 54930030FZF8HYAEHM46 | Long             | LON              | CORP              | US        |    295290 | PA      | $254539.89    | 0.03%             | 2029-03-15      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| McGraw-Hill Global Education Holdings, LLC          | McGraw-Hill Global Education Holdings, LLC 2021 Term Loan                                                                  | CUSIP: 58063DAC7<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | LON              | CORP              | US        |    471780 | PA      | $445359.94    | 0.06%             | 2028-07-28      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| Aveanna Healthcare, LLC                             | Aveanna Healthcare, LLC 2021 Delayed Draw Term Loan                                                                        | CUSIP: 05549DAK4<br>LEI: 5493006D6JRLPIY8YV18 | Long             | LON              | CORP              | US        |      9401 | PA      | $7281.98      | 0.00%             | 2028-07-17      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| CommScope, Inc.                                     | CommScope, Inc. 2019 Term Loan B                                                                                           | CUSIP: 20337EAQ4<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | LON              | CORP              | US        |    135515 | PA      | $128104.11    | 0.02%             | 2026-04-06      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                 | Freddie Mac STACR REMIC Trust 2022-DNA3                                                                                    | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1387485 | PA      | $1380547.60   | 0.18%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CPC Acquisition Corp                                | CPC Acquisition Corp Term Loan                                                                                             | CUSIP: 12656UAB1<br>LEI: 254900UFA4AMH3PZZW32 | Long             | LON              | CORP              | US        |    279736 | PA      | $204207.58    | 0.03%             | 2027-12-29      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                             | Imperial Brands Finance PLC                                                                                                | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $286795.12    | 0.04%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                           | Boeing Co/The                                                                                                              | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2362262.84   | 0.31%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                                                             | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2134533.68   | 0.28%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                         | Southern Co/The                                                                                                            | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2820902.01   | 0.37%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| WAMU Mortgage Pass-Through Certificates             | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                                                              | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507250 | PA      | $480091.33    | 0.06%             | 2045-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Alloy Finco Limited                                 | Alloy Finco Limited USD Holdco PIK Term Loan                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | JE        |    454517 | PA      | $395429.74    | 0.05%             | 2025-03-06      | Floating      | 13.50%                | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                                  | Cook Park CLO Ltd                                                                                                          | CUSIP: 21623PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1427559.00   | 0.19%             | 2030-04-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust        | American Express Credit Account Master Trust                                                                               | CUSIP: 02582JJV3<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   5496000 | PA      | $5372838.49   | 0.71%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31409BB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13993 | PA      | $13688.88     | 0.00%             | 2036-03-01      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                           | INVESCO GOVT AND AGCY LEX                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  10000000 | NS      | $10000000.00  | 1.32%             |  |  |  | No            |                  1 | On Loan: No      |
| United Airlines, Inc.                               | United Airlines, Inc. 2021 Term Loan B                                                                                     | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |    740264 | PA      | $732552.56    | 0.10%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                    | Deutsche Bank AG/New York NY                                                                                               | CUSIP: 25160PAM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2000000 | PA      | $2004459.58   | 0.27%             | 2027-09-09      | Fixed         | 5.37%                 | No            |                  2 | On Loan: —       |
| Pitney Bowes Inc.                                   | Pitney Bowes Inc. 2021 Term Loan B                                                                                         | CUSIP: 72448FAS4<br>LEI: 549300N2O26NW4ST6W55 | Long             | LON              | CORP              | US        |    443040 | PA      | $409812.34    | 0.05%             | 2028-03-17      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| Global Tel*Link Corporation                         | Global Tel*Link Corporation 2018 1st Lien Term Loan                                                                        | CUSIP: 37959JAB7<br>LEI: 549300YI0BNF11FDQE44 | Long             | LON              | CORP              | US        |    829701 | PA      | $722876.87    | 0.10%             | 2025-11-29      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC               | New Economy Assets Phase 1 Sponsor LLC                                                                                     | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5010000 | PA      | $4233298.20   | 0.56%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Hyland Software, Inc.                               | Hyland Software, Inc. 2018 1st Lien Term Loan                                                                              | CUSIP: 44908XAT5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    144261 | PA      | $142496.54    | 0.02%             | 2024-07-01      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                 | JPMorgan Chase & Co                                                                                                        | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2447173.70   | 0.32%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| BANK OF NEW YORK MELLON                             | Bank of New York Mellon/The                                                                                                | CUSIP: 06405LAC5<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2306043.87   | 0.31%             | 2025-11-21      | Fixed         | 5.22%                 | No            |                  2 | On Loan: —       |
| Exelon Corp                                         | Exelon Corp                                                                                                                | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2228154.36   | 0.29%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| BlueMountain EUR CLO                                | BlueMountain Fuji Eur CLO V DAC                                                                                            | CUSIP: 000000000<br>LEI: 635400IYPG2G6NM3OV52 | Long             | ABS-CBDO         | CORP              | IE        |   1400000 | PA      | $1390266.40   | 0.18%             | 2033-01-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                 | Petroleos Mexicanos                                                                                                        | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    350000 | PA      | $342614.82    | 0.05%             | 2025-10-16      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| QUARTERNORTH ENERGY FIELDWOOD                       | QUARTERNORTH ENERGY FIELDWOOD                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      8038 | NS      | $1060219.43   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                            | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1000000 | PA      | $837775.29    | 0.11%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| KOREA EAST-WEST POWER CO                            | Korea East-West Power Co Ltd                                                                                               | CUSIP: 5006EPAJ0<br>LEI: 549300VDRGYGX9NBTB52 | Long             | DBT              | CORP              | KR        |   1300000 | PA      | $1291764.34   | 0.17%             | 2023-07-19      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                         | Freddie Mac Pool                                                                                                           | CUSIP: 3132D6CU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4010146 | PA      | $3837481.76   | 0.51%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Russell Investments US Inst'l Holdco, Inc.          | Russell Investments US Inst'l Holdco, Inc. 2020 Term Loan                                                                  | CUSIP: 78249LAD2<br>LEI: 5493008YG7V0FQCJQI74 | Long             | LON              | CORP              | US        |       131 | PA      | $126.27       | 0.00%             | 2025-05-30      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                | Bank of America Corp                                                                                                       | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2674108.44   | 0.35%             | 2026-04-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUSTON                         | BANK OF NOVA SCOTIA HOUSTON                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000840 | PA      | $2000840.50   | 0.26%             | 2023-03-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                                      | Owens-Brockway Glass Container Inc                                                                                         | CUSIP: 69073TAR4<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    462000 | PA      | $458711.60    | 0.06%             | 2023-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402LGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18880 | PA      | $18403.43     | 0.00%             | 2033-09-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| TFDXX LEX BLACKROCK FED FUND                        | TFDXX LEX BLACKROCK FED FUND                                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5000000 | NS      | $5000000.00   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31388DEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5152 | PA      | $5015.92      | 0.00%             | 2032-01-01      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| National Bank of Canada                             | National Bank Of Canada                                                                                                    | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| DexKo Global Inc.                                   | DexKo Global Inc. 2021 USD Delayed Draw Term Loan                                                                          | CUSIP: 000000000<br>LEI: 549300SMZ4OV1KBH1M19 | Long             | LON              | CORP              | US        |      9409 | PA      | $8466.96      | 0.00%             | 2028-10-04      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| KOREA EAST-WEST POWER CO                            | Korea East-West Power Co Ltd                                                                                               | CUSIP: 5006EPAL5<br>LEI: 549300VDRGYGX9NBTB52 | Long             | DBT              | CORP              | KR        |   1600000 | PA      | $1546968.66   | 0.20%             | 2025-05-06      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                               | Wells Fargo & Co                                                                                                           | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2326644.63   | 0.31%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: —       |
| Sequoia Mortgage Trust                              | Sequoia Mortgage Trust 2004-10                                                                                             | CUSIP: 81744FEV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122314 | PA      | $107874.64    | 0.01%             | 2034-11-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2017-1                                                                                           | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531204 | PA      | $522270.17    | 0.07%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610787 | PA      | $610787.99    | 0.08%             | 2024-07-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | Long: 22679845  CDS USD R V 03MEVENT 22679845_PRO CORPORATE / Short: 22679845  CDS USD P F  5.00000 22679845_FEE CORPORATE | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    950000 | OU      | $-8933.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                            | EnLink Midstream Partners LP                                                                                               | CUSIP: 29336UAF4<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1034030.72   | 0.14%             | 2026-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| United States Treasury                              | United States Treasury Note/Bond                                                                                           | CUSIP: 912828Y79<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42500000 | PA      | $41057324.33  | 5.43%             | 2025-07-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Hunter Holdco 3 Limited                             | Hunter Holdco 3 Limited USD Term Loan B                                                                                    | CUSIP: 12509YAE6<br>LEI: 549300KXGY77REE4ZR63 | Long             | LON              | CORP              | US        |    298454 | PA      | $293231.37    | 0.04%             | 2028-08-19      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                             | CF Hippolyta Issuer LLC                                                                                                    | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1153543 | PA      | $1029643.73   | 0.14%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31418SA41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       636 | PA      | $621.98       | 0.00%             | 2040-04-01      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                        | Centene Corp                                                                                                               | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    900000 | PA      | $760833.00    | 0.10%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                   | HSBC Holdings PLC                                                                                                          | CUSIP: 404280DE6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1900000 | PA      | $1845241.09   | 0.24%             | 2025-12-09      | Fixed         | 4.18%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                                       | Citigroup Inc                                                                                                              | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1806047.81   | 0.24%             | 2026-03-17      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: 27556375  CDS USD R F  5.00000 27556375_FEE CDX / Short: 27556375  CDS USD P V 03MEVENT 27556375_PRO CDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   8100000 | OU      | $169986.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Global Medical Response, Inc.                       | Global Medical Response, Inc. 2017 Incremental Term Loan                                                                   | CUSIP: 00169QAD1<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |    102248 | PA      | $72596.30     | 0.01%             | 2025-03-14      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| SHINHAN BANK                                        | Shinhan Bank Co Ltd                                                                                                        | CUSIP: 82460CAQ7<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |   2500000 | PA      | $2177592.60   | 0.29%             | 2026-10-21      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                        | UBS Group AG                                                                                                               | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1900000 | PA      | $1867369.78   | 0.25%             | 2025-08-05      | Fixed         | 4.49%                 | No            |                  2 | On Loan: —       |
