# EDGAR Filing Document

**Accession Number:** 0001318342
**File Stem:** 0001145549-23-006832
**Filing Date:** 2023-2
**Character Count:** 206806
**Document Hash:** d4a68d1a95a9abb53865feb01ec72286
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-006832.hdr.sgml**: 20230217

**ACCESSION NUMBER**: 0001145549-23-006832

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230217

**DATE AS OF CHANGE**: 20230217

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Investment Managers Series Trust
- **CENTRAL INDEX KEY:** 0001318342
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21719
- **FILM NUMBER:** 23641970

**BUSINESS ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212
- **BUSINESS PHONE:** 626-914-4141

**MAIL ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Claymore Trust
- **DATE OF NAME CHANGE:** 20050603

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Claymore Equity Trust
- **DATE OF NAME CHANGE:** 20050218

## Series and Classes Contracts Data

### Palmer Square Income Plus Fund (Series ID: S000044040)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000136684 | Palmer Square Income Plus Fund | PSYPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** INVESTMENT MANAGERS SERIES TRUST

- **b. Investment Company Act file number:** 811-21719

- **c. CIK number of Registrant:** 0001318342

- **d. LEI of Registrant:** 549300ESWU4ZNAH5Y054

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

  - **Street Address 1:** 235 WEST GALENA STREET

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 532123948

  - **Telephone number:** 4142992000

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

- **a. Name of Series:** Palmer Square Income Plus Fund

- **b. EDGAR series identifier (if any):** S000044040

- **c. LEI of Series:** 549300BE2Y2R1X2JCK82

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $990976413.30

**Total Liabilities:** $93948544.38

**Net Assets:** $897027868.92

**Delayed Delivery Securities:** $2361027.57

**Cash Not Reported:** $98414702.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1028.842731956794 | **1-Year:** 28834.120214882841 | **5-Year:** 82789.198276044790 | **10-Year:** 91505.573456871516 | **30-Year:** 38794.085222346756

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

- **3-Month:** 0.311911446730 | **1-Year:** 3877.871002152110 | **5-Year:** 30690.837672658309 | **10-Year:** 30145.802656380550 | **30-Year:** 1824.424008064898

