# EDGAR Filing Document

**Accession Number:** 0001724826
**File Stem:** 0001752724-23-040930
**Filing Date:** 2023-2
**Character Count:** 199631
**Document Hash:** fa9ebcb584694da0b13b6a6cfd451e2d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-040930.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-040930

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Six Circles Trust
- **CENTRAL INDEX KEY:** 0001724826
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23325
- **FILM NUMBER:** 23670585

**BUSINESS ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 383 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10179
- **BUSINESS PHONE:** 212-270-6000

**MAIL ADDRESS:**
- **STREET 1:** C/O J.P. MORGAN PRIVATE INVESTMENTS INC.
- **STREET 2:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 23Wall Trust
- **DATE OF NAME CHANGE:** 20171208

## Series and Classes Contracts Data

### Six Circles Ultra Short Duration Fund (Series ID: S000061650)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000199642 | Six Circles Ultra Short Duration Fund | CUSDX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SIX CIRCLES TRUST

- **b. Investment Company Act file number:** 811-23325

- **c. CIK number of Registrant:** 0001724826

- **d. LEI of Registrant:** 549300NG19QZK8S0N704

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

  - **Street Address 1:** 383 Madison Ave

  - **City:** NY

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10179

  - **Telephone number:** 212-464-2070

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

- **a. Name of Series:** Six Circles Ultra Short Duration Fund

- **b. EDGAR series identifier (if any):** S000061650

- **c. LEI of Series:** 549300S8JT7W7MNUHF13

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $575047468.65

**Total Liabilities:** $7742785.95

**Net Assets:** $567304682.70

**Cash Not Reported:** $10110234.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5244.76799000 | **1-Year:** 26392.70690300 | **5-Year:** 11594.48783900 | **10-Year:** 3869.81665000 | **30-Year:** 337.56897200

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

- **3-Month:** 0 | **1-Year:** 0 | **5-Year:** 0 | **10-Year:** 0 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000199642 | -0.01%               | 0.42%                | 0.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-446065.35              | $-1271199.45                               |
| Month 2  | $-1168634.53             | $5699816.03                                |
| Month 3  | $-41865.21               | $2861926.11                                |