| Citibank N.A.                                       | Long: 22670347  CDS USD R V 03MEVENT 22670347_PRO CORPORATE / Short: 22670347  CDS USD P F  5.00000 22670347_FEE CORPORATE | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |    950000 | OU      | $-8933.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                   | CSC Holdings, LLC 2017 Term Loan B1                                                                                        | CUSIP: 64072UAE2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |   1187435 | PA      | $1126083.38   | 0.15%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ivanti Software, Inc.                               | Ivanti Software, Inc. 2021 Term Loan B                                                                                     | CUSIP: 46583DAG4<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |    286409 | PA      | $228769.30    | 0.03%             | 2027-12-01      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| Athenahealth, Inc.                                  | Athenahealth, Inc. 2022 Delayed Draw Term Loan                                                                             | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |     70308 | PA      | $63658.34     | 0.01%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Epicor Software Corporation                         | Epicor Software Corporation 2020 Term Loan                                                                                 | CUSIP: 29426NAN4<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |    148481 | PA      | $143098.56    | 0.02%             | 2027-07-30      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| GoTo Group, Inc.                                    | GoTo Group, Inc. Term Loan B                                                                                               | CUSIP: 54142KAD3<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |    298868 | PA      | $193196.84    | 0.03%             | 2027-08-31      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| AI Aqua Merger Sub, Inc.                            | AI Aqua Merger Sub, Inc. 2022 Term Loan B                                                                                  | CUSIP: 00132UAL8<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |    147999 | PA      | $139784.73    | 0.02%             | 2028-07-31      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                           | CUSIP: 912828VS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9861718.80   | 1.30%             | 2023-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| NETFLIX INC                                         | Netflix Inc                                                                                                                | CUSIP: 64110LAY2<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    800000 | PA      | $765864.00    | 0.10%             | 2025-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: —       |
| Alliant Holdings Intermediate, LLC                  | Alliant Holdings Intermediate, LLC 2018 Term Loan B                                                                        | CUSIP: 01881UAE5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |    476344 | PA      | $470806.37    | 0.06%             | 2025-05-09      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1805 | PA      | $1815.37      | 0.00%             | 2037-03-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| U.S. Silica Company                                 | U.S. Silica Company 2018 Term Loan B                                                                                       | CUSIP: 90343KAR3<br>LEI: 549300LB0THBBEFBXE82 | Long             | LON              | CORP              | US        |    245343 | PA      | $243043.37    | 0.03%             | 2025-05-01      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                            | Huntington National Bank/The                                                                                               | CUSIP: 44644MAH4<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2304567.50   | 0.30%             | 2025-11-18      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| City & County Honolulu HI Wastewater System Revenue | HONOLULU CITY & CNTY HI WSTWTR SYS REVENUE                                                                                 | CUSIP: 438701Y24<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    710000 | PA      | $685934.55    | 0.09%             | 2024-07-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                | Tencent Holdings Ltd                                                                                                       | CUSIP: 88032WAT3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    900000 | PA      | $811412.89    | 0.11%             | 2026-01-26      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Great Outdoors Group, LLC                           | Great Outdoors Group, LLC 2021 Term Loan B1                                                                                | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |    414970 | PA      | $400100.44    | 0.05%             | 2028-03-06      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Cornerstone OnDemand, Inc.                          | Cornerstone OnDemand, Inc. 2021 Term Loan                                                                                  | CUSIP: 86803YAB9<br>LEI: 549300Z402F16H5EGH48 | Long             | LON              | CORP              | US        |    219840 | PA      | $197306.77    | 0.03%             | 2028-10-16      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                             | MPLX LP                                                                                                                    | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2479558.50   | 0.33%             | 2024-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31403AX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14704 | PA      | $14407.23     | 0.00%             | 2033-10-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                           | Madison Park Euro Funding VIII DAC                                                                                         | CUSIP: 000000000<br>LEI: 635400Y8CTGVSWYFMB36 | Long             | ABS-CBDO         | CORP              | IE        |    900000 | PA      | $886940.09    | 0.12%             | 2032-04-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                 | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                       | CUSIP: 3137G0KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191793 | PA      | $1232184.31   | 0.16%             | 2028-11-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    857010 | PA      | $872011.50    | 0.12%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                    | Peruvian Government International Bond                                                                                     | CUSIP: 715638AS1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    900000 | PA      | $943439.45    | 0.12%             | 2025-07-21      | Fixed         | 7.35%                 | No            |                  2 | On Loan: —       |
| National Bank Financial Inc                         | National Bank Financial Inc                                                                                                | CUSIP: 000000000<br>LEI: 254900XZG349Z8CSZB72 | Long             | RA               | CORP              | US        |  10000000 | PA      | $10000000.00  | 1.32%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                 | Bank of Nova Scotia/The                                                                                                    | CUSIP: 06418BAE8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   2300000 | PA      | $2122229.55   | 0.28%             | 2027-03-11      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| AZZ Inc.                                            | AZZ Inc. Term Loan B                                                                                                       | CUSIP: 00247NAG7<br>LEI: 549300HD1X2NFLWPYC83 | Long             | LON              | CORP              | US        |    136664 | PA      | $136715.25    | 0.02%             | 2029-05-13      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                               | General Dynamics Corp                                                                                                      | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3197550.21   | 0.42%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                      | Wynn Macau Ltd                                                                                                             | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $854090.00    | 0.11%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31406H3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19075 | PA      | $19175.79     | 0.00%             | 2034-12-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                            | Mill City Mortgage Loan Trust 2018-4                                                                                       | CUSIP: 59980YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1464878 | PA      | $1387585.53   | 0.18%             | 2066-04-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                           | Towd Point Mortgage Trust 2018-4                                                                                           | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1532057 | PA      | $1396965.32   | 0.18%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                             | Philippine Government International Bond                                                                                   | CUSIP: 718286BY2<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    600000 | PA      | $593400.91    | 0.08%             | 2024-01-21      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                         | Allied Universal Holdco LLC 2021 USD Incremental Term Loan B                                                               | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |    266798 | PA      | $253758.42    | 0.03%             | 2028-05-12      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| PARTY CITY HOLDINGS INC                             | Party City Holdings Inc                                                                                                    | CUSIP: 702150AE3<br>LEI: 5493005PYM1JS6EZN307 | Long             | DBT              | CORP              | US        |    195885 | PA      | $52888.95     | 0.01%             | 2025-07-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: —       |