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000136684 | -0.00%               | 1.67%                | 0.43%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-376063.39              | $-3848103.26                               |
| Month 2  | $-1425999.46             | $15356415.78                               |
| Month 3  | $-524946.21              | $1294892.67                                |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                       | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CIFC Funding Ltd                           | CIFC Funding 2019-I Ltd.                                                        | CUSIP: 12553DAQ0<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $923771.66    | 0.10%             | 2032-04-20      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2019-V Ltd.                                                        | CUSIP: 12555GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $452551.26    | 0.05%             | 2035-01-15      | Floating      | 10.86%                | Yes           |                  2 | On Loan: No      |
| CNH Equipment Trust                        | CNH Equipment Trust 2019-B                                                      | CUSIP: 12596TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158586 | PA      | $158321.08    | 0.02%             | 2024-08-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust               | CSMC 2020-TMIC                                                                  | CUSIP: 126390AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1221485.48   | 0.14%             | 2035-12-15      | Floating      | 7.82%                 | Yes           |                  2 | On Loan: No      |
| Milos CLO, LTD                             | Milos CLO Ltd.                                                                  | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2460720.11   | 0.27%             | 2030-10-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                 | MMAF Equipment Finance LLC 2020-A                                               | CUSIP: 60700MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675694 | PA      | $668659.78    | 0.07%             | 2024-04-09      | Fixed         | 0.74%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust               | CSMC 2020-FACT                                                                  | CUSIP: 126395AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $714128.25    | 0.08%             | 2037-10-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                     | Cadence Design Systems, Inc.                                                    | CUSIP: 127387AL2<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   2720000 | PA      | $2699779.52   | 0.30%             | 2024-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTL HLDINGS NE                   | Mondelez International Holdings Netherlands B.V.                                | CUSIP: 60920LAQ7<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | NL        |   1350000 | PA      | $1249898.85   | 0.14%             | 2024-09-24      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                    | Regatta VII Funding Ltd.                                                        | CUSIP: 75887TAN6<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1312624.32   | 0.15%             | 2034-06-20      | Floating      | 11.15%                | Yes           |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                      | Republic Services, Inc.                                                         | CUSIP: 760759AY6<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    580000 | PA      | $520064.54    | 0.06%             | 2025-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                         | Roche Holdings, Inc.                                                            | CUSIP: 771196CA8<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $995356.00    | 0.11%             | 2025-03-10      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                     | Rockford Tower CLO 2020-1 Ltd.                                                  | CUSIP: 77341HAA6<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1592457.68   | 0.18%             | 2032-01-20      | Floating      | 11.14%                | Yes           |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                     | Rockford Tower CLO 2021-2 Ltd.                                                  | CUSIP: 77341MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $628072.45    | 0.07%             | 2034-07-20      | Floating      | 10.64%                | Yes           |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                     | Rockford Tower CLO 2021-3 Ltd.                                                  | CUSIP: 77341PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1157033.88   | 0.13%             | 2034-10-20      | Floating      | 10.96%                | Yes           |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                         | Royalty Pharma PLC                                                              | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   2665000 | PA      | $2387568.17   | 0.27%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                         | Royalty Pharma PLC                                                              | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   1775000 | PA      | $1346584.23   | 0.15%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS/SALLY CAP                   | Sally Holdings LLC / Sally Capital, Inc.                                        | CUSIP: 79546VAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1442480.65   | 0.16%             | 2025-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                        | Charles Schwab Corp.                                                            | CUSIP: 808513BQ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2669807.25   | 0.30%             | 2026-05-13      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                            | Sealed Air Corp.                                                                | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |   2035000 | PA      | $1759849.69   | 0.20%             | 2026-10-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| 7-ELEVEN INC                               | 7-Eleven, Inc.                                                                  | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   2936000 | PA      | $2795204.12   | 0.31%             | 2024-02-10      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| 7-ELEVEN INC                               | 7-Eleven, Inc.                                                                  | CUSIP: 817826AC4<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    615000 | PA      | $539283.66    | 0.06%             | 2026-02-10      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Shackleton CLO LTD                         | Shackleton 2013-IV-R CLO Ltd.                                                   | CUSIP: 81882HAG0<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2162768.30   | 0.24%             | 2031-04-13      | Floating      | 6.81%                 | Yes           |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                        | Sherwin-Williams Co.                                                            | CUSIP: 824348BR6<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    480000 | PA      | $472108.32    | 0.05%             | 2025-08-08      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                    | Simon Property Group LP                                                         | CUSIP: 828807DR5<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247712.00    | 0.03%             | 2024-01-11      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                        | Sound Point Clo XIV Ltd.                                                        | CUSIP: 83609MAA0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $455037.66    | 0.05%             | 2029-01-23      | Floating      | 10.97%                | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                        | SOUND POINT CLO XXII Ltd.                                                       | CUSIP: 83611KAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1774192.20   | 0.20%             | 2032-01-20      | Floating      | 7.74%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD                        | Sound Point CLO XXIV                                                            | CUSIP: 83614NAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1241205.83   | 0.14%             | 2034-10-25      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CO                                | Southern Co.                                                                    | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1994640.00   | 0.22%             | 2023-05-10      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                          | Southern Power Co.                                                              | CUSIP: 843646AW0<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    250000 | PA      | $220346.50    | 0.02%             | 2026-01-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                             | Starbucks Corp.                                                                 | CUSIP: 855244BB4<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    240000 | PA      | $238670.40    | 0.03%             | 2024-02-14      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage              | STAR 2021-1 Trust                                                               | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1071888 | PA      | $973264.40    | 0.11%             | 2065-05-25      | Variable      | 1.22%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential              | Starwood Mortgage Residential Trust 2021-5                                      | CUSIP: 85573QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8670220 | PA      | $7024387.17   | 0.78%             | 2066-09-25      | Variable      | 1.92%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential              | Starwood Mortgage Residential Trust 2022-1                                      | CUSIP: 85573TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5417485 | PA      | $4560525.35   | 0.51%             | 2066-12-25      | Variable      | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Stratus CLO                                | Stratus CLO 2021-1 Ltd.                                                         | CUSIP: 863162AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1940208.78   | 0.22%             | 2029-12-29      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Stratus CLO                                | Stratus CLO 2021-1 Ltd.                                                         | CUSIP: 863162AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1390997.85   | 0.16%             | 2029-12-29      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd                           | Symphony CLO XIV Ltd.                                                           | CUSIP: 87159QAW8<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |   1040000 | PA      | $990095.48    | 0.11%             | 2026-07-14      | Floating      | 8.61%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd                           | Symphony CLO XVII Ltd.                                                          | CUSIP: 87165XAL9<br>LEI: 549300X84MR2MGY6OR68 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $715812.02    | 0.08%             | 2028-04-15      | Floating      | 9.63%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO Ltd                           | Symphony CLO XX Ltd.                                                            | CUSIP: 87166VAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1685275.35   | 0.19%             | 2032-01-16      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Symphony Static CLO Ltd                    | Symphony Static CLO I Ltd.                                                      | CUSIP: 87190WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2200655.03   | 0.25%             | 2029-10-25      | Floating      | 9.71%                 | Yes           |                  2 | On Loan: No      |
| TCI-Symphony CLO                           | TCI-Symphony CLO 2016-1 Ltd.                                                    | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3438655.21   | 0.38%             | 2032-10-13      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| TCI-Symphony CLO                           | TCI-Symphony CLO 2017-1 Ltd.                                                    | CUSIP: 87232RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1064000 | PA      | $917695.85    | 0.10%             | 2030-07-15      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| TICP CLO Ltd                               | TICP CLO V 2016-1 Ltd.                                                          | CUSIP: 87248MAD2<br>LEI: 254900FRG2I3OIEKD552 | Long             | ABS-CBDO         | CORP              | KY        |   2100000 | PA      | $1803173.20   | 0.20%             | 2031-07-17      | Floating      | 9.83%                 | Yes           |                  2 | On Loan: No      |
| TICP CLO Ltd                               | TICP CLO I-2 Ltd.                                                               | CUSIP: 87248YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1724097.57   | 0.19%             | 2028-04-26      | Floating      | 10.10%                | Yes           |                  2 | On Loan: No      |
| TICP CLO Ltd                               | TICP CLO II-2 Ltd.                                                              | CUSIP: 87249UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $601026.56    | 0.07%             | 2028-04-20      | Floating      | 9.91%                 | Yes           |                  2 | On Loan: No      |
| T-MOBILE USA INC                           | T-Mobile USA, Inc.                                                              | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1131022.10   | 0.13%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor             | Taubman Centers Commercial Mortgage Trust 2022-DPM                              | CUSIP: 87666YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2434007.50   | 0.27%             | 2037-05-15      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                     | Tesla Auto Lease Trust 2021-A                                                   | CUSIP: 88161FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    969020 | PA      | $960752.11    | 0.11%             | 2025-03-20      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                     | Tesla Auto Lease Trust 2021-B                                                   | CUSIP: 88161KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1531004 | PA      | $1496138.15   | 0.17%             | 2025-09-22      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd                         | THL Credit Wind River 2013-2 CLO Ltd.                                           | CUSIP: 88432ABC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $829805.97    | 0.09%             | 2030-10-18      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| CAMPBELL SOUP CO                           | Campbell Soup Co.                                                               | CUSIP: 134429BA6<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2502864.00   | 0.28%             | 2025-03-19      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva             | Capital One Prime Auto Receivables Trust 2019-2                                 | CUSIP: 14043TAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141894 | PA      | $141630.71    | 0.02%             | 2024-05-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner              | Toyota Auto Receivables 2021-B Owner Trust                                      | CUSIP: 89190GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85330 | PA      | $85180.46     | 0.01%             | 2024-01-16      | Fixed         | 0.14%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner              | Toyota Auto Receivables 2021-B Owner Trust                                      | CUSIP: 89190GAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6132000 | PA      | $5897659.49   | 0.66%             | 2025-11-17      | Fixed         | 0.26%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                   | Toyota Motor Credit Corp.                                                       | CUSIP: 89236TKC8<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   3490000 | PA      | $3419899.86   | 0.38%             | 2025-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner              | Toyota Auto Receivables 2021-D Owner Trust                                      | CUSIP: 89238JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $5890268.75   | 0.66%             | 2026-04-15      | Fixed         | 0.71%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                           | Trinitas CLO XXI Ltd.                                                           | CUSIP: 89640JAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1150000 | PA      | $1150000.00   | 0.13%             | 2036-01-20      | Floating      | 2.18%                 | Yes           |                  2 | On Loan: No      |