**Designated Index Information**

- **Index Name:** N/A

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMERICAN EXPRE 3.375% 05/03/24  | AMERICAN EXPRESS CO REGD 3.37500000                                                            | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     970000 | NS      | $950631.12    | 0.17%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GSMBS 2021-RPL1  V/R 12/25/60   | GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021 SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.75000000 | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     329120 | NS      | $297789.22    | 0.05%             | 2060-12-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| ANORI 2022- V/R 01/26/40 /EUR/  | AUTONORIA SPAIN 2022 FT SER 2022-SP CL B V/R REGD REG S /EUR/ 3.89400000                       | CUSIP: E7827FAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | ES        |     100000 | NS      | $106015.76    | 0.02%             | 2040-01-26      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| ILPT 2022-LPF2 A V/R 10/15/24   | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPF2 SER 2022-LPF2 CL A V/R REGD 144A P/P 6.58061000       | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     480000 | NS      | $479850.14    | 0.08%             | 2039-10-15      | Variable      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| VENTR 2014-18A A V/R 10/15/29   | VENTURE XVIII CLO LTD SER 2014-18A CL AR V/R REGD P/P 5.29914000                               | CUSIP: 92329FAP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2003482 | NS      | $1982208.71   | 0.35%             | 2029-10-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| GMCAR 2022-3 A2B V/R 09/16/25   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST  SER 2022-3 CL A2B V/R REGD 4.40799000      | CUSIP: 36265WAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $901042.47    | 0.16%             | 2025-09-16      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY I V/R 09/15/23  | DOMINION ENERGY INC REGD V/R SER D 5.29900000                                                  | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1800000 | NS      | $1796440.97   | 0.32%             | 2023-09-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL IN 0.95% 02/15/24  | BERRY GLOBAL INC REGD 0.95000000                                                               | CUSIP: 08576PAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1800000 | NS      | $1705754.86   | 0.30%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| GMCAR 2022-3 A2 3.5% 09/16/25   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2022-3 SER 2022-3 CL A2A REGD 3.50000000    | CUSIP: 36265WAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4255000 | NS      | $4213070.38   | 0.74%             | 2025-09-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OSCAR 2019-2A  2.68% 08/12/24   | OSCAR US FUNDING XI LLC SER 2019-2A CL A4 REGD 144A P/P 2.68000000                             | CUSIP: 68784EAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JP        |     222651 | NS      | $218195.08    | 0.04%             | 2026-09-10      | Fixed         | 2.68%                 | Yes           |                  2 | On Loan: No      |
| JDOT 2022-B A2 3.73% 06/16/25   | JOHN DEERE OWNER TRUST 2022-B SER 2022-B CL A2 REGD 3.73000000                                 | CUSIP: 47800AAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     817000 | NS      | $809301.82    | 0.14%             | 2025-06-16      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| GSMS 2021-STAR A V/R 12/15/23   | GS MORTGAGE SECURITIES CORP TRUST 2021-STAR SER 2021-STAR CL A V/R REGD 144A P/P 5.26786000    | CUSIP: 36264LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     690000 | NS      | $662176.16    | 0.12%             | 2036-12-15      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| GMALT 2022-3 A 4.01% 01/20/24   | GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-3 SER 2022-3 CL A2A REGD 4.01000000                 | CUSIP: 380130AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | NS      | $991995.10    | 0.17%             | 2024-10-21      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASU ZCP 01/16/23/JPY/  | JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1113 0.00000000                                    | CUSIP: J2S39LWX8<br>LEI: N/A                  | Long             | STIV             | USGA              | JP        |  410000000 | PA      | $3124209.06   | 0.55%             | 2023-01-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TRANSURBAN Q V/R 12/16/24/AUD/  | TRANSURBAN QLD FINANCE /AUD/ REGD V/R REG S MTN 5.23840000                                     | CUSIP: Q8803EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     700000 | NS      | $482790.71    | 0.09%             | 2024-12-16      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| EFF 2019-3 A2 2.06% 05/20/25    | ENTERPRISE FLEET FINANCING 2019-3 LLC SER 2019-3 CL A2 REGD 144A P/P 2.06000000                | CUSIP: 29374WAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      41386 | NS      | $41307.70     | 0.01%             | 2025-05-20      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| THOMSON REUTERS DISC 01/25/23   | THOMSON REUTERS DISC 01/25/23 0.00000000                                                       | CUSIP: 88513BNR7<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1700000 | PA      | $1694489.79   | 0.30%             | 2023-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT F 3.9% 03/22/23  | SYDNEY AIRPORT FINANCE REGD 3.90000000                                                         | CUSIP: Q8809VAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     400000 | NS      | $398902.88    | 0.07%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL CME CDS SAL USD | CASH COLLATERAL CME CDS SAL USD 4.23000000                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     228000 | NS      | $228000.00    | 0.04%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| ATRM 12A AR V/R 04/22/27        | MADISON PARK FUNDING XLI LTD SER 12A CL AR V/R REGD 144A P/P 5.15457000                        | CUSIP: 04965CAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     836488 | NS      | $825949.46    | 0.15%             | 2027-04-22      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| GMCAR 2020-1 A 1.84% 06/16/23   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-1 SER 2020-1 CL A3 REGD 1.84000000     | CUSIP: 36258NAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     168580 | NS      | $167543.17    | 0.03%             | 2024-09-16      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| GNR 2022-H01 FA V/R 01/20/72    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-H01 CL FA V/R 4.17571000                     | CUSIP: 38382YKM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     679689 | NS      | $653119.98    | 0.12%             | 2072-01-20      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/25/24     | MORGAN STANLEY REGD V/R MTN 0.52900000                                                         | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7200000 | NS      | $7151827.46   | 1.26%             | 2024-01-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| BMWC 202 3.649% 02/20/24 /CAD/  | BMW CANADA AUTO TRUST SER 2022-1A CL A1 REGD 144A P/P /CAD/ 3.64900000                         | CUSIP: 05570XBX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |     600641 | NS      | $439279.46    | 0.08%             | 2024-12-20      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| SVENSKA HANDELSB V/R 02/24/23   | SVENSKA HANDELSBANKEN NY______  VARIABLE SER YCD CTF OF DEPOSIT 4.55000000                     | CUSIP: 86959RXK1<br>LEI: N/A                  | Long             | STIV             | CORP              | SE        |    2000000 | PA      | $1999843.54   | 0.35%             | 2023-02-24      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| DBGS 2018-BIOD A V/R 05/15/20   | DBGS 2018-BIOD MORTGAGE TRUST SER 2018-BIOD CL A V/R REGD 144A P/P 5.03901000                  | CUSIP: 23306GAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1187892 | NS      | $1167558.24   | 0.21%             | 2035-05-15      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE N 0.52% 08/09/23  | CREDIT SUISSE NEW YORK REGD SER FXD 0.52000000                                                 | CUSIP: 22550L2F7<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    1000000 | NS      | $951250.00    | 0.17%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| NALT 2022-A A2 3.45% 11/15/23   | NISSAN AUTO LEASE TRUST 2022-A SER 2022-A CL A2A REGD 3.45000000                               | CUSIP: 65480LAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3662328 | NS      | $3629960.68   | 0.64%             | 2024-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN  5.625% 11/15/23  | KINDER MORGAN INC REGD P/P 5.62500000                                                          | CUSIP: 49456BAB7<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     500000 | NS      | $500265.20    | 0.09%             | 2023-11-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY  0.65% 03/01/23  | NEXTERA ENERGY CAPITAL REGD 0.65000000                                                         | CUSIP: 65339KBU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3965000 | NS      | $3937851.65   | 0.69%             | 2023-03-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ F 0.75% 03/01/24  | MERCEDES-BENZ FIN NA REGD 144A P/P 0.75000000                                                  | CUSIP: 233851EB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | NS      | $1994572.40   | 0.35%             | 2024-03-01      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | JPY/USD FWD 20230117 000011553 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-335045.18   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| NRZT 2018-3A A1 V/R 05/25/58    | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3 SER 2018-3A CL A1 V/R REGD 144A P/P 4.50000000      | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     117034 | NS      | $109964.58    | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FED CAISSES DESJA V/R 05/21/24  | FED CAISSES DESJARDINS REGD V/R 144A P/P 4.24808000                                            | CUSIP: 31429KAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1900000 | NS      | $1878144.53   | 0.33%             | 2024-05-21      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| PRET 2021-NPL6 A V/R 11/25/54   | PRET 2021-NPL6 LLC SER 2021-NPL6 CL A1 V/R REGD 144A P/P 2.48710000                            | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     477806 | NS      | $441702.12    | 0.08%             | 2051-07-25      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| SK BROADBAND C 3.875% 08/13/23  | SK BROADBAND CO LTD REGD REG S 3.87500000                                                      | CUSIP: Y8065GAU6<br>LEI: N/A                  | Long             | DBT              | CORP              | KR        |     400000 | NS      | $396544.00    | 0.07%             | 2023-08-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJ 0.7% 05/21/24  | FED CAISSES DESJARDINS REGD 144A P/P 0.70000000                                                | CUSIP: 31429KAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1000000 | NS      | $937088.88    | 0.17%             | 2024-05-21      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| SK HYNIX INC 1% 01/19/24        | SK HYNIX INC REGD 144A P/P 1.00000000                                                          | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |     400000 | NS      | $380015.46    | 0.07%             | 2024-01-19      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| AUTOF 2 A V/R 12/24/44 /EUR/    | AUTOFLORENCE 2 SRL SER 2 CL A V/R REGD REG S /EUR/ 2.59400000                                  | CUSIP: T0R388AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IT        |     750577 | NS      | $797995.11    | 0.14%             | 2044-12-24      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S V/R 09/12/23    | DANSKE BANK A/S REGD V/R REG S EMTN 5.79514000                                                 | CUSIP: 23636BAP4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     500000 | NS      | $500042.71    | 0.09%             | 2023-09-12      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCE V/R 03/08/24  | NISSAN MOTOR ACCEPTANCE REGD V/R 144A P/P 5.37457000                                           | CUSIP: 654740BR9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3375000 | NS      | $3320855.58   | 0.59%             | 2024-03-08      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| HOPSH 1 A V/R 05/27/54 /GBP/    | HOPS HILL NO 1 PLC SER 1 CL A V/R REGD REG S /GBP/ 4.37726000                                  | CUSIP: G4598QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     415421 | NS      | $496824.30    | 0.09%             | 2054-05-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC 4% 10/01/23        | ENBRIDGE INC REGD 4.00000000                                                                   | CUSIP: 29250NAF2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1750000 | NS      | $1735824.30   | 0.31%             | 2023-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN  2.875% 04/16/24  | SAUDI ARABIAN OIL CO REGD REG S EMTN 2.87500000                                                | CUSIP: M8237RAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | SA        |    1500000 | NS      | $1453050.00   | 0.26%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CASH COLL ISDA V/R 12/31/49     | CASH COLLATERAL ISDA BSP USD 4.23000000                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     188000 | NS      | $188000.00    | 0.03%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 05/16/24       | BARCLAYS PLC REGD V/R MTN 6.02386000                                                           | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4400000 | NS      | $4399266.78   | 0.78%             | 2024-05-16      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEU 4.4% 11/26/23  | TAKEDA PHARMACEUTICAL REGD 4.40000000                                                          | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     200000 | NS      | $198383.14    | 0.03%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ROCKWELL AUTOMA 0.35% 08/15/23  | ROCKWELL AUTOMATION REGD 0.35000000                                                            | CUSIP: 773903AK5<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | DBT              | CORP              | US        |     480000 | NS      | $467160.22    | 0.08%             | 2023-08-15      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| PLMRS 2013-2A A1 V/R 10/17/31   | PALMER SQUARE CLO 2013-2 LTD SER 2013-2A CL A1A3 V/R REGD 144A P/P 5.22657000                  | CUSIP: 69688AAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | NS      | $245479.03    | 0.04%             | 2031-10-17      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| WOODSIDE FINANCE 3.7% 09/15/26  | WOODSIDE FINANCE LT REGD REG S 3.70000000                                                      | CUSIP: Q98236AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    1000000 | NS      | $936119.43    | 0.17%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                             | CAD/USD FWD 20230110 000006038 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4448.