| Evergreen Acqco 1 LP                                | Evergreen Acqco 1 LP 2021 USD Term Loan                                                                                    | CUSIP: 30015FAG1<br>LEI: 549300F6POVHG3ME8T95 | Long             | LON              | CORP              | US        |    362858 | PA      | $350611.42    | 0.05%             | 2028-04-26      | Variable      | 10.34%                | No            |                  2 | On Loan: No      |
| GCCFC Commercial Mortgage Trust                     | Commercial Mortgage Trust 2006-GG7                                                                                         | CUSIP: 20173MAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357974 | PA      | $231358.46    | 0.03%             | 2038-07-10      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                            | American Airlines Inc/AAdvantage Loyalty IP Ltd                                                                            | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1000000 | PA      | $961646.50    | 0.13%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                      | Morgan Stanley                                                                                                             | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2694869.34   | 0.36%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: —       |
| MedAssets Software Intermediate Holdings, Inc.      | MedAssets Software Intermediate Holdings, Inc. 2021 Term Loan                                                              | CUSIP: 58404KAH8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    110137 | PA      | $93478.52     | 0.01%             | 2028-12-18      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Texas State University System                       | TEXAS ST UNIV SYS FING REVENUE                                                                                             | CUSIP: 88278PZC1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1385000 | PA      | $1292121.90   | 0.17%             | 2026-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31379LCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7649 | PA      | $7572.64      | 0.00%             | 2025-06-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US 2YR NOTE (CBT) MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       835 | NC      | $87171.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PetVet Care Centers, LLC                            | PetVet Care Centers, LLC 2021 Term Loan B3                                                                                 | CUSIP: 70476XAK1<br>LEI: 549300V0HK8MSXZNOM91 | Long             | LON              | CORP              | US        |     54645 | PA      | $51639.60     | 0.01%             | 2025-02-14      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| RABOBANK LONDON                                     | RABOBANK LONDON                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             | 2023-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402QTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3581 | PA      | $3509.44      | 0.00%             | 2034-11-01      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: B8218594  CDS USD R V 03MEVENT 28218594_PRO CCPCDX / Short: B8218594  CDS USD P F  5.00000 28218594_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1900000 | OU      | $-11097.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                            | JP Morgan Mortgage Trust 2021-13                                                                                           | CUSIP: 46592XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4136481 | PA      | $3551512.65   | 0.47%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: B8165287  CDS USD R V 03MEVENT 28165287_PRO CCPCDX / Short: B8165287  CDS USD P F  5.00000 28165287_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   9700000 | OU      | $-56654.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EAST-WEST POWER CO                            | Korea East-West Power Co Ltd                                                                                               | CUSIP: 5006EPAK7<br>LEI: 549300VDRGYGX9NBTB52 | Long             | DBT              | CORP              | KR        |   2500000 | PA      | $2305485.83   | 0.31%             | 2025-05-06      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SA LTD ESRW ZAR                                     | SA LTD ESRW ZAR                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | ZA        |     40457 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                            | Mill City Mortgage Loan Trust 2018-1                                                                                       | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802008 | PA      | $773077.17    | 0.10%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Greeneden U.S. Holdings II, LLC                     | Greeneden U.S. Holdings II, LLC 2020 USD Term Loan B4                                                                      | CUSIP: 39479UAQ6<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | LON              | CORP              | US        |    114105 | PA      | $109797.95    | 0.01%             | 2027-12-01      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                              | US 5YR NOTE (CBT) MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -254 | NC      | $90035.89     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ANA INTL/ANA HOLD                                   | Anagram International Inc / Anagram Holdings LLC                                                                           | CUSIP: 03254TAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    122895 | PA      | $81110.70     | 0.01%             | 2026-08-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates               | CWABS Inc Asset-Backed Certificates Series 2004-1                                                                          | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30604 | PA      | $29775.88     | 0.00%             | 2034-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| AI Aqua Merger Sub, Inc.                            | AI Aqua Merger Sub, Inc. 2021 1st Lien Term Loan B                                                                         | CUSIP: 00132UAG9<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |    233772 | PA      | $220330.31    | 0.03%             | 2028-07-31      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| TD Prime Svcs                                       | TD Prime Svcs                                                                                                              | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |    500000 | PA      | $500000.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities      | Credit Suisse First Boston Mortgage Securities Corp                                                                        | CUSIP: 2254W0HE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34837 | PA      | $20590.63     | 0.00%             | 2019-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       403 | PA      | $394.82       | 0.00%             | 2033-11-01      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2927839.86   | 0.39%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                     | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2400000 | PA      | $2116735.37   | 0.28%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                      | Morgan Stanley                                                                                                             | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3580538.90   | 0.47%             | 2024-04-24      | Fixed         | 3.74%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                                   | HSBC Holdings PLC                                                                                                          | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1353919.07   | 0.18%             | 2026-04-18      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Octagon 58 Ltd                                      | Octagon 58 Ltd                                                                                                             | CUSIP: 675932AJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $2872827.00   | 0.38%             | 2037-07-15      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                         | Asurion LLC 2020 Term Loan B8                                                                                              | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    111899 | PA      | $99889.93     | 0.01%             | 2026-12-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31390LRF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4886 | PA      | $4811.67      | 0.00%             | 2032-08-01      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                             | Grand Canyon University                                                                                                    | CUSIP: 38528UAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $562786.50    | 0.07%             | 2024-10-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Clarios Global LP                                   | Clarios Global LP 2021 USD Term Loan B                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    220305 | PA      | $216633.00    | 0.03%             | 2026-04-30      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31408F2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103606 | PA      | $101688.67    | 0.01%             | 2035-12-01      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31400QT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12172 | PA      | $11899.14     | 0.00%             | 2033-03-01      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Exelon Corp                                         | Exelon Corp                                                                                                                | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1898970.98   | 0.25%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Discover Card Execution Note Trust                  | Discover Card Execution Note Trust                                                                                         | CUSIP: 254683CW3<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |   5710000 | PA      | $5543216.04   | 0.73%             | 2027-07-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| QuarterNorth Energy Holding Inc.                    | QuarterNorth Energy Holding Inc. 2021 Exit 2nd Lien Term Loan                                                              | CUSIP: 74771KAB3<br>LEI: 549300BC3OH5VUTNXB92 | Long             | LON              | CORP              | US        |    360484 | PA      | $359695.05    | 0.05%             | 2026-08-27      | Floating      | 12.38%                | No            |                  2 | On Loan: No      |
| General Nutrition Centers, Inc.                     | General Nutrition Centers, Inc. 2020 2nd Lien Term Loan                                                                    | CUSIP: 36260UAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    222005 | PA      | $205354.55    | 0.03%             | 2026-10-07      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                 | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                       | CUSIP: 3137G0CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1944066 | PA      | $1948898.49   | 0.26%             | 2024-09-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1522 | PA      | $1514.45      | 0.00%             | 2028-03-01      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                           | CUSIP: 91282CCT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9342187.50   | 1.24%             | 2024-08-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31409XZV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46500 | PA      | $47694.92     | 0.01%             | 2036-03-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                            | OBX 2021-J1 Trust                                                                                                          | CUSIP: 67113XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2687481 | PA      | $2304200.40   | 0.30%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                            | Long: 28364858  TRS USD R V 01MSOFR / Short: 28364858  TRS USD P E                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   2625000 | OU      | $-2221.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                            | Long: 28321927  TRS USD R V 01MSOFR / Short: 28321927  TRS USD P E                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   2625000 | OU      | $-18627.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DexKo Global Inc.                                   | DexKo Global Inc. 2021 USD Term Loan B                                                                                     | CUSIP: 25213YAU9<br>LEI: 549300SMZ4OV1KBH1M19 | Long             | LON              | CORP              | US        |     49275 | PA      | $44340.07     | 0.01%             | 2028-10-04      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Scientific Games Holdings LP                        | Scientific Games Holdings LP 2022 USD Term Loan B                                                                          | CUSIP: 80875CAB3<br>LEI: 549300W5GPFXXB6TQ330 | Long             | LON              | CORP              | US        |    272160 | PA      | $260219.09    | 0.03%             | 2029-04-04      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics Inc                               | Quest Diagnostics Inc                                                                                                      | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2002719.96   | 0.26%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| UNIVISION COMMUNICATIONS                            | Univision Communications Inc                                                                                               | CUSIP: 914906AS1<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    600000 | PA      | $571434.12    | 0.08%             | 2025-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    900000 | PA      | $867075.78    | 0.11%             | 2027-06-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: —       |
| RABOBANK NEW YORK                                   | RABOBANK NEW YORK                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000418 | PA      | $2000418.00   | 0.26%             | 2023-02-01      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | Long: 26655398  CDS USD R F   .00000 0.0 PERCENT BESPOKE / Short: 26655398  CDS USD P V 03MEVENT 549300HDUGIR8TU0PL77      | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   2800000 | OU      | $-983323.43   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Massachusetts State College Building Authority      | MASSACHUSETTS ST CLG BLDG AUTH REVENUE                                                                                     | CUSIP: 575831EY4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    760000 | PA      | $699451.03    | 0.09%             | 2026-05-01      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Weatherford International PLC                       | Weatherford International PLC                                                                                              | CUSIP: 000000000<br>LEI: 529900LPBDSCQDJKHQ39 | Long             | EC               | CORP              | IE        |      6622 | NS      | $337192.24    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| United States Treasury                              | United States Treasury Note/Bond                                                                                           | CUSIP: 91282CDS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32000000 | PA      | $29946249.92  | 3.96%             | 2025-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: —       |
| Cloudera, Inc.                                      | Cloudera, Inc. 2021 Second Lien Term Loan                                                                                  | CUSIP: 74339VAE8<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |     51033 | PA      | $42803.98     | 0.01%             | 2029-10-08      | Floating      | 10.38%                | No            |                  2 | On Loan: No      |
| Citadel Securities LP                               | Citadel Securities LP 2021 Term Loan B                                                                                     | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    384150 | PA      | $377607.54    | 0.05%             | 2028-02-02      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                              | Korea Development Bank/The                                                                                                 | CUSIP: 500630CU0<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |   2700000 | PA      | $2693027.63   | 0.36%             | 2023-03-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bally's Corporation                                 | Bally's Corporation 2021 Term Loan B                                                                                       | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |    532799 | PA      | $496391.60    | 0.07%             | 2028-10-02      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                    | Provident Funding Mortgage Trust 2021-J1                                                                                   | CUSIP: 74387MAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2738912 | PA      | $2348297.01   | 0.31%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31419A6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557643 | PA      | $563074.92    | 0.07%             | 2036-11-01      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                              | Verizon Communications Inc                                                                                                 | CUSIP: 92343VGG3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $3860211.09   | 0.51%             | 2026-03-20      | Fixed         | 1.45%                 | No            |                  2 | On Loan: —       |