| TREASURY BILL                              | United States Treasury Bill                                                     | CUSIP: 912796XS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8985537.00   | 1.00%             | 2023-01-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                              | United States Treasury Bill                                                     | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6965231.00   | 0.78%             | 2023-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                              | United States Treasury Bill                                                     | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8938611.00   | 1.00%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                              | United States Treasury Bill                                                     | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9150000 | PA      | $9079984.20   | 1.01%             | 2023-03-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                              | United States Treasury Bill                                                     | CUSIP: 912796Z69<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9500000 | PA      | $9422926.50   | 1.05%             | 2023-03-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note                                                     | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        | -26500000 | PA      | $-23638821.50 | -2.64%            | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note                                                     | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        | -34450000 | PA      | $-29740030.45 | -3.32%            | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note                                                     | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -3253000 | PA      | $-2760603.15  | -0.31%            | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note                                                     | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -320000 | PA      | $-295000.00   | -0.03%            | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi             | Carlyle U.S. CLO 2016-4 Ltd.                                                    | CUSIP: 14311VAE6<br>LEI: 54930054F35TGSKQ6V76 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $842609.06    | 0.09%             | 2027-10-20      | Floating      | 9.64%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                    | CarMax Auto Owner Trust 2021-2                                                  | CUSIP: 14314QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3429126 | PA      | $3300767.16   | 0.37%             | 2026-02-17      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note                                                     | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        | -19585000 | PA      | $-18943904.61 | -2.11%            | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note                                                     | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -8800000 | PA      | $-8833000.00  | -0.98%            | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                            | United States Treasury Note                                                     | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |  -3100000 | PA      | $-3164179.30  | -0.35%            | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                      | Universal Health Services, Inc.                                                 | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   2235000 | PA      | $1783954.09   | 0.20%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi             | Carlyle U.S. CLO 2020-2 Ltd.                                                    | CUSIP: 14315GAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4843258.39   | 0.54%             | 2035-01-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                    | Carmax Auto Owner Trust 2019-3                                                  | CUSIP: 14315PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    914748 | PA      | $911155.78    | 0.10%             | 2024-08-15      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                            | VMC Finance 2021-HT1 LLC                                                        | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1118812 | PA      | $1087654.64   | 0.12%             | 2037-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                     | Verizon Communications, Inc.                                                    | CUSIP: 92343VGE8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3975000 | PA      | $3877338.23   | 0.43%             | 2026-03-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                 | Verus Securitization Trust 2021-5                                               | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503872 | PA      | $1207837.62   | 0.13%             | 2066-09-25      | Variable      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                     | VICI Properties LP / VICI Note Co., Inc.                                        | CUSIP: 92564RAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2915000 | PA      | $2753100.90   | 0.31%             | 2025-02-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Visio 2020-1 Trust                         | Visio 2020-1 Trust                                                              | CUSIP: 92837KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199455 | PA      | $1128442.25   | 0.13%             | 2055-08-25      | Variable      | 1.54%                 | Yes           |                  2 | On Loan: No      |
| VMWARE INC                                 | VMware, Inc.                                                                    | CUSIP: 928563AD7<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   2515000 | PA      | $2468512.74   | 0.28%             | 2025-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                   | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1372355.06   | 0.15%             | 2028-11-13      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                   | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BJ0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    300000 | PA      | $288670.20    | 0.03%             | 2023-11-22      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2015-1 Ltd.                                                            | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |   2262844 | PA      | $2239500.80   | 0.25%             | 2029-01-18      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2015-1 Ltd.                                                            | CUSIP: 92914NAQ4<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1847856.53   | 0.21%             | 2029-01-18      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                    | Carmax Auto Owner Trust 2019-4                                                  | CUSIP: 14315WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1396687 | PA      | $1384140.41   | 0.15%             | 2024-11-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                    | Carmax Auto Owner Trust 2021-1                                                  | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6390671 | PA      | $6179120.86   | 0.69%             | 2025-12-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                    | CarMax Auto Owner Trust 2022-2                                                  | CUSIP: 14317HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1666554 | PA      | $1650381.28   | 0.18%             | 2025-05-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                          | Cedar Funding II CLO Ltd.                                                       | CUSIP: 15032TBE5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |   1149000 | PA      | $1117670.00   | 0.12%             | 2034-04-20      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2016-3 Ltd.                                                            | CUSIP: 92915HAU7<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1649809.63   | 0.18%             | 2031-10-18      | Floating      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | VOYA CLO 2017-2                                                                 | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1681592 | PA      | $1652165.13   | 0.18%             | 2030-06-07      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2017-1 Ltd.                                                            | CUSIP: 92916MAD3<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1138806.95   | 0.13%             | 2030-04-17      | Floating      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2013-2 Ltd.                                                            | CUSIP: 92916WAJ8<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1691614.24   | 0.19%             | 2031-04-25      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2013-1 Ltd.                                                            | CUSIP: 92917CAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $863408.48    | 0.10%             | 2030-10-15      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2019-4 Ltd.                                                            | CUSIP: 92917UAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $873292.42    | 0.10%             | 2035-01-15      | Floating      | 10.79%                | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2020-2 Ltd.                                                            | CUSIP: 92918JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1767327.12   | 0.20%             | 2034-07-19      | Floating      | 10.63%                | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2022-1 Ltd.                                                            | CUSIP: 92919HAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1346162.82   | 0.15%             | 2035-04-20      | Floating      | 11.43%                | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd                               | Voya CLO 2022-3 Ltd.                                                            | CUSIP: 92919WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $966932.91    | 0.11%             | 2034-10-20      | Floating      | 12.61%                | Yes           |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                       | Waste Management, Inc.                                                          | CUSIP: 94106LBA6<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1629646.07   | 0.18%             | 2025-03-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                          | Wellfleet CLO 2015-1 Ltd.                                                       | CUSIP: 949496BQ5<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $704535.87    | 0.08%             | 2029-07-20      | Floating      | 7.74%                 | Yes           |                  2 | On Loan: No      |
| Wellman Park CLO Ltd                       | Wellman Park CLO Ltd.                                                           | CUSIP: 949723AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4369258.28   | 0.49%             | 2034-07-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                       | Western Digital Corp.                                                           | CUSIP: 958102AM7<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1014714.00   | 0.11%             | 2026-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                         | Wind River 2013-1 CLO Ltd.                                                      | CUSIP: 97316FAA9<br>LEI: 549300HNMTL6LADXI169 | Long             | ABS-CBDO         | CORP              | KY        |   2533069 | PA      | $2500781.21   | 0.28%             | 2030-07-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Worldwide Plaza Trust                      | Worldwide Plaza Trust 2017-WWP                                                  | CUSIP: 98162JAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1575000 | PA      | $897505.88    | 0.10%             | 2036-11-10      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| World OMNI Select Auto Trust               | World Omni Select Auto Trust 2021-A                                             | CUSIP: 98163HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392752 | PA      | $391972.25    | 0.04%             | 2025-02-18      | Fixed         | 0.29%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr             | World Omni Auto Receivables Trust 2020-A                                        | CUSIP: 98163MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1820766 | PA      | $1800676.08   | 0.20%             | 2025-04-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Tr             | World Omni Auto Receivables Trust 2020-B                                        | CUSIP: 98163WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1835452 | PA      | $1803959.39   | 0.20%             | 2025-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                          | Generate CLO 3 Ltd.                                                             | CUSIP: 98625UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2256271 | PA      | $2231786.53   | 0.25%             | 2029-10-20      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Generate CLO Ltd.                          | Generate CLO 3 Ltd.                                                             | CUSIP: 98625UBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1200094.68   | 0.13%             | 2029-10-20      | Floating      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| ZF NA CAPITAL                              | ZF North America Capital, Inc.                                                  | CUSIP: 98877DAC9<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    700000 | PA      | $662784.50    | 0.07%             | 2025-04-29      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| VOYA EURO CLO                              | Voya Euro CLO I DAC                                                             | CUSIP: 999999999<br>LEI: 635400EFYWXM2GM8RL10 | Long             | ABS-CBDO         | CORP              | IE        |   1750000 | PA      | $1652902.87   | 0.18%             | 2030-10-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO                  | CIFC European Funding CLO III DAC                                               | CUSIP: BCC2QB6H0<br>LEI: 5493000EF0244RPYUG32 | Long             | ABS-CBDO         | CORP              | IE        |   2800000 | PA      | $2663751.60   | 0.30%             | 2034-01-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers             | Neuberger Berman Loan Advisers Euro CLO                                         | CUSIP: BCC2QMIT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $918591.52    | 0.10%             | 2034-04-17      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                | Harvest CLO XVI DAC                                                             | CUSIP: BCC2QVDE5<br>LEI: 635400HU8ASOJYEX2I14 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $972206.12    | 0.11%             | 2031-10-15      | Floating      | 2.68%                 | Yes           |                  2 | On Loan: No      |
| Dartry Park CLO                            | Dartry Park CLO DAC                                                             | CUSIP: BCC2QW7N0<br>LEI: 549300EK539GMKPB1K76 | Long             | ABS-CBDO         | CORP              | IE        |   2250000 | PA      | $2128680.61   | 0.24%             | 2034-01-28      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management EUR             | GoldenTree Loan Management EUR CLO 5 DAC                                        | CUSIP: 999999999<br>LEI: 549300CU7V3RVI7QLH51 | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $832969.65    | 0.09%             | 2034-04-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                           | Invesco Euro CLO                                                                | CUSIP: BCC313H40<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $1981660.42   | 0.22%             | 2034-07-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Barings Euro CLO DAC                       | Barings Euro CLO 2015-1 DAC                                                     | CUSIP: 999999999<br>LEI: 635400AW6SPWCAGJKI82 | Long             | ABS-CBDO         | CORP              | IE        |   3500000 | PA      | $3196849.82   | 0.36%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                  | Dryden 91 Euro CLO 2021 DAC                                                     | CUSIP: 999999999<br>LEI: 635400PXNO7XUODXYQ10 | Long             | ABS-CBDO         | CORP              | IE        |   1500000 | PA      | $1449549.35   | 0.16%             | 2035-04-18      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi             | Carlyle Global Market Strategies Euro CLO 2022-5 DAC                            | CUSIP: 999999999<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   4000000 | PA      | $4197617.43   | 0.47%             | 2035-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dryden Leveraged Loan CDO                  | Dryden 103 Euro Clo 2021 DAC                                                    | CUSIP: BCC387FV6<br>LEI: 635400TTYXOT2GXFXJ41 | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2062559.73   | 0.23%             | 2036-01-19      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING                             | Axalta Coating Systems Dutch Holding B B.V.                                     | CUSIP: 999999999<br>LEI: 5493007DMEBZH3CQ5E51 | Long             | DBT              | CORP              | NL        |    851000 | PA      | $875108.93    | 0.10%             | 2025-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                    | Standard Industries, Inc.                                                       | CUSIP: 999999999<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1149851.48   | 0.13%             | 2026-11-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                  | IQVIA, Inc.                                                                     | CUSIP: 999999999<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $905761.08    | 0.10%             | 2029-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                | Chemours Co.                                                                    | CUSIP: 16384YAG2<br>LEI: 549300M1BOLNXL8DOV14 | Long             | LON              | CORP              | US        |   1250840 | PA      | $1300448.02   | 0.14%             | 2025-04-03      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                | Asurion LLC                                                                     | CUSIP: 999999999<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    992208 | PA      | $966162.35    | 0.11%             | 2024-11-03      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                        | Select Medical Corp.                                                            | CUSIP: 816194AV6<br>LEI: 549300X05KS0JKR8CB50 | Long             | LON              | CORP              | US        |   2215128 | PA      | $2177194.04   | 0.24%             | 2025-03-06      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO 1 Ltd                           | AB BSL CLO 1 Ltd.                                                               | CUSIP: 00038KAN1<br>LEI: 549300UT754V8VGM9T25 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4837609.44   | 0.54%             | 2035-01-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| OREGON CLEAN ENERGY LLC                    | Oregon Clean Energy LLC                                                         | CUSIP: 68583LAF2<br>LEI: 549300F5O4JADXBZO874 | Long             | LON              | CORP              | US        |    832988 | PA      | $816457.54    | 0.09%             | 2026-03-01      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                  | IQVIA, Inc.                                                                     | CUSIP: 44969CBG4<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |   1000000 | PA      | $1071547.85   | 0.12%             | 2024-03-07      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| HOSTESS BRANDS LLC                         | Hostess Brands LLC                                                              | CUSIP: 44108HAJ0<br>LEI: 549300SW7FLS4O41LD19 | Long             | LON              | CORP              | US        |   1403291 | PA      | $1401172.52   | 0.16%             | 2025-08-03      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ABC SUPPLY CO INC                          | American Builders & Contractors Supply Co., Inc.                                | CUSIP: 02474RAH6<br>LEI: 549300H5GQ4C1BEKG397 | Long             | LON              | CORP              | US        |   2226982 | PA      | $2212272.86   | 0.25%             | 2027-01-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                   | Vistra Operations Co. LLC                                                       | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |   1895823 | PA      | $1882145.03   | 0.21%             | 2025-12-31      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SBA SENIOR FINANCE II LLC                  | SBA Senior Finance II LLC                                                       | CUSIP: 78404XAH8<br>LEI: 549300PVT2ADFWMYEW87 | Long             | LON              | CORP              | US        |   2474093 | PA      | $2468947.21   | 0.28%             | 2025-04-11      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| PCI GAMING AUTHORITY                       | PCI Gaming Authority                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |   2461760 | PA      | $2451507.23   | 0.27%             | 2026-05-31      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                            | SkyMiles IP Ltd.                                                                | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |    745000 | PA      | $760786.55    | 0.08%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| FINCO I LLC                                | FinCo I LLC                                                                     | CUSIP: 31774BAE4<br>LEI: 5493001RSEZ0X6VJMC68 | Long             | LON              | CORP              | US        |   1870158 | PA      | $1866651.08   | 0.21%             | 2025-06-27      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| TRAVELPORT FINANCE LUXEM                   | Travelport Finance Luxembourg Sarl                                              | CUSIP: 999999999<br>LEI: 2221005SGFWYZHL40F77 | Long             | LON              | CORP              | LU        |     13020 | PA      | $13065.84     | 0.00%             | 2025-02-28      | Floating      | 11.00%                | No            |                  2 | On Loan: No      |