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC DISC 01/10/23        | HUMANA INC DISC 01/10/23 0.00000000                                                            | CUSIP: 44486JNA3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1200000 | PA      | $1198286.88   | 0.21%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WINDR 2013-1A A1 V/R 07/20/30   | WIND RIVER 2013-1 CLO LTD SER 2013-1A CL A1RR V/R REGD 144A P/P 5.22257000                     | CUSIP: 97316FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     230279 | NS      | $226768.04    | 0.04%             | 2030-07-20      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| AIRCASTLE LTD 5% 04/01/23       | AIRCASTLE LTD REGD 5.00000000                                                                  | CUSIP: 00928QAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     500000 | NS      | $499187.59    | 0.09%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORDF 2020-1 A1 0.7% 09/15/23   | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A SER 2020-1 CL A1 REGD 0.70000000                    | CUSIP: 34528QHK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1400000 | NS      | $1354793.58   | 0.24%             | 2025-09-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE  V/R 12/15/23  | BAYER US FINANCE II LLC REGD V/R 144A P/P 5.77900000                                           | CUSIP: 07274NAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2700000 | NS      | $2693908.45   | 0.47%             | 2023-12-15      | Variable      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| GNR 2021-H09 FG V/R 06/20/71    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2021-H09 CL FG V/R 5.32571000                     | CUSIP: 38380Q4V1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1375806 | NS      | $1406890.78   | 0.25%             | 2071-06-20      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FISERV INC 3.8% 10/01/23        | FISERV INC REGD 3.80000000                                                                     | CUSIP: 337738AQ1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    3415000 | NS      | $3378455.88   | 0.60%             | 2023-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CO 5% 11/12/24  | ISRAEL ELECTRIC CORP LTD REGD SER 6 5.00000000                                                 | CUSIP: 465077AK1<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |     800000 | NS      | $791000.00    | 0.14%             | 2024-11-12      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| SES SA 3.6% 04/04/23            | SES SA REGD P/P 3.60000000                                                                     | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |    1300000 | NS      | $1288304.69   | 0.23%             | 2023-04-04      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FIDELITY NATL IN 0.6% 03/01/24  | FIDELITY NATL INFO SERV REGD 0.60000000                                                        | CUSIP: 31620MBQ8<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    1115000 | NS      | $1055369.19   | 0.19%             | 2024-03-01      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| CGCMT 2021-KEYS  V/R 10/15/23   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-KEYS SER 2021-KEYS CL A V/R REGD 144A P/P 5.49800000  | CUSIP: 17291GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $868889.34    | 0.15%             | 2036-10-15      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| CGCMT 2013-GC15  V/R 09/10/23   | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC15 SER 2013-GC15 CL A4 V/R REGD 4.37100000          | CUSIP: 17321JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | NS      | $989691.30    | 0.17%             | 2046-09-10      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| HUMANA INC 0.65% 08/03/23       | HUMANA INC REGD 0.65000000                                                                     | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    3040000 | NS      | $2961505.77   | 0.52%             | 2023-08-03      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON V/R 02/09/24      | UBS AG LONDON REGD V/R 144A P/P MTN 3.04630000                                                 | CUSIP: 902674YC8<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    1000000 | NS      | $995301.49    | 0.18%             | 2024-02-09      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN HONDA  0.55% 07/12/24  | AMERICAN HONDA FINANCE REGD MTN 0.55000000                                                     | CUSIP: 02665WDS7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1070000 | NS      | $999439.44    | 0.18%             | 2024-07-12      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| ELFI 2021-A A 1.53% 12/26/46    | ELFI GRADUATE LOAN PROGRAM 2021-A LLC SER 2021-A CL A REGD 144A P/P 1.53000000                 | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     826041 | NS      | $722534.23    | 0.13%             | 2046-12-26      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| ATCLO 2013-1A AR V/R 11/17/27   | ATLAS SENIOR LOAN FUND III LTD SER 2013-1A CL AR V/R REGD 144A P/P 5.47971000                  | CUSIP: 04941GAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     192114 | NS      | $189974.19    | 0.03%             | 2027-11-17      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| PRK 2017-280P A V/R 09/15/19    | 280 PARK AVENUE 2017-280P MORTGAGE TRUST SER 2017-280P CL A V/R REGD 144A P/P 5.11700000       | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | NS      | $487394.70    | 0.09%             | 2034-09-15      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| HSBC HOLDINGS PL 3.6% 05/25/23  | HSBC HOLDINGS PLC REGD 3.60000000                                                              | CUSIP: 404280BA6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1500000 | NS      | $1490516.85   | 0.26%             | 2023-05-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CFII 2020-1A A2 V/R 01/15/24    | CHESAPEAKE FUNDING II LLC SER 2020-1A CL A2 V/R REGD 144A P/P 4.96786000                       | CUSIP: 165183CK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     388998 | NS      | $388667.42    | 0.07%             | 2032-08-15      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS  0.523% 03/08/23  | GOLDMAN SACHS GROUP INC REGD 0.52300000                                                        | CUSIP: 38141GXY5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4000000 | NS      | $3969181.32   | 0.70%             | 2023-03-08      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR AC 1.05% 03/08/24  | NISSAN MOTOR ACCEPTANCE REGD 144A P/P 1.05000000                                               | CUSIP: 654740BQ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1170000 | NS      | $1096168.03   | 0.19%             | 2024-03-08      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| MUFG BANK LTD/NY V/R 03/10/23   | MUFG BANK LTD/NY VARIABLE SER_  YCD CTF OF DEPOSIT 4.10000000                                  | CUSIP: 55380TK90<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |    3000000 | NS      | $2999573.34   | 0.53%             | 2023-03-10      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC V/R 06/15/23/AUD/  | BARCLAYS PLC /AUD/ REGD V/R REG S 4.96690000                                                   | CUSIP: G0809LHP7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1000000 | NS      | $681340.61    | 0.12%             | 2023-06-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG S V/R 03/08/24  | NATIONWIDE BLDG SOCIETY REGD V/R 144A P/P 3.76600000                                           | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    1300000 | NS      | $1292935.07   | 0.23%             | 2024-03-08      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | CDX 2I65BYDX0 01.000 SP 12/20/2025 SBNYUS33XXX FLOAT                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $-24765.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 02/04/25  | BANK OF AMERICA CORP REGD V/R 1.84300000                                                       | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1490000 | NS      | $1427736.91   | 0.25%             | 2025-02-04      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| VMWARE INC 0.6% 08/15/23        | VMWARE INC REGD 0.60000000                                                                     | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    4800000 | NS      | $4674444.19   | 0.82%             | 2023-08-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| GCOLT 20 0.641% 03/20/24 /CAD/  | GMF CANADA LEASING TRUST SER 2021-1A CL A2 REGD 144A P/P /CAD/ 0.64100000                      | CUSIP: 36252MCE8<br>LEI: 549300KHZQ7YBTEOJU80 | Long             | ABS-CBDO         | CORP              | CA        |     143334 | NS      | $105503.45    | 0.02%             | 2024-03-20      | Fixed         | 0.64%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI HC C 3.96% 09/19/23  | MITSUBISHI HC CAPITAL REGD 144A P/P 3.96000000                                                 | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |     550000 | NS      | $543504.50    | 0.10%             | 2023-09-19      | Fixed         | 3.96%                 | Yes           |                  2 | On Loan: No      |
| JDE PEET'S NV 0.8% 09/24/24     | JDE PEET'S NV REGD 144A P/P 0.80000000                                                         | CUSIP: 47216QAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     400000 | NS      | $365508.66    | 0.06%             | 2024-09-24      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| WELLS FAR 2.509% 10/27/23/CAD/  | WELLS FARGO & COMPANY /CAD/ REGD P/P SER MPLE 2.50900000                                       | CUSIP: 949746SG7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2500000 | NS      | $1803063.15   | 0.32%             | 2023-10-27      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-NQM5 A V/R 11/25/59   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM5 SER 2019-NQM5 CL A1 V/R REGD 144A P/P 2.70986000 | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     310021 | NS      | $278940.63    | 0.05%             | 2059-11-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN GROU 4.25% 11/13/23  | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 4.25000000                                              | CUSIP: 928668AR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2090000 | NS      | $2069444.64   | 0.36%             | 2023-11-13      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2021-BHAR A V/R 11/15/23   | CSMC 2021-BHAR SER 2021-BHAR CL A V/R REGD 144A P/P 5.46800000                                 | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     973500 | NS      | $928092.16    | 0.16%             | 2038-11-15      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| BACCT 2021-A1  0.44% 04/15/24   | BA CREDIT CARD TRUST SER 2021-A1 CL A1 REGD 0.44000000                                         | CUSIP: 05522RDD7<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-CBDO         | CORP              | US        |    2180000 | NS      | $2055113.03   | 0.36%             | 2026-09-15      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| SMB 2022-D A1B V/R 10/15/58     | SMB PRIVATE EDUCATION LOAN TRUST 2022-D SER 2022-D CL A1B V/R REGD 144A P/P 5.60732000         | CUSIP: 78454XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1976003 | NS      | $1959023.93   | 0.35%             | 2058-10-15      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| SYNCHRONY FINA 4.375% 03/19/24  | SYNCHRONY FINANCIAL REGD 4.37500000                                                            | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    2750000 | NS      | $2701367.19   | 0.48%             | 2024-03-19      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VOYA 2018-3A A1A V/R 10/15/31   | VOYA CLO 2018-3 LTD SER 2018-3A CL A1A V/R REGD 144A P/P 5.22914000                            | CUSIP: 92917KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1150000 | NS      | $1132373.61   | 0.20%             | 2031-10-15      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| BAYER US FINAN 3.875% 12/15/23  | BAYER US FINANCE II LLC REGD 144A P/P 3.87500000                                               | CUSIP: 07274NAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5195000 | NS      | $5119507.71   | 0.90%             | 2023-12-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| CSMC 2021-RPL4 A V/R 12/27/60   | CSMC 2021-RPL4 TRUST SER 2021-RPL4 CL A1 V/R REGD 144A P/P 1.79561000                          | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     317468 | NS      | $290243.36    | 0.05%             | 2060-12-27      | Variable      | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FIRST ABU DH V/R 02/18/25/AUD/  | FIRST ABU DHABI BANK PJS /AUD/ REGD V/R MTN 4.14500000                                         | CUSIP: M4289DSG7<br>LEI: 2138002Y3WMK6RZS8H90 | Long             | DBT              | CORP              | AE        |     700000 | NS      | $472913.12    | 0.08%             | 2025-02-18      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CARMX 2021-2 A 0.52% 02/17/26   | CARMAX AUTO OWNER TRUST 2021-2 SER 2021-2 CL A3 REGD 0.52000000                                | CUSIP: 14314QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1021032 | NS      | $982547.12    | 0.17%             | 2026-02-17      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP V/R 08/30/23    | NORDEA BANK ABP REGD V/R 144A P/P 5.67486000                                                   | CUSIP: 65557CAZ6<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |     200000 | NS      | $200229.59    | 0.04%             | 2023-08-30      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| TRUIST BANK V/R 08/02/24        | TRUIST BANK REGD V/R SER BKNT 3.68900000                                                       | CUSIP: 86787EAY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | NS      | $4955233.05   | 0.87%             | 2024-08-02      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITA 4.125% 06/08/23  | HYUNDAI CAPITAL AMERICA REGD REG S 4.12500000                                                  | CUSIP: 44891CAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | NS      | $298170.00    | 0.05%             | 2023-06-08      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNIV OF NORTH C 0.41% 04/01/23  | UNIV OF NORTH CAROLINA NC AT C REGD N/C B/E 0.41000000                                         | CUSIP: 914716S89<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     350000 | NS      | $346247.44    | 0.06%             | 2023-04-01      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDE 3.848% 04/12/23  | BANCO SANTANDER SA REGD 3.84800000                                                             | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    3400000 | NS      | $3381813.54   | 0.60%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| SK TELECOM CO L 3.75% 04/16/23  | SK TELECOM CO LTD REGD REG S 3.75000000                                                        | CUSIP: Y4935NAM6<br>LEI: 9884003WEA1PHW006037 | Long             | DBT              | CORP              | KR        |     400000 | NS      | $398420.00    | 0.07%             | 2023-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.25% 06/15/23  | PACIFIC GAS & ELECTRIC REGD 3.25000000                                                         | CUSIP: 694308HC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | NS      | $98883.69     | 0.02%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                             | IRS RUS3MPUS1M 01/13/23 SBNYUS33 FLOAT                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $29482.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PPSI 2005-WCW2 M V/R 07/25/35   | PARK PLACE SECURITIES INC ASSET-BACKED PASS-THROUG SER 2005-WCW2 CL M2 V/R REGD 5.18371000     | CUSIP: 70069FLH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     586668 | NS      | $574355.23    | 0.10%             | 2035-07-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCI 3.549% 03/05/23  | MIZUHO FINANCIAL GROUP REGD 3.54900000                                                         | CUSIP: 60687YAP4<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    2500000 | NS      | $2494391.90   | 