| Radiology Partners Inc                              | Radiology Partners Inc 2018 1st Lien Term Loan B                                                                           | CUSIP: 75041EAB8<br>LEI: 549300SFTAG2177WUZ08 | Long             | LON              | CORP              | US        |    139115 | PA      | $117204.34    | 0.02%             | 2025-07-09      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36072 | PA      | $35075.49     | 0.00%             | 2035-06-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                     | Dryden 44 Euro CLO 2015 DAC                                                                                                | CUSIP: 000000000<br>LEI: 635400YO6CJ2YJRXF230 | Long             | ABS-CBDO         | CORP              | IE        |   7166000 | PA      | $7300853.38   | 0.97%             | 2034-04-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Gray Television, Inc.                               | Gray Television, Inc. 2021 Term Loan D                                                                                     | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |    297000 | PA      | $288885.66    | 0.04%             | 2028-12-01      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                              | RR 14 Ltd                                                                                                                  | CUSIP: 74980PAA1<br>LEI: 54930006FTQV76P0VH16 | Long             | ABS-CBDO         | CORP              | KY        |   5382000 | PA      | $5240523.37   | 0.69%             | 2036-04-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                            | Flex Ltd                                                                                                                   | CUSIP: 33938XAC9<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |   1300000 | PA      | $1227605.05   | 0.16%             | 2026-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| SABINE PASS LIQUEFACTION                            | Sabine Pass Liquefaction LLC                                                                                               | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1702401.10   | 0.23%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Avis Budget Car Rental, LLC                         | Avis Budget Car Rental, LLC 2020 Term Loan B                                                                               | CUSIP: 05377JAR3<br>LEI: XN8R4HH1TVC1XOCL5P21 | Long             | LON              | CORP              | US        |    745313 | PA      | $725049.50    | 0.10%             | 2027-08-06      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31381DR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6444 | PA      | $6194.21      | 0.00%             | 2029-01-01      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| DBCG Mortgage Trust                                 | DBCG 2017-BBG Mortgage Trust                                                                                               | CUSIP: 233062AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550000 | PA      | $2505266.37   | 0.33%             | 2034-06-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                            | OBX 2021-J3 Trust                                                                                                          | CUSIP: 67448XAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    719526 | PA      | $617808.60    | 0.08%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17646 | PA      | $18012.18     | 0.00%             | 2036-02-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31391S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17944 | PA      | $17815.45     | 0.00%             | 2032-11-01      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| IGT Holding IV AB                                   | IGT Holding IV AB 2021 USD Term Loan B2                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | SE        |    188942 | PA      | $185635.81    | 0.02%             | 2028-03-31      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941709 | PA      | $1000432.44   | 0.13%             | 2028-08-25      | Floating      | 11.34%                | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                             | Dryden 45 Senior Loan Fund                                                                                                 | CUSIP: 26244MAN2<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2882751.00   | 0.38%             | 2030-10-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Royal Bank Canada Toronto                           | Royal Bank Canada Toronto                                                                                                  | CUSIP: 000000000<br>LEI: 549300HXQQQCCUBS2Z23 | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                             | Bayer US Finance II LLC                                                                                                    | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2956577.25   | 0.39%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                      | Amazon.com Inc                                                                                                             | CUSIP: 023135AW6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1694471.07   | 0.22%             | 2023-02-22      | Fixed         | 2.40%                 | No            |                  2 | On Loan: —       |
| EQUINOR ASA                                         | Equinor ASA                                                                                                                | CUSIP: 29446MAJ1<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   1300000 | PA      | $1188104.46   | 0.16%             | 2026-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31409XZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9479 | PA      | $9278.40      | 0.00%             | 2036-02-01      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                               | Phoenix Guarantor Inc 2021 Term Loan B3                                                                                    | CUSIP: 71913BAH5<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |    196009 | PA      | $184370.73    | 0.02%             | 2026-03-05      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                             | OHA Credit Partners VII Ltd                                                                                                | CUSIP: 67102QAV0<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |   6398000 | PA      | $6177173.03   | 0.82%             | 2034-02-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2019-2              | BRAVO Residential Funding Trust 2019-NQM2                                                                                  | CUSIP: 10568LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1206204 | PA      | $1116719.52   | 0.15%             | 2044-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Atlas Purchaser, Inc.                               | Atlas Purchaser, Inc. 2021 Term Loan                                                                                       | CUSIP: 04939JAC0<br>LEI: 254900Q8WE2HAUZ0LI71 | Long             | LON              | CORP              | US        |    295352 | PA      | $210069.20    | 0.03%             | 2028-05-08      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                            | Comision Federal de Electricidad                                                                                           | CUSIP: 200447AF7<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   2300000 | PA      | $2144750.00   | 0.28%             | 2027-02-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31390SFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1921 | PA      | $1899.01      | 0.00%             | 2032-07-01      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                             | Federal Home Loan Bank Discount Notes                                                                                      | CUSIP: 313384AC3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        | 110580000 | PA      | $110580000.00 | 14.63%            | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                 | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                       | CUSIP: 3137G0AY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619474 | PA      | $626707.14    | 0.08%             | 2024-04-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                 | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                       | CUSIP: 3137G0HW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2578879 | PA      | $2692443.03   | 0.36%             | 2028-07-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                            | New York Life Global Funding                                                                                               | CUSIP: 64952WEU3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3084289.34   | 0.41%             | 2025-08-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| Onsite Rental Group Pty Ltd                         | Onsite Rental Group Pty Ltd PIK Note                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | AU        |    882507 | PA      | $641557.05    | 0.08%             | 2023-10-26      | Fixed         | 6.10%                 | No            |                  3 | On Loan: No      |