| GEMINI HDPE LLC                            | Gemini HDPE LLC                                                                 | CUSIP: 36866KAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    787410 | PA      | $778555.57    | 0.09%             | 2027-12-31      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                  | Pike Corp.                                                                      | CUSIP: 72108PAR5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |   1350000 | PA      | $1333651.50   | 0.15%             | 2028-01-21      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                     | CenterPoint Energy, Inc.                                                        | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   5120000 | PA      | $4546339.84   | 0.51%             | 2026-06-01      | Fixed         | 1.45%                 | 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        |   2700000 | PA      | $2648883.60   | 0.30%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                       | WMG Acquisition Corp.                                                           | CUSIP: 92929LAV0<br>LEI: 549300NAS11NXI33CP80 | Long             | LON              | CORP              | US        |   2496399 | PA      | $2471435.01   | 0.28%             | 2028-01-20      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                      | Jane Street Group LLC                                                           | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |   1688212 | PA      | $1641389.51   | 0.18%             | 2028-01-26      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                           | AmWINS Group, Inc.                                                              | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |   2682023 | PA      | $2637809.80   | 0.29%             | 2028-02-19      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| PLAYTIKA HOLDING CORP                      | Playtika Holding Corp.                                                          | CUSIP: 72814CAF5<br>LEI: 254900E35Z4TKA4UFG64 | Long             | LON              | CORP              | US        |   1231250 | PA      | $1178152.34   | 0.13%             | 2028-03-11      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora             | Chase Home Lending Mortgage Trust 2019-ATR2                                     | CUSIP: 16159GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693324 | PA      | $667486.83    | 0.07%             | 2049-07-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                   | Cheniere Corp.us Christi Holdings LLC                                           | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2365890.70   | 0.26%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2018-II Ltd.                                                       | CUSIP: 17180YAA9<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $653392.53    | 0.07%             | 2031-04-20      | Floating      | 10.09%                | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2018-IV Ltd.                                                       | CUSIP: 17181TAG6<br>LEI: 254900PA63PFHC11GD90 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $929790.21    | 0.10%             | 2031-10-17      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| WEX INC                                    | WEX, Inc.                                                                       | CUSIP: 96208UAT8<br>LEI: T9M5IGROL1TL1G5OV478 | Long             | LON              | CORP              | US        |   2689438 | PA      | $2677672.01   | 0.30%             | 2028-04-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| BELRON FINANCE US LLC                      | Belron Finance U.S. LLC                                                         | CUSIP: 08078UAF0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1231250 | PA      | $1222594.31   | 0.14%             | 2028-04-30      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2018-IV Ltd.                                                       | CUSIP: 17182HAA4<br>LEI: 254900PA63PFHC11GD90 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $893660.09    | 0.10%             | 2031-10-17      | Floating      | 9.98%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage              | Citigroup Commercial Mortgage Trust 2018-TBR                                    | CUSIP: 17326MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1176319.20   | 0.13%             | 2036-12-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| ORGANON & CO                               | Organon & Co.                                                                   | CUSIP: 68621XAE3<br>LEI: 549300AMCKY57OK2CO56 | Long             | LON              | CORP              | US        |   1117000 | PA      | $1108924.09   | 0.12%             | 2028-06-02      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| ALLSPRING BUYER LLC                        | Allspring Buyer LLC                                                             | CUSIP: 98922AAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2503497 | PA      | $2474080.97   | 0.28%             | 2028-11-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| FLEETCOR TECHNOLOGIES INC                  | FleetCor Technologies Operating Co. LLC                                         | CUSIP: 33903RAY5<br>LEI: 549300FKKKZCXLK48427 | Long             | LON              | CORP              | US        |   2465000 | PA      | $2443430.85   | 0.27%             | 2028-04-30      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| DEDALUS FINANCE GMBH                       | Dedalus Finance GmbH                                                            | CUSIP: 999999999<br>LEI: 391200XH4I9QLL23DB49 | Long             | LON              | CORP              | DE        |   1500000 | PA      | $1461817.60   | 0.16%             | 2027-05-31      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage              | Citigroup Commercial Mortgage Trust 2018-TBR                                    | CUSIP: 17326MAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $724917.75    | 0.08%             | 2036-12-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Clear Creek CLO Ltd                        | Clear Creek CLO                                                                 | CUSIP: 18452LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $714807.11    | 0.08%             | 2030-10-20      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| ENTAIN HOLDINGS GIBRALTA                   | Entain Holdings Gibraltar Ltd.                                                  | CUSIP: X3000CAB7<br>LEI: N/A                  | Long             | LON              | CORP              | GI        |   2469943 | PA      | $2455667.06   | 0.27%             | 2027-03-16      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TRAVELPORT FINANCE LUXEM                   | Travelport Finance Luxembourg Sarl                                              | CUSIP: L9308UAX8<br>LEI: 2221005SGFWYZHL40F77 | Long             | LON              | CORP              | LU        |      2566 | PA      | $1764.10      | 0.00%             | 2026-05-29      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| IRIDIUM SATELLITE LLC                      | Iridium Satellite LLC                                                           | CUSIP: 46269KAL8<br>LEI: 254900615BJ7139TFM33 | Long             | LON              | CORP              | US        |   1393376 | PA      | $1382800.49   | 0.15%             | 2026-11-04      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| NORTONLIFELOCK INC                         | Gen Digital, Inc.                                                               | CUSIP: 66877AAD0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | LON              | CORP              | US        |   2500000 | PA      | $2463025.00   | 0.27%             | 2029-09-12      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| COVANTA HOLDING CORP                       | Covanta Holding Corp.                                                           | CUSIP: 22282GAC1<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | LON              | CORP              | US        |   2496129 | PA      | $2481426.75   | 0.28%             | 2028-11-30      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| COVANTA HOLDING CORP                       | Covanta Holding Corp.                                                           | CUSIP: 22282GAD9<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | LON              | CORP              | US        |    188389 | PA      | $187279.25    | 0.02%             | 2028-11-30      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| NAB HOLDINGS LLC                           | NAB Holdings LLC                                                                | CUSIP: 62871NAM7<br>LEI: 549300G4QOYNTNBXSH82 | Long             | LON              | CORP              | US        |   2277000 | PA      | $2221782.75   | 0.25%             | 2028-11-23      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| II-VI INC                                  | Coherent Corp.                                                                  | CUSIP: 999999999<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |   1469464 | PA      | $1457708.58   | 0.16%             | 2029-07-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES INC                      | SS&C Technologies, Inc.                                                         | CUSIP: 78466DBG8<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |   1041540 | PA      | $1024943.50   | 0.11%             | 2029-03-22      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES INC                      | SS&C Technologies, Inc.                                                         | CUSIP: 78466DBH6<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |   1569362 | PA      | $1544354.49   | 0.17%             | 2029-03-22      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC                  | Go Daddy Operating Co. LLC                                                      | CUSIP: 38017BAT3<br>LEI: 5493005GJOH8HLL11157 | Long             | LON              | CORP              | US        |   1484237 | PA      | $1483717.29   | 0.17%             | 2029-11-10      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| INEOS US FINANCE LLC                       | INEOS U.S. Finance LLC                                                          | CUSIP: G4768PAL5<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |    945039 | PA      | $932044.87    | 0.10%             | 2027-11-08      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                            | ZF Finance GmbH                                                                 | CUSIP: 999999999<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $703208.73    | 0.08%             | 2027-05-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                            | United Group B.V.                                                               | CUSIP: 999999999<br>LEI: 213800PC85O8BJ7DU398 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $583884.07    | 0.07%             | 2028-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                            | ZF Finance GmbH                                                                 | CUSIP: 999999999<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $988675.87    | 0.11%             | 2025-09-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SA                         | Cellnex Telecom S.A.                                                            | CUSIP: 999999999<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $333197.60    | 0.04%             | 2030-10-23      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                      | Cellnex Finance Co., S.A.                                                       | CUSIP: 999999999<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |   1100000 | PA      | $983389.64    | 0.11%             | 2027-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                   | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc.                        | CUSIP: 999999999<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    500000 | PA      | $449059.09    | 0.05%             | 2026-08-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                           | COLT 2021-4 Mortgage Loan Trust                                                 | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6046843 | PA      | $4939000.50   | 0.55%             | 2066-10-25      | Variable      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC                           | COLT 2020-2 Mortgage Loan Trust                                                 | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93763 | PA      | $91875.55     | 0.01%             | 2065-03-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| SCIL IV LLC / SCIL USA H                   | SCIL IV LLC / SCIL USA Holdings LLC                                             | CUSIP: 999999999<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1643000 | PA      | $1680327.16   | 0.19%             | 2026-11-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| EURO CURRENCY  /                           | EURO CURRENCY  /                                                                | CUSIP: 999999999<br>LEI: N/A                  | Long             | STIV             |  | XX        |   2559986 | OU      | $2740297.59   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Treasury Portfolio                | Fidelity Treasury Portfolio - Class I                                           | CUSIP: 316175504<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  11370161 | PA      | $11370160.88  | 1.27%             |  |  |  | No            |                  2 | On Loan: No      |
| 5YR T-NOTE FUTURE MAR 23   /               | 5YR T-NOTE FUTURE MAR 23   /                                                    | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -50 | NC      | $60791.51     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| U.S. 10YR NOTE (CBT) MAR 23   /            | U.S. 10YR NOTE (CBT) MAR 23   /                                                 | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -50 | NC      | $108442.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 01/05/2023   / | EUR FORWARD PALMER CONTRACT 01/05/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -1000000 | OU      | $-1070904.59  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 01/11/2023   / | EUR FORWARD PALMER CONTRACT 01/11/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -902500 | OU      | $-966915.94   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 01/12/2023   / | EUR FORWARD PALMER CONTRACT 01/12/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -1496250 | OU      | $-1603162.22  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 12/07/2023   / | EUR FORWARD PALMER CONTRACT 12/07/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -1950000 | OU      | $-2133871.43  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 01/25/2024   / | EUR FORWARD PALMER CONTRACT 01/25/2024   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -3500000 | OU      | $-3842295.60  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 02/03/2023   / | EUR FORWARD PALMER CONTRACT 02/03/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        | -15800000 | OU      | $-16953835.67 | -1.89%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 03/14/2023   / | EUR FORWARD PALMER CONTRACT 03/14/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -2250000 | OU      | $-2420878.52  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 04/18/2023   / | EUR FORWARD PALMER CONTRACT 04/18/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -1500000 | OU      | $-1616887.30  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORP/THE                               | AES Corp.                                                                       | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2195985.61   | 0.24%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                               | AES Corp.                                                                       | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1264609.69   | 0.14%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALM Loan Funding                           | ALM 2020 Ltd.                                                                   | CUSIP: 00166DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $881969.77    | 0.10%             | 2029-10-15      | Floating      | 10.08%                | Yes           |                  2 | On Loan: No      |
| American Money Management Corp             | AMMC CLO XIII Ltd.                                                              | CUSIP: 00176DAQ2<br>LEI: 549300R4YQWFRASHVE93 | Long             | ABS-CBDO         | CORP              | KY        |   2095240 | PA      | $2075647.41   | 0.23%             | 2029-07-24      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| AON GLOBAL LTD                             | Aon Global Ltd.                                                                 | CUSIP: 00185AAF1<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |   2750000 | PA      | $2685523.50   | 0.30%             | 2024-06-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                   | AT&T, Inc.                                                                      | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3785000 | PA      | $3768092.41   | 0.42%             | 2024-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 09/18/2023   / | EUR FORWARD PALMER CONTRACT 09/18/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -3920000 | OU      | $-4267379.90  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                               | Comcast Corp.                                                                   | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   4570000 | PA      | $4391660.32   | 0.49%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                               | Comcast Corp.                                                                   | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    410000 | PA      | $415826.51    | 0.05%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                        | COMM 2018-HCLV Mortgage Trust                                                   | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2350050.00   | 0.26%             | 2033-09-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                      | AIMCO CLO 18 Ltd.                                                               | CUSIP: 00889EAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2500000 | PA      | $2438691.23   | 0.27%             | 2035-07-20      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                      | AIMCO CLO Series 2017-A                                                         | CUSIP: 00900CAL8<br>LEI: 549300MMTPNJGGRMPB33 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1704799.73   | 0.19%             | 2034-04-20      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Aimco                                      | AIMCO CLO Series 2018-A                                                         | CUSIP: 00900GAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $942507.65    | 0.11%             | 2031-04-17      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING                    | Alcoa Nederland Holding B.V.                                                    | CUSIP: 013822AC5<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1480327.50   | 0.17%             | 2028-05-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust              | Alen 2021-ACEN Mortgage Trust                                                   | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2645000 | PA      | $2434537.35   | 0.27%             | 2034-04-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Allegany Park CLO, Ltd.                    | Allegany Park CLO Ltd.                                                          | CUSIP: 01714PAJ8<br>LEI: 549300D5KL0IVFLIND32 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $850477.60    | 0.09%             | 2035-01-20      | Floating      | 10.36%                | Yes           |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                    | American Electric Power Co., Inc.                                               | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2093294.84   | 0.23%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                        | American Express Co.                                                            | CUSIP: 025816BK4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1948596.00   | 0.22%             | 2024-12-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                        | American Express Co.                                                            | CUSIP: 025816CJ6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1109823.06   | 0.12%             | 2023-11-03      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                        | American Express Co.                                                            | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1495454.65   | 0.17%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                     | American Honda Finance Corp.                                                    | CUSIP: 02665WDY4<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   1813000 | PA      | $1696003.48   | 0.19%             | 2024-08-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.              | Anchorage Credit Funding 3 Ltd.                                                 | CUSIP: 03330EAN4<br>LEI: 5493003NNQWXMTSTMF21 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1643350.98   | 0.18%             | 2039-01-28      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                     | Anglo American Capital PLC                                                      | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   3100000 | PA      | $3085042.50   | 0.34%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Annisa CLO Ltd                             | Annisa CLO Ltd. 2016-2                                                          | CUSIP: 036011AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1395084.11   | 0.16%             | 2031-07-20      | Floating      | 7.24%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                               | Ares XXXVIII CLO Ltd.                                                           | CUSIP: 04015UAL2<br>LEI: 6354004TAEXDOTEJZN31 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $853091.19    | 0.10%             | 2030-04-20      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                               | ARES XLIV CLO Ltd.                                                              | CUSIP: 04016NAZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $670460.31    | 0.07%             | 2034-04-15      | Floating      | 10.95%                | Yes           |                  2 | On Loan: No      |
| 522 Funding CLO LTD                        | ASSURANT CLO Ltd.                                                               | CUSIP: 04623TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1968129.53   | 0.22%             | 2031-04-20      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| ATLANTICA SUSTAIN INFRA                    | Atlantica Sustainable Infrastructure PLC                                        | CUSIP: 04916WAA2<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |    555000 | PA      | $493175.22    | 0.05%             | 2028-06-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| CORE 2019-CORE MORTGAGE TRUST              | CORE 2019-CORE Mortgage Trust                                                   | CUSIP: 21871FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205813 | PA      | $200077.88    | 0.02%             | 2031-12-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Crestline Denali CLO XIV, LTD              | Crestline Denali CLO XIV Ltd.                                                   | CUSIP: 22615MAU6<br>LEI: 549300SBJ7CCHEFNE215 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $659803.77    | 0.07%             | 2031-10-23      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                          | Atmos Energy Corp.                                                              | CUSIP: 049560AR6<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $2648848.55   | 0.30%             | 2029-09-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                            | Atrium IX                                                                       | CUSIP: 04964KAU5<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |    769600 | PA      | $719838.30    | 0.08%             | 2030-05-28      | Floating      | 8.34%                 | Yes           |                  2 | On Loan: No      |
| Atrium CDO Corp                            | Madison Park Funding XLI Ltd.                                                   | CUSIP: 04965CAQ1<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |   1967500 | PA      | $1853415.32   | 0.21%             | 2027-04-22      | Floating      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| AVANGRID INC                               | Avangrid, Inc.                                                                  | CUSIP: 05351WAA1<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3347736.00   | 0.37%             | 2024-12-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Crestline Denali CLO XV, Ltd.              | Crestline Denali CLO XV Ltd.                                                    | CUSIP: 22616CAG8<br>LEI: 254900I3X14OTGXOC969 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $681428.25    | 0.08%             | 2030-04-20      | Floating      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| DLLST LLC                                  | DLLST 2022-1 LLC                                                                | CUSIP: 23292GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87529 | PA      | $87375.24     | 0.01%             | 2023-05-22      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S             | BBCMS 2019-BWAY Mortgage Trust                                                  | CUSIP: 05492NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550000 | PA      | $2367121.65   | 0.26%             | 2034-11-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S             | BBCMS 2019-BWAY Mortgage Trust                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1727912.00   | 0.19%             | 2034-11-15      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S             | BBCMS 2020-BID Mortgage Trust                                                   | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2562960.75   | 0.29%             | 2037-10-15      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| BAE SYSTEMS HOLDINGS INC                   | BAE Systems Holdings, Inc.                                                      | CUSIP: 05523UAK6<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $977143.00    | 0.11%             | 2024-10-07      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| DLLST LLC                                  | DLLST 2022-1 LLC                                                                | CUSIP: 23292GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3272336.10   | 0.36%             | 2024-01-22      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                       | DBUBS 2011-LC3 Mortgage Trust                                                   | CUSIP: 23305YAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2841188 | PA      | $2712553.02   | 0.30%             | 2044-05-10      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S             | BBCMS 2018-TALL Mortgage Trust                                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2548000 | PA      | $2358940.95   | 0.26%             | 2037-03-15      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S             | BBCMS 2018-TALL Mortgage Trust                                                  | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $857489.00    | 0.10%             | 2037-03-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BFLD Trust                                 | BFLD Trust                                                                      | CUSIP: 05554BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3025000 | PA      | $2891936.30   | 0.32%             | 2038-06-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                         | BMW U.S. Capital LLC                                                            | CUSIP: 05565EBH7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    950000 | PA      | $926930.20    | 0.10%             | 2024-04-18      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                         | BMW U.S. Capital LLC                                                            | CUSIP: 05565EBQ7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    500000 | PA      | $474266.00    | 0.05%             | 2024-04-01      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                         | BMW U.S. Capital LLC                                                            | CUSIP: 05565EBV6<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $2159501.46   | 0.24%             | 2024-08-12      | Floating      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                  | BPR Trust 2021-WILL                                                             | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2888755 | PA      | $2788691.27   | 0.31%             | 2038-06-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                  | BPR Trust 2021-WILL                                                             | CUSIP: 05591VAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $959694.00    | 0.11%             | 2038-06-15      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                  | BPR Trust 2022-OANA                                                             | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2934756.00   | 0.33%             | 2037-04-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                   | BX Trust 2022-PSB                                                               | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1729985 | PA      | $1728743.09   | 0.19%             | 2039-08-15      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                   | BX Commercial Mortgage Trust 2019-IMC                                           | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3660000 | PA      | $3577496.28   | 0.40%             | 2034-04-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                   | BX Trust 2022-GPA                                                               | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1742970.25   | 0.19%             | 2039-10-15      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| DTE ENERGY CO                              | DTE Energy Co.                                                                  | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1382053.54   | 0.15%             | 2024-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Daimler Trucks Retail Trust                | Daimler Trucks Retail Trust 2022-1                                              | CUSIP: 233869AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3580000 | PA      | $3577637.20   | 0.40%             | 2024-09-16      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                   | BX Trust 2022-CLS                                                               | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1962100.00   | 0.22%             | 2027-10-13      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit             | Bain Capital Credit CLO 2021-7 Ltd.                                             | CUSIP: 05682NAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1257516.72   | 0.14%             | 2035-01-22      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock Ltd                              | Ballyrock CLO 2019-1 Ltd.                                                       | CUSIP: 05875KAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1124456.11   | 0.13%             | 2032-07-15      | Floating      | 10.83%                | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                             | Babson CLO Ltd. 2016-I                                                          | CUSIP: 06759MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1155746.11   | 0.13%             | 2030-07-23      | Floating      | 7.37%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP                           | Duke Energy Corp.                                                               | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1396207.40   | 0.16%             | 2023-06-10      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                        | Eaton Vance CLO 2013-1 Ltd.                                                     | CUSIP: 27830CAJ1<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $1995877.69   | 0.22%             | 2034-01-15      | Floating      | 10.88%                | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                             | Barings CLO Ltd. 2017-I                                                         | CUSIP: 06760CAA8<br>LEI: 549300TE5WUQQTRVZ282 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $874060.35    | 0.10%             | 2029-07-18      | Floating      | 10.19%                | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd                            | Barings CLO Ltd. 2013-I                                                         | CUSIP: 06760EAA4<br>LEI: 54930079SUKCXYW8DR07 | Long             | ABS-CBDO         | CORP              | KY        |   1859931 | PA      | $1851879.44   | 0.21%             | 2028-01-20      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd                            | Barings CLO Ltd. 2013-I                                                         | CUSIP: 06760EAE6<br>LEI: 54930079SUKCXYW8DR07 | Long             | ABS-CBDO         | CORP              | KY        |    825000 | PA      | $799019.92    | 0.09%             | 2028-01-20      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                             | Barings CLO Ltd. 2018-II                                                        | CUSIP: 06760JAL9<br>LEI: 549300I8OP7Y4MO3JF74 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $928562.36    | 0.10%             | 2030-04-15      | Floating      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                             | Barings CLO Ltd. 2019-II                                                        | CUSIP: 06761JAE4<br>LEI: 549300JIWL5GWW2H2336 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1076790.54   | 0.12%             | 2036-04-15      | Floating      | 10.86%                | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                             | Barings CLO Ltd. 2020-IV                                                        | CUSIP: 06762BAJ9<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $959752.07    | 0.11%             | 2032-01-20      | Floating      | 7.94%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                             | Barings CLO Ltd. 2020-I                                                         | CUSIP: 06762MAE6<br>LEI: 549300VMZDDY0435KV08 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $885247.53    | 0.10%             | 2036-10-15      | Floating      | 10.73%                | Yes           |                  2 | On Loan: No      |
| Battalion CLO LTD                          | Battalion Clo XV Ltd.                                                           | CUSIP: 07131AAA2<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491595.20    | 0.05%             | 2033-01-17      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                        | Eaton Vance Clo 2015-1 Ltd.                                                     | CUSIP: 27830KBA1<br>LEI: 5493008YP5U5LTXAO749 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1350787.62   | 0.15%             | 2030-01-20      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                        | Eaton Vance CLO 2020-2 Ltd.                                                     | CUSIP: 27830RAE9<br>LEI: 549300FU3GAH1NNHOO94 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $890079.49    | 0.10%             | 2035-01-15      | Floating      | 10.58%                | Yes           |                  2 | On Loan: No      |
| Battalion CLO LTD                          | Battalion CLO X Ltd.                                                            | CUSIP: 07132JBJ2<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1770478.11   | 0.20%             | 2035-01-25      | Floating      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                   | Baxter International, Inc.                                                      | CUSIP: 071813DB2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    540000 | PA      | $529940.34    | 0.06%             | 2024-11-29      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                        | Eaton Vance CLO 2014-1R Ltd.                                                    | CUSIP: 27830UAA0<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $211301.10    | 0.02%             | 2030-07-15      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                        | Eaton Vance CLO 2019-1 Ltd.                                                     | CUSIP: 27830XAS5<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1776282.92   | 0.20%             | 2031-04-15      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                        | Eaton Vance CLO 2018-1 Ltd.                                                     | CUSIP: 27831BAJ2<br>LEI: 549300R0C8KS2AMEHL81 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $916289.14    | 0.10%             | 2030-10-15      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| EBAY INC                                   | eBay, Inc.                                                                      | CUSIP: 278642AV5<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |   2690000 | PA      | $2519868.26   | 0.28%             | 2025-03-11      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 14 Ltd                         | Elmwood CLO 14 Ltd.                                                             | CUSIP: 29003WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2629996.39   | 0.29%             | 2035-04-20      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| ENBRIDGE INC                               | Enbridge, Inc.                                                                  | CUSIP: 29250NBM6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $4974700.00   | 0.55%             | 2024-02-16      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                         | Energy Transfer LP                                                              | CUSIP: 29273RAY5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1694000 | PA      | $1685101.42   | 0.19%             | 2024-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                         | Energy Transfer LP                                                              | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $2910816.78   | 0.32%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                               | Entegris, Inc.                                                                  | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1333180.17   | 0.15%             | 2028-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 01/12/2023   / | EUR FORWARD PALMER CONTRACT 01/12/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -1807500 | OU      | $-1936652.10  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 02/22/2023   / | EUR FORWARD PALMER CONTRACT 02/22/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |   -855000 | OU      | $-918646.59   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                    | Fannie Mae Grantor Trust 2004-T5                                                | CUSIP: 31394AXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    754398 | PA      | $687510.45    | 0.08%             | 2035-05-28      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T             | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5041695 | PA      | $3902795.92   | 0.44%             | 2066-06-25      | Variable      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage T             | Ellington Financial Mortgage Trust 2021-3                                       | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5848638 | PA      | $4692649.09   | 0.52%             | 2066-09-25      | Variable      | 1.24%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M             | Bear Stearns ARM Trust 2004-3                                                   | CUSIP: 07384MR95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60768 | PA      | $53128.37     | 0.01%             | 2034-07-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners Clo XII Ltd.                                            | CUSIP: 08179HAD2<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1666821.59   | 0.19%             | 2030-10-15      | Floating      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners Clo XII Ltd.                                            | CUSIP: 08179HAE0<br>LEI: 549300CIOPBDYOSN3T91 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1478219.51   | 0.16%             | 2030-10-15      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO III Ltd.                                            | CUSIP: 08180EAW4<br>LEI: 549300Y1V90IQ456QX97 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2844014.48   | 0.32%             | 2029-07-20      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| FISERV INC                                 | Fiserv, Inc.                                                                    | CUSIP: 337738AP3<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   4750000 | PA      | $4606117.75   | 0.51%             | 2025-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                 | Fiserv, Inc.                                                                    | CUSIP: 337738AQ1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    825000 | PA      | $816455.48    | 0.09%             | 2023-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO VIII Ltd.                                           | CUSIP: 08180XAW2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $868290.74    | 0.10%             | 2031-01-20      | Floating      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XIV Ltd.                                            | CUSIP: 08181NAA1<br>LEI: 5493008E17UEFI73RC63 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $413476.63    | 0.05%             | 2031-04-20      | Floating      | 9.59%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XVII Ltd.                                           | CUSIP: 08182AAE0<br>LEI: 5493001ND55H5MJDIQ39 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $919735.85    | 0.10%             | 2032-07-15      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XXIV Ltd.                                           | CUSIP: 08182PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $917980.59    | 0.10%             | 2034-10-20      | Floating      | 10.85%                | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XIX Ltd.                                            | CUSIP: 08183PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $730962.86    | 0.08%             | 2033-01-15      | Floating      | 11.10%                | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XVIII Ltd.                                          | CUSIP: 08186PAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1790679.73   | 0.20%             | 2034-10-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| 522 Funding CLO LTD                        | 522 Funding CLO 2019-5 Ltd.                                                     | CUSIP: 33829UAA1<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1272864.64   | 0.14%             | 2035-04-15      | Floating      | 10.62%                | Yes           |                  2 | On Loan: No      |
| 522 Funding CLO LTD                        | 522 Funding CLO 2019-5 Ltd.                                                     | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   6250000 | PA      | $6063348.08   | 0.68%             | 2035-04-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XVIII Ltd.                                          | CUSIP: 08186QAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $910027.27    | 0.10%             | 2034-10-15      | Floating      | 10.83%                | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XXI Ltd.                                            | CUSIP: 08186RAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1625560.37   | 0.18%             | 2034-10-15      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| 522 Funding CLO LTD                        | 522 Funding CLO 2019-5 Ltd.                                                     | CUSIP: 33829WAE9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5253286.26   | 0.59%             | 2035-04-15      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                        | ASSURANT CLO I Ltd.                                                             | CUSIP: 33835QAA2<br>LEI: 635400A6LSLGJQHVOZ36 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1540511.17   | 0.17%             | 2034-10-20      | Floating      | 11.44%                | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                           | Flatiron CLO 19 Ltd.                                                            | CUSIP: 33883JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2927974.24   | 0.33%             | 2034-11-16      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                           | Flatiron CLO 20 Ltd.                                                            | CUSIP: 33883MAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1908236.71   | 0.21%             | 2033-11-20      | Floating      | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                           | Flatiron CLO 20 Ltd.                                                            | CUSIP: 33883NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1392975.52   | 0.16%             | 2033-11-20      | Floating      | 12.53%                | Yes           |                  2 | On Loan: No      |
| Flatiron CLO Ltd                           | Flatiron CLO 21 Ltd.                                                            | CUSIP: 33883TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1239718.87   | 0.14%             | 2034-07-19      | Floating      | 10.23%                | Yes           |                  2 | On Loan: No      |
| FLEX LTD                                   | Flex Ltd.                                                                       | CUSIP: 33938XAE5<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    670000 | PA      | $669744.06    | 0.07%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust               | Ford Credit Auto Owner Trust 2019-C                                             | CUSIP: 34531KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240198 | PA      | $239878.15    | 0.03%             | 2024-03-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt             | Benefit Street Partners CLO XXI Ltd.                                            | CUSIP: 08186TAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $675051.06    | 0.08%             | 2034-10-15      | Floating      | 10.78%                | Yes           |                  2 | On Loan: No      |
| BIOGEN INC                                 | Biogen, Inc.                                                                    | CUSIP: 09062XAF0<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   4280000 | PA      | $4164880.84   | 0.46%             | 2025-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                       | BlueMountain CLO XXIX Ltd.                                                      | CUSIP: 09630KAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1650159.21   | 0.18%             | 2034-07-25      | Floating      | 8.61%                 | Yes           |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                     | Boardwalk Pipelines LP                                                          | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   2367000 | PA      | $2254960.42   | 0.25%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust               | Ford Credit Auto Lease Trust 2021-B                                             | CUSIP: 345329AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2150000 | PA      | $2061366.25   | 0.23%             | 2024-12-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                         | Ford Motor Co.                                                                  | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    185000 | PA      | $171177.36    | 0.02%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                   | Ford Motor Credit Co. LLC                                                       | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    520000 | PA      | $475581.60    | 0.05%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                   | Ford Motor Credit Co. LLC                                                       | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1296056.70   | 0.14%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                   | Ford Motor Credit Co. LLC                                                       | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $934770.00    | 0.10%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FORTINET INC                               | Fortinet, Inc.                                                                  | CUSIP: 34959EAA7<br>LEI: 549300O0QJWDBAS0QX03 | Long             | DBT              | CORP              | US        |   2779000 | PA      | $2435790.72   | 0.27%             | 2026-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                       | GCAT 2021-NQM7 Trust                                                            | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2731400 | PA      | $2403913.59   | 0.27%             | 2066-08-25      | Variable      | 1.92%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust               | GS Mortgage Securities Corp. II                                                 | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2615000 | PA      | $2291916.75   | 0.26%             | 2034-11-05      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| BRAMBLES USA INC                           | Brambles USA, Inc.                                                              | CUSIP: 10510KAC1<br>LEI: 549300ELM3HO6HFZSW59 | Long             | DBT              | CORP              | US        |   4600000 | PA      | $4427306.80   | 0.49%             | 2025-10-23      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                        | Buckeye Partners LP                                                             | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1299562.50   | 0.14%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term              | GM Financial Consumer Automobile Receivables Trust 2021-4                       | CUSIP: 362554AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1437090 | PA      | $1421773.37   | 0.16%             | 2024-11-18      | Fixed         | 0.28%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin             | GM Financial Automobile Leasing Trust 2020-2                                    | CUSIP: 36259PAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1134366 | PA      | $1132432.95   | 0.13%             | 2024-07-22      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term              | GM Financial Consumer Automobile Receivables Trust 2020-4                       | CUSIP: 36260KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3546247 | PA      | $3448257.48   | 0.38%             | 2025-08-18      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasin             | GM Financial Automobile Leasing Trust 2021-3                                    | CUSIP: 36262XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6316199.50   | 0.70%             | 2024-10-21      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| Burnham Park CLO Ltd.                      | Burnham Park Clo Ltd.                                                           | CUSIP: 12232KAQ3<br>LEI: 549300BOEG5O4MSO7220 | Long             | ABS-CBDO         | CORP              | KY        |    545085 | PA      | $538739.71    | 0.06%             | 2029-10-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management                        | CBAM 2018-6 Ltd.                                                                | CUSIP: 12481XAU4<br>LEI: 254900FSYLEH1VUJJF28 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1936135.10   | 0.22%             | 2031-01-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2014-II-R Ltd.                                                     | CUSIP: 12548RAB0<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |   2976589 | PA      | $2945598.43   | 0.33%             | 2030-04-24      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2015-III Ltd.                                                      | CUSIP: 12550MAJ9<br>LEI: 549300UDPJ30BQP2HX62 | Long             | ABS-CBDO         | CORP              | KY        |   1930643 | PA      | $1897548.06   | 0.21%             | 2029-04-19      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2018-V Ltd.                                                        | CUSIP: 12551XAA3<br>LEI: 2549007CW2XYI54L0R94 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1114485.59   | 0.12%             | 2032-01-15      | Floating      | 10.23%                | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                           | CIFC Funding 2013-III-R Ltd.                                                    | CUSIP: 12552MAC2<br>LEI: 549300JZARV9CBLL1S14 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3450755.38   | 0.38%             | 2031-04-24      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                    | GSK Consumer Healthcare Capital U.S. LLC                                        | CUSIP: 36264FAH4<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    965000 | PA      | $937032.37    | 0.10%             | 2024-03-24      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                             | Galaxy XV CLO Ltd.                                                              | CUSIP: 36318WAK6<br>LEI: 549300MJK1HWQWCLYA68 | Long             | ABS-CBDO         | CORP              | KY        |   5625000 | PA      | $5501469.97   | 0.61%             | 2030-10-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                    | Dell International LLC / EMC Corp.                                              | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5350000 | PA      | $5452142.20   | 0.61%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Denali Capital CLO XII LTD                 | Denali Capital Clo XII Ltd.                                                     | CUSIP: 24824TAW0<br>LEI: 549300X36LAD54U6O618 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $508612.33    | 0.06%             | 2031-04-15      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| Galaxy CLO Ltd                             | Galaxy XIX CLO Ltd.                                                             | CUSIP: 36319QBN1<br>LEI: 5493000B2531UL3WQV87 | Long             | ABS-CBDO         | CORP              | KY        |   3241025 | PA      | $3180034.06   | 0.35%             | 2030-07-24      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Galaxy CLO Ltd                             | Galaxy XXIII CLO Ltd.                                                           | CUSIP: 36319TAN6<br>LEI: 5493001X8XC4DMSYH466 | Long             | ABS-CBDO         | CORP              | KY        |   3653367 | PA      | $3601305.45   | 0.40%             | 2029-04-24      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                   | Discovery Communications LLC                                                    | CUSIP: 25470DBC2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   4170000 | PA      | $4038645.00   | 0.45%             | 2024-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                      | DuPont de Nemours, Inc.                                                         | CUSIP: 26078JAH3<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2762144.00   | 0.31%             | 2023-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 57 Clo Ltd.                                                              | CUSIP: 26243KAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $901318.22    | 0.10%             | 2031-05-15      | Floating      | 7.16%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 49 Senior Loan Fund                                                      | CUSIP: 26244QAU7<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1365767.32   | 0.15%             | 2030-07-18      | Floating      | 7.59%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 80 CLO Ltd.                                                              | CUSIP: 26245JAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5351598.56   | 0.60%             | 2033-01-17      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 86 CLO Ltd.                                                              | CUSIP: 26245XAU1<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $929551.09    | 0.10%             | 2034-07-17      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 30 Senior Loan Fund                                                      | CUSIP: 26249BAQ4<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |   1786605 | PA      | $1764288.84   | 0.20%             | 2028-11-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 36 Senior Loan Fund                                                      | CUSIP: 26249KAZ4<br>LEI: 549300XLLT7H0EYXK263 | Long             | ABS-CBDO         | CORP              | KY        |   2738893 | PA      | $2709565.36   | 0.30%             | 2029-04-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 76 CLO Ltd.                                                              | CUSIP: 26252WBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1799281.51   | 0.20%             | 2034-10-20      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                    | Dryden 77 CLO Ltd.                                                              | CUSIP: 26252YAE5<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1229177.59   | 0.14%             | 2034-05-20      | Floating      | 10.55%                | Yes           |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                    | DCP Midstream Operating LP                                                      | CUSIP: 26439XAC7<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $3118511.20   | 0.35%             | 2030-08-16      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                             | Galaxy Xxiv Clo Ltd.                                                            | CUSIP: 36321BAD3<br>LEI: 6354006LLTU5DRVJLQ86 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1371327.70   | 0.15%             | 2031-01-15      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                     | General Motors Financial Co., Inc.                                              | CUSIP: 37045XBW5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1961592.00   | 0.22%             | 2024-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                     | General Motors Financial Co., Inc.                                              | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2268666.00   | 0.25%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                          | Generate CLO 9 Ltd.                                                             | CUSIP: 37147MAA5<br>LEI: 549300OYEZ11WGJ2SS19 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $905958.42    | 0.10%             | 2034-10-20      | Floating      | 11.09%                | Yes           |                  2 | On Loan: No      |
| Generate CLO Ltd.                          | Generate CLO 6 Ltd.                                                             | CUSIP: 37148JAJ2<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1625208.29   | 0.18%             | 2035-01-22      | Floating      | 7.82%                 | Yes           |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                        | Georgia-Pacific LLC                                                             | CUSIP: 37331NAM3<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |   3540000 | PA      | $3326952.18   | 0.37%             | 2024-05-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| GEORGIA POWER CO                           | Georgia Power Co.                                                               | CUSIP: 373334KK6<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   2412000 | PA      | $2301720.95   | 0.26%             | 2024-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GILBERT PARK CLO LTD                       | Gilbert Park CLO Ltd.                                                           | CUSIP: 375414AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1296871.29   | 0.14%             | 2030-10-15      | Floating      | 10.48%                | Yes           |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                        | Global Payments, Inc.                                                           | CUSIP: 37940XAA0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1078172.08   | 0.12%             | 2025-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                        | Global Payments, Inc.                                                           | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2715000 | PA      | $2630799.71   | 0.29%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Opportunities              | GoldenTree Loan Opportunities IX Ltd.                                           | CUSIP: 38123HAW4<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |   1075000 | PA      | $1015047.24   | 0.11%             | 2029-10-29      | Floating      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US              | Goldentree Loan Management U.S. Clo 8 Ltd.                                      | CUSIP: 38136QAG4<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $447696.79    | 0.05%             | 2034-10-20      | Floating      | 10.39%                | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US              | Goldentree Loan Management U.S. Clo 6 Ltd.                                      | CUSIP: 38137WAS4<br>LEI: 549300MI5PVR6JHGVV87 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2141331.58   | 0.24%             | 2035-04-20      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US              | Goldentree Loan Management U.S. Clo 7 Ltd.                                      | CUSIP: 38138MAG1<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $383043.02    | 0.04%             | 2034-04-20      | Floating      | 11.99%                | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US              | Goldentree Loan Management U.S. Clo 10 Ltd.                                     | CUSIP: 38138UAC2<br>LEI: 5493007PBV0WMI12LF68 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $786728.76    | 0.09%             | 2034-07-20      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                   | Graphic Packaging International LLC                                             | CUSIP: 38869PAN4<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   5185000 | PA      | $4855182.15   | 0.54%             | 2024-04-15      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                           | Great Wolf Trust 2019-WOLF                                                      | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2413347.50   | 0.27%             | 2036-12-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                           | Great Wolf Trust 2019-WOLF                                                      | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1195607.50   | 0.13%             | 2036-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                    | Greenwood Park CLO Ltd.                                                         | CUSIP: 39729RAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1698009.47   | 0.19%             | 2031-04-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Grippen Park CLO LTD                       | Grippen Park CLO Ltd.                                                           | CUSIP: 39862DAA4<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $730108.40    | 0.08%             | 2030-01-20      | Floating      | 9.94%                 | Yes           |                  2 | On Loan: No      |
| Grippen Park CLO LTD                       | Grippen Park CLO Ltd.                                                           | CUSIP: 39862EAA2<br>LEI: 549300P7KR0IARP7PG22 | Long             | ABS-CBDO         | CORP              | KY        |   1817342 | PA      | $1798690.16   | 0.20%             | 2030-01-20      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| EUR FORWARD PALMER CONTRACT 01/12/2023   / | EUR FORWARD PALMER CONTRACT 01/12/2023   /                                      | CUSIP: 999999999<br>LEI: N/A                  | N/A              | DFE              |  | XX        |  -2800000 | OU      | $-3000069.64  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                    | HCA, Inc.                                                                       | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4525000 | PA      | $4367824.13   | 0.49%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 6-2015, Lt             | HPS Loan Management 6-2015 Ltd.                                                 | CUSIP: 40436KAL9<br>LEI: 549300OYG05TXUTUVD98 | Long             | ABS-CBDO         | CORP              | KY        |   2625000 | PA      | $2235776.34   | 0.25%             | 2031-02-05      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd             | HPS Loan Management 13-2018 Ltd.                                                | CUSIP: 40437LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1105219.58   | 0.12%             | 2030-10-15      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd             | Highbridge Loan Management 7-2015 Ltd.                                          | CUSIP: 40437RAF6<br>LEI: 254900IU43NDZ7HEB142 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1437162.28   | 0.16%             | 2027-03-15      | Floating      | 7.01%                 | Yes           |                  2 | On Loan: No      |
| HPS Loan Management                        | HPS Loan Management 14-2019 Ltd.                                                | CUSIP: 40437XAJ5<br>LEI: 254900T7F3OF5X12CP14 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2191417.39   | 0.24%             | 2034-01-25      | Floating      | 10.51%                | Yes           |                  2 | On Loan: No      |
| HPS Loan Management                        | HPS Loan Management 15-2019 Ltd.                                                | CUSIP: 40439EAJ5<br>LEI: 254900T9FXVALKHZXT96 | Long             | ABS-CBDO         | CORP              | JE        |   2250000 | PA      | $2040618.32   | 0.23%             | 2035-01-22      | Floating      | 10.84%                | Yes           |                  2 | On Loan: No      |
| HPEFS Equipment Trust                      | HPEFS Equipment Trust 2021-2                                                    | CUSIP: 40441JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265979 | PA      | $264842.19    | 0.03%             | 2028-09-20      | Fixed         | 0.30%                 | Yes           |                  2 | On Loan: No      |
| HEINEKEN NV                                | Heineken N.V.                                                                   | CUSIP: 423012AD5<br>LEI: 724500K5PTPSST86UQ23 | Long             | DBT              | CORP              | NL        |   1900000 | PA      | $1888748.20   | 0.21%             | 2023-04-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton USA Trust                           | Hilton Orlando Trust 2018-ORL                                                   | CUSIP: 432885AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2983000 | PA      | $2912887.57   | 0.32%             | 2034-12-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Hilton USA Trust                           | Hilton Orlando Trust 2018-ORL                                                   | CUSIP: 432885AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1021878.28   | 0.11%             | 2034-12-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T             | Honda Auto Receivables 2020-2 Owner Trust                                       | CUSIP: 43813DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2439280 | PA      | $2403701.07   | 0.27%             | 2024-07-15      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T             | Honda Auto Receivables 2020-2 Owner Trust                                       | CUSIP: 43813DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3874216.00   | 0.43%             | 2026-10-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T             | Honda Auto Receivables 2020-3 Owner Trust                                       | CUSIP: 43813KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1818727 | PA      | $1779260.60   | 0.20%             | 2024-10-18      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T             | Honda Auto Receivables 2019-4 Owner Trust                                       | CUSIP: 43813VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169676 | PA      | $169112.34    | 0.02%             | 2024-01-18      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd             | Highbridge Loan Management 5-2015 Ltd.                                          | CUSIP: 44331DAN9<br>LEI: 54930067MZ9NV8B3SZ80 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $889056.70    | 0.10%             | 2030-10-15      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| HUMANA INC                                 | Humana, Inc.                                                                    | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1962666.77   | 0.22%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitizat             | Hyundai Auto Lease Securitization Trust 2022-A                                  | CUSIP: 44891WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4465000 | PA      | $4310256.50   | 0.48%             | 2025-01-15      | Fixed         | 1.16%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitizat             | Hyundai Auto Lease Securitization Trust 2022-C                                  | CUSIP: 448978AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2729405.25   | 0.30%             | 2025-01-15      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust             | Hyundai Auto Receivables Trust 2021-B                                           | CUSIP: 44934KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    481840 | PA      | $479853.34    | 0.05%             | 2024-05-15      | Fixed         | 0.24%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitizat             | Hyundai Auto Lease Securitization Trust 2022-B                                  | CUSIP: 44934LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4278590 | PA      | $4223391.71   | 0.47%             | 2024-10-15      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA INC                               | Illumina, Inc.                                                                  | CUSIP: 452327AP4<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1034516.64   | 0.12%             | 2027-12-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                  | Infor, Inc.                                                                     | CUSIP: 45674CAB9<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |    270000 | PA      | $263738.97    | 0.03%             | 2023-07-15      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                   | International Flavors & Fragrances, Inc.                                        | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   3555000 | PA      | $2989150.65   | 0.33%             | 2027-10-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Invesco CLO LTD                            | Invesco CLO 2022-3 Ltd.                                                         | CUSIP: 46146VAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $984662.42    | 0.11%             | 2035-10-22      | Floating      | 8.86%                 | Yes           |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                       | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc.                     | CUSIP: 46590XAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1450000 | PA      | $1270359.50   | 0.14%             | 2027-01-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Jay Park CLO, Ltd.                         | Jay Park CLO Ltd.                                                               | CUSIP: 47206WAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $916815.00    | 0.10%             | 2027-10-20      | Floating      | 9.44%                 | Yes           |                  2 | On Loan: No      |
| JUNIPER NETWORKS INC                       | Juniper Networks, Inc.                                                          | CUSIP: 48203RAP9<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $1909680.00   | 0.21%             | 2030-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                      | KKR CLO 13 Ltd.                                                                 | CUSIP: 48250XAJ2<br>LEI: 635400ZS4BDP68TETX94 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1439436.58   | 0.16%             | 2028-01-16      | Floating      | 9.03%                 | Yes           |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                      | KKR CLO 18 Ltd.                                                                 | CUSIP: 48251JAL7<br>LEI: 54930088PYF0FHKY5C94 | Long             | ABS-CBDO         | CORP              | KY        |   1886264 | PA      | $1868757.03   | 0.21%             | 2030-07-18      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                    | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BV7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4918165.00   | 0.55%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                        | LCM XVIII LP                                                                    | CUSIP: 50188GAW3<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $667531.49    | 0.07%             | 2031-04-20      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| L3HARRIS TECH INC                          | L3Harris Technologies, Inc.                                                     | CUSIP: 502431AG4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1500613.50   | 0.17%             | 2023-03-10      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                          | L3Harris Technologies, Inc.                                                     | CUSIP: 502431AK5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1201000 | PA      | $1182294.43   | 0.13%             | 2024-05-28      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                        | LYB International Finance III LLC                                               | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2679258.00   | 0.30%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                 | Leidos, Inc.                                                                    | CUSIP: 52532XAD7<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1557000 | PA      | $1496783.03   | 0.17%             | 2025-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                 | Leidos, Inc.                                                                    | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1267752.75   | 0.14%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                             | Lowe's Cos., Inc.                                                               | CUSIP: 548661EK9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2835000 | PA      | $2795579.33   | 0.31%             | 2025-09-08      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                 | MMAF Equipment Finance LLC 2022-A                                               | CUSIP: 55317RAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6350000 | PA      | $6234817.35   | 0.70%             | 2025-02-13      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                    | MPLX LP                                                                         | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2005000 | PA      | $1789436.44   | 0.20%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MTK Mortgage Trust                         | MTK 2021-GRNY Mortgage Trust                                                    | CUSIP: 55379DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2402076.60   | 0.27%             | 2038-12-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                   | Madison Park Funding XXXIII Ltd.                                                | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1779133.14   | 0.20%             | 2032-10-15      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                   | Madison Park Funding XIX Ltd.                                                   | CUSIP: 55819QAL1<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    825000 | PA      | $768683.21    | 0.09%             | 2028-01-22      | Floating      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                   | Madison Park Funding XIX Ltd.                                                   | CUSIP: 55819RAG0<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |   1825000 | PA      | $1607370.52   | 0.18%             | 2028-01-22      | Floating      | 8.67%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                          | Magnetite VIII Ltd.                                                             | CUSIP: 55953AAN8<br>LEI: 549300NJNSVWVLHGRY73 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1335734.60   | 0.15%             | 2031-04-15      | Floating      | 9.73%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                          | Magnetite XII Ltd.                                                              | CUSIP: 55953GCG8<br>LEI: 549300Z6VW568TT64K70 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $444108.02    | 0.05%             | 2031-10-15      | Floating      | 9.76%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                          | Magnetite XXII Ltd.                                                             | CUSIP: 55954DAE1<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $900636.44    | 0.10%             | 2031-04-15      | Floating      | 10.43%                | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                          | Magnetite XVII Ltd.                                                             | CUSIP: 55954EAQ2<br>LEI: 5493003SVWF9GG13MZ22 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2473830.34   | 0.28%             | 2031-07-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                          | Magnetite XXV Ltd.                                                              | CUSIP: 55955HAA9<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $917256.34    | 0.10%             | 2032-01-25      | Floating      | 10.71%                | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                       | Mariner CLO 2016-3 LLC                                                          | CUSIP: 56845AAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2050000 | PA      | $1994657.04   | 0.22%             | 2029-07-23      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                       | Mariner CLO 2016-3 LLC                                                          | CUSIP: 56845ABA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1850358.26   | 0.21%             | 2029-07-23      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                     | Marvell Technology, Inc.                                                        | CUSIP: 573874AL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4972040.00   | 0.55%             | 2023-06-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                     | Match Group Holdings II LLC                                                     | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |   2589000 | PA      | $2312572.47   | 0.26%             | 2028-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| MCDONALD'S CORP                            | McDonald's Corp.                                                                | CUSIP: 58013MEU4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   4015000 | PA      | $3887479.59   | 0.43%             | 2025-05-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Cor             | Mellon Residential Funding Cor Mor Pas Thr Tr Ser 1999-tbc3                     | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33487 | PA      | $32936.62     | 0.00%             | 2029-10-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust             | Mercedes-Benz Auto Lease Trust 2021-B                                           | CUSIP: 58769KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640382 | PA      | $638788.87    | 0.07%             | 2024-01-16      | Fixed         | 0.22%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES             | Mercedes-Benz Auto Receivables Trust 2019-1                                     | CUSIP: 58769TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6542968 | PA      | $6465734.73   | 0.72%             | 2026-01-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                    | Metropolitan Life Global Funding I                                              | CUSIP: 59217GFC8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    590000 | PA      | $577435.95    | 0.06%             | 2025-08-25      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                      | Micron Technology, Inc.                                                         | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   3035000 | PA      | $2276775.06   | 0.25%             | 2032-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTL HLDINGS NE                   | Mondelez International Holdings Netherlands B.V.                                | CUSIP: 60920LAR5<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | NL        |   1720000 | PA      | $1497217.00   | 0.17%             | 2026-09-24      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO             | Morgan Stanley Eaton Vance CLO 2022-16 Ltd.                                     | CUSIP: 61774KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2184078.23   | 0.24%             | 2035-04-15      | Floating      | 10.71%                | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Eaton Vance CLO             | Morgan Stanley Eaton Vance Clo 2022-18 Ltd.                                     | CUSIP: 617925AA0<br>LEI: 549300O0I1STG733YG49 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491152.51    | 0.05%             | 2035-10-20      | Floating      | 12.34%                | Yes           |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                     | Motorola Solutions, Inc.                                                        | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |   4363000 | PA      | $3421551.86   | 0.38%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                      | Mountain View CLO IX Ltd.                                                       | CUSIP: 62432BAU7<br>LEI: 549300URXZ1TS31FK720 | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $728080.93    | 0.08%             | 2031-07-15      | Floating      | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Mountain View CLO Ltd                      | Mountain View CLO X Ltd.                                                        | CUSIP: 62432CAW1<br>LEI: 549300RHYK4B5L898W39 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490875.08    | 0.05%             | 2027-10-13      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                          | Mountain View Clo XIV Ltd.                                                      | CUSIP: 62432MAW9<br>LEI: 549300IB1UGD5G8HYT10 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1416843.24   | 0.16%             | 2034-10-15      | Floating      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                          | Mountain View Clo XV Ltd.                                                       | CUSIP: 62432PAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    525000 | PA      | $483613.86    | 0.05%             | 2033-01-15      | Floating      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| NRG ENERGY INC                             | NRG Energy, Inc.                                                                | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $1950749.10   | 0.22%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                     | NXP B.V. / NXP Funding LLC                                                      | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   2300000 | PA      | $2301872.20   | 0.26%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust              | NYO Commercial Mortgage Trust 2021-1290                                         | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5400000 | PA      | $4910841.00   | 0.55%             | 2038-11-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                   | Neuberger Berman Loan Advisers CLO 27 Ltd.                                      | CUSIP: 64131WAJ6<br>LEI: 549300IWMW28G8CR9G28 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2082361.98   | 0.23%             | 2030-01-15      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                   | Neuberger Berman Loan Advisers CLO 36 Ltd.                                      | CUSIP: 64133JAL8<br>LEI: 549300MZGBBYK103F794 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $929784.47    | 0.10%             | 2033-04-20      | Floating      | 10.99%                | Yes           |                  2 | On Loan: No      |
| New Mountain CLO 1 Ltd                     | New Mountain CLO 1 Ltd.                                                         | CUSIP: 64755AAE0<br>LEI: 5493000BYT2KQ1EMLL07 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1371911.02   | 0.15%             | 2034-10-15      | Floating      | 10.76%                | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan              | New Residential Mortgage Loan Trust 2019-NQM4                                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263449 | PA      | $238513.24    | 0.03%             | 2059-09-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Newark BSL CLO 1 Ltd.                      | Newark BSL CLO 1 Ltd.                                                           | CUSIP: 65023TAJ1<br>LEI: 549300R0C043JWD1XY94 | Long             | ABS-CBDO         | CORP              | KY        |   2644473 | PA      | $2613572.56   | 0.29%             | 2029-12-21      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Newark BSL CLO 1 Ltd.                      | Newark BSL CLO 1 Ltd.                                                           | CUSIP: 65023UAE9<br>LEI: 549300R0C043JWD1XY94 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $643608.32    | 0.07%             | 2029-12-21      | Floating      | 10.61%                | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                     | NextEra Energy Capital Holdings, Inc.                                           | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1245032.50   | 0.14%             | 2023-11-03      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                     | NextEra Energy Capital Holdings, Inc.                                           | CUSIP: 65339KCF5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   3760000 | PA      | $3712605.20   | 0.41%             | 2024-06-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                               | NiSource, Inc.                                                                  | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1804888.00   | 0.20%             | 2025-08-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                            | Nissan Motor Co., Ltd.                                                          | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   2211000 | PA      | $1881262.52   | 0.21%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner              | Nissan Auto Receivables 2019-C Owner Trust                                      | CUSIP: 65479JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1033798 | PA      | $1030142.12   | 0.11%             | 2024-07-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner              | Nissan Auto Receivables 2020-A Owner Trust                                      | CUSIP: 65479MAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1753990 | PA      | $1730370.41   | 0.19%             | 2024-12-16      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                            | Gen Digital, Inc.                                                               | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    530000 | PA      | $520089.00    | 0.06%             | 2027-09-30      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                   | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2419879 | PA      | $1854019.43   | 0.21%             | 2061-05-25      | Variable      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2020-8R Ltd.                                                            | CUSIP: 670899AA1<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $458278.68    | 0.05%             | 2032-01-17      | Floating      | 11.08%                | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2016-12 Ltd.                                                            | CUSIP: 67092TAG9<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $899141.91    | 0.10%             | 2033-04-18      | Floating      | 11.08%                | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2017-14 Ltd.                                                            | CUSIP: 67097QAJ4<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $914793.80    | 0.10%             | 2030-11-20      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2017-14 Ltd.                                                            | CUSIP: 67097TAA7<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1723581.21   | 0.19%             | 2030-11-20      | Floating      | 10.48%                | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                   | OBX 2018-EXP1 Trust                                                             | CUSIP: 67097VAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304448 | PA      | $299614.82    | 0.03%             | 2048-04-25      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| OSD CLO 2021-23 Ltd                        | OSD CLO 2021-23 Ltd.                                                            | CUSIP: 671025AA2<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $862477.46    | 0.10%             | 2031-04-17      | Floating      | 10.08%                | Yes           |                  2 | On Loan: No      |
| OSD CLO 2021-23 Ltd                        | OSD CLO 2021-23 Ltd.                                                            | CUSIP: 671026AG7<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $912555.82    | 0.10%             | 2031-04-17      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                    | OHA Credit Partners VII Ltd.                                                    | CUSIP: 67102QBH0<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2612641.86   | 0.29%             | 2034-02-20      | Floating      | 8.93%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2014-6 Ltd.                                                             | CUSIP: 67106BAS6<br>LEI: 2549001TBA76KDJQIQ68 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2154620.97   | 0.24%             | 2030-10-17      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                   | OZLM VIII Ltd.                                                                  | CUSIP: 67107HAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1281896.91   | 0.14%             | 2029-10-17      | Floating      | 10.16%                | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                   | OZLM VI Ltd.                                                                    | CUSIP: 67108LBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1820156.29   | 0.20%             | 2031-04-17      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                   | OZLM IX Ltd.                                                                    | CUSIP: 67109KBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3186317.06   | 0.36%             | 2031-10-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| OZLM Ltd                                   | OZLM XXIII Ltd.                                                                 | CUSIP: 67112WAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $712767.97    | 0.08%             | 2034-04-15      | Floating      | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                   | OBX 2020-INV1 Trust                                                             | CUSIP: 67113CAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411184 | PA      | $1303662.88   | 0.15%             | 2049-12-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                   | OBX 2019-EXP2 Trust                                                             | CUSIP: 67113KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3697098 | PA      | $3538740.60   | 0.39%             | 2059-06-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                   | Onslow Bay Mortgage Loan Trust                                                  | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6402855 | PA      | $5123897.61   | 0.57%             | 2061-10-25      | Variable      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2021-22 Ltd.                                                            | CUSIP: 67117TAG0<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1816004.26   | 0.20%             | 2034-12-02      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2021-22 Ltd.                                                            | CUSIP: 67118JAA4<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $868223.27    | 0.10%             | 2034-12-02      | Floating      | 10.84%                | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                | OCP CLO 2020-18 Ltd.                                                            | CUSIP: 67570TAG0<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $883300.32    | 0.10%             | 2032-07-20      | Floating      | 10.67%                | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners XX             | Octagon Investment Partners XXII Ltd.                                           | CUSIP: 67572YBW1<br>LEI: 549300MQ9W5DWZ8QX450 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $656220.88    | 0.07%             | 2030-01-22      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 42             | Octagon Investment Partners 42 Ltd.                                             | CUSIP: 67576RAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $856155.42    | 0.10%             | 2034-07-15      | Floating      | 10.83%                | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 48             | Octagon Investment Partners 48 Ltd.                                             | CUSIP: 67577UAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2433016.41   | 0.27%             | 2034-10-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Oak Hill Credit Partners                   | Oak Hill Credit Partners X-R Ltd.                                               | CUSIP: 67707CAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2358097.89   | 0.26%             | 2034-04-20      | Floating      | 8.99%                 | Yes           |                  2 | On Loan: No      |
| PPM CLO 3 Ltd.                             | PPM CLO 3 Ltd.                                                                  | CUSIP: 69355BAE1<br>LEI: 549300UEAJV6RALDS969 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1241437.12   | 0.14%             | 2034-04-17      | Floating      | 10.69%                | Yes           |                  2 | On Loan: No      |
| PACCAR FINANCIAL CORP                      | PACCAR Financial Corp.                                                          | CUSIP: 69371RQ74<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109491.91    | 0.01%             | 2023-04-06      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                   | Penske Truck Leasing Co. Lp / PTL Finance Corp.                                 | CUSIP: 709599BH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1249232.48   | 0.14%             | 2029-11-01      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| PERNOD RICARD SA                           | Pernod Ricard S.A.                                                              | CUSIP: 714264AM0<br>LEI: 52990097YFPX9J0H5D87 | Long             | DBT              | CORP              | FR        |   3496000 | PA      | $3315442.09   | 0.37%             | 2026-06-08      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                               | Post CLO 2021-1 Ltd.                                                            | CUSIP: 73742FAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1175632.78   | 0.13%             | 2034-10-15      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                               | Post CLO 2022-1 Ltd.                                                            | CUSIP: 73742YAA3<br>LEI: 5493007CUC7FI0ONIF25 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4390416.56   | 0.49%             | 2035-04-20      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Post CLO LTD                               | Post CLO 2022-1 Ltd.                                                            | CUSIP: 73743AAA4<br>LEI: 5493007CUC7FI0ONIF25 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $1991618.66   | 0.22%             | 2035-04-20      | Floating      | 10.71%                | Yes           |                  2 | On Loan: No      |
| QORVO INC                                  | Qorvo, Inc.                                                                     | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |   3310000 | PA      | $3052647.50   | 0.34%             | 2024-12-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Recette CLO LLC                            | Recette Clo Ltd.                                                                | CUSIP: 75620RAG7<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $783444.44    | 0.09%             | 2034-04-20      | Floating      | 12.71%                | Yes           |                  2 | On Loan: No      |
| Regatta II Funding LP                      | Regatta Funding LP 2013-2A                                                      | CUSIP: 75885WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2377347.79   | 0.27%             | 2029-01-15      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Regatta II Funding LP                      | Regatta Funding LP 2013-2A                                                      | CUSIP: 75885WBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    953230 | PA      | $943754.10    | 0.11%             | 2029-01-15      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                    | Regatta VI Funding Ltd.                                                         | CUSIP: 75887NBC2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1430420.30   | 0.16%             | 2034-04-20      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** INVESTMENT MANAGERS SERIES TRUST

**Signature:** /s/ Terrance P. Gallagher

**Name of Signer:** Terrance P. Gallagher

**Title:** Assistant Vice President