| Asurion LLC                                         | Asurion LLC 2018 Term Loan B6                                                                                              | CUSIP: 04649VAV2<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    145671 | PA      | $130831.01    | 0.02%             | 2023-11-03      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                           | Toronto-Dominion Bank/The                                                                                                  | CUSIP: 89119BPA8<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |   6900000 | PA      | $6865175.70   | 0.91%             | 2023-02-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Securities,Inc.                                | HSBC Securities,Inc.                                                                                                       | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                      | Home Partners of America 2021-3 Trust                                                                                      | CUSIP: 43730XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495359 | PA      | $413862.10    | 0.05%             | 2041-01-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                            | Long: 28190529  TRS USD R V 01MSOFR / Short: 28190529  TRS USD P E                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   1220000 | OU      | $-37022.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Trust                   | BA Credit Card Trust                                                                                                       | CUSIP: 05522RDE5<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1166913.00   | 0.15%             | 2027-11-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Armada Euro CLO                                     | Armada Euro CLO IV DAC                                                                                                     | CUSIP: 000000000<br>LEI: 549300DE6MWQ8YQI0O46 | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $498508.86    | 0.07%             | 2033-07-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Aveanna Healthcare, LLC                             | Aveanna Healthcare, LLC 2021 Term Loan B                                                                                   | CUSIP: 05549DAJ7<br>LEI: 5493006D6JRLPIY8YV18 | Long             | LON              | CORP              | US        |    133375 | PA      | $103310.36    | 0.01%             | 2028-07-17      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Inc                        | Citigroup Global Markets Inc                                                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31407A7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6761 | PA      | $6842.05      | 0.00%             | 2035-07-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| PETMATE                                             | Petmate Incremental Term Loan B                                                                                            | CUSIP: 04638LAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    122814 | PA      | $92570.92     | 0.01%             | 2028-09-15      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| Citibank N.A.                                       | Long: 27079066  CDS USD R F  1.00000 27079066_FEE CORPORATE / Short: 27079066  CDS USD P V 03MEVENT 27079066_PRO CORPORATE | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   1985000 | OU      | $-766164.13   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                           | CUSIP: 9128284R8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $12567851.53  | 1.66%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31410FR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       266 | PA      | $260.12       | 0.00%             | 2036-09-01      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31402DBW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       434 | PA      | $426.68       | 0.00%             | 2033-09-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| DEN NORSKE BANK OSLO                                | DEN NORSKE BANK OSLO                                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000506 | PA      | $2000505.99   | 0.26%             | 2023-06-02      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                   | HSBC Holdings PLC                                                                                                          | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    900000 | PA      | $833293.89    | 0.11%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: —       |
| United States Treasury                              | United States Treasury Inflation Indexed Bonds                                                                             | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9154492 | PA      | $8787224.22   | 1.16%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                            | OBX 2018-1 Trust                                                                                                           | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367030 | PA      | $345180.96    | 0.05%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                             | BPCE SA                                                                                                                    | CUSIP: 05583JAG7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $2798024.97   | 0.37%             | 2025-01-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: —       |
| Netflix Inc                                         | Netflix Inc                                                                                                                | CUSIP: 64110LAG1<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402768.00    | 0.05%             | 2024-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                            | Fox Corp                                                                                                                   | CUSIP: 35137LAM7<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1625142.80   | 0.22%             | 2025-04-07      | Fixed         | 3.05%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                                    | Fannie Mae Connecticut Avenue Securities                                                                                   | CUSIP: 30711XAK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1727429 | PA      | $1759828.88   | 0.23%             | 2024-07-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| VIVION INVESTMENTS                                  | Vivion Investments Sarl                                                                                                    | CUSIP: 000000000<br>LEI: 529900SJ7X71ESJK9N76 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $165491.49    | 0.02%             | 2024-08-08      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 35 LTD                  | OCTAGON INVESTMENT PARTNERS 35 LTD                                                                                         | CUSIP: 67591TAC4<br>LEI: 549300EBYXJ9QVMC7X31 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $588778.80    | 0.08%             | 2031-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust             | Capital One Multi-Asset Execution Trust                                                                                    | CUSIP: 14041NGA3<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   3070000 | PA      | $2985581.45   | 0.40%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Vertical US Newco Inc                               | Vertical US Newco Inc Term Loan B                                                                                          | CUSIP: 000000000<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |    379127 | PA      | $365925.37    | 0.05%             | 2027-07-30      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO GOVT FD LEX                             | WELLS FARGO GOVT FD LEX                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   2005958 | NS      | $2005958.00   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                    | Societe Generale SA                                                                                                        | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1700000 | PA      | $1563477.74   | 0.21%             | 2026-01-21      | Fixed         | 2.23%                 | No            |                  2 | On Loan: —       |
| KEY BANK NA                                         | KeyBank NA/Cleveland OH                                                                                                    | CUSIP: 49327M3E2<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1563172.77   | 0.21%             | 2025-08-08      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| Citibank N.A.                                       | Long: 26737382  CDS USD R F  3.60000 / Short: 26737382  CDS USD P V 03MEVENT                                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |   1800000 | OU      | $-24645.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sovos Compliance, LLC                               | Sovos Compliance, LLC 2021 Delayed Draw Term Loan                                                                          | CUSIP: 84611YAC4<br>LEI: 549300M9XYG5WP2QHH07 | Long             | LON              | CORP              | US        |      9131 | PA      | $8425.97      | 0.00%             | 2028-08-11      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                    | Societe Generale SA                                                                                                        | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1290615.18   | 0.17%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: —       |
| BANK OF NOVA SCOTIA HOUSTON                         | BANK OF NOVA SCOTIA HOUSTON                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2000036 | PA      | $2000035.68   | 0.26%             | 2023-01-06      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                        | GS Mortgage Securities Corp Trust 2022-SHIP                                                                                | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $571881.45    | 0.08%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK NY                                         | CITIBANK NY                                                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000071 | PA      | $1000071.00   | 0.13%             | 2023-03-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                   | Magenta Buyer LLC 2021 USD 1st Lien Term Loan                                                                              | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    207855 | PA      | $179015.49    | 0.02%             | 2028-07-27      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| AQGEN ISLAND HOLDINGS, INC.                         | AqGen Island Holdings, Inc. Term Loan                                                                                      | CUSIP: 03836BAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    246688 | PA      | $235895.04    | 0.03%             | 2028-08-02      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| FIGXX FID INST GOVT LEX                             | FIGXX FID INST GOVT LEX                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5000000 | NS      | $5000000.00   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Ares Euro CLO                                       | Ares European CLO VIII DAC                                                                                                 | CUSIP: 000000000<br>LEI: 635400YZA9JLL9KZ2M47 | Long             | ABS-CBDO         | CORP              | IE        |   3200000 | PA      | $3328241.90   | 0.44%             | 2032-04-17      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                             | Goldman Sachs Group Inc/The                                                                                                | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1780770.72   | 0.24%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                     | Long: B8336108  CDS USD R V 03MEVENT 28336108_PRO CCPCDX / Short: B8336108  CDS USD P F  5.00000 28336108_FEE CCPCDX       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1900000 | OU      | $-11097.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sedgwick Claims Management Services, Inc.           | Sedgwick Claims Management Services, Inc. 2018 Term Loan B                                                                 | CUSIP: 81527CAL1<br>LEI: 549300BIN4DWJG5VWF64 | Long             | LON              | CORP              | US        |    225306 | PA      | $219613.12    | 0.03%             | 2025-12-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                     | Madison IAQ LLC Term Loan                                                                                                  | CUSIP: 55759VAB4<br>LEI: 549300IXDNBXNHUPBU73 | Long             | LON              | CORP              | US        |    119399 | PA      | $111239.82    | 0.01%             | 2028-06-21      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31411ARS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       211 | PA      | $207.96       | 0.00%             | 2036-11-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                              | Credit Suisse Group AG                                                                                                     | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $375539.66    | 0.05%             | 2026-07-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings, Inc                          | Triton Water Holdings, Inc Term Loan                                                                                       | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |    952233 | PA      | $888671.33    | 0.12%             | 2028-03-31      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Highline Aftermarket Acquisition, LLC               | Highline Aftermarket Acquisition, LLC 2020 Term Loan B                                                                     | CUSIP: 43110HAC3<br>LEI: 254900Q5W6G5KG3GHJ04 | Long             | LON              | CORP              | US        |    249295 | PA      | $228104.86    | 0.03%             | 2027-11-09      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                              | CHL Mortgage Pass-Through Trust 2004-11                                                                                    | CUSIP: 12669FA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183325 | PA      | $169380.14    | 0.02%             | 2034-07-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                          | Cigna Corp                                                                                                                 | CUSIP: 125523CP3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3563750.96   | 0.47%             | 2026-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: —       |
| BANK OF MONTREAL CHICAGO                            | BANK OF MONTREAL CHICAGO                                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1001351 | PA      | $1001350.80   | 0.13%             | 2023-11-08      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| HSBC US GOVT FUND LEX                               | HSBC US GOVT FUND LEX                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5000000 | NS      | $5000000.00   | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| New York State Urban Development Corp               | NEW YORK ST URBAN DEV CORP SALES TAX REVENUE                                                                               | CUSIP: 64985TBA8<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |   5950000 | PA      | $5501249.81   | 0.73%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                              | United States Treasury Note/Bond                                                                                           | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28000000 | PA      | $26357187.36  | 3.49%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| K2016470219 (SOUTH AFRICA) LTD                      | K2016470219 (SOUTH AFRICA) LTD                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   8217950 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31391MKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39454 | PA      | $38454.84     | 0.01%             | 2032-12-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                          | Fannie Mae Pool                                                                                                            | CUSIP: 31410GME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       655 | PA      | $651.37       | 0.00%             | 2037-09-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Tiger Acquisition, LLC                              | Tiger Acquisition, LLC 2021 Term Loan                                                                                      | CUSIP: 88675UAB8<br>LEI: 25490011XE2GWJKY5N51 | Long             | LON              | CORP              | US        |    609781 | PA      | $580673.95    | 0.08%             | 2028-06-01      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                       | Citigroup Inc                                                                                                              | CUSIP: 172967LZ2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3576006.61   | 0.47%             | 2024-06-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: —       |
| BlackRock European CLO DAC                          | Blackrock European CLO IX DAC                                                                                              | CUSIP: 000000000<br>LEI: 549300CTNII509TFCV23 | Long             | ABS-CBDO         | CORP              | IE        |   2600000 | PA      | $2689297.97   | 0.36%             | 2032-12-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Brighthouse Funds Trust I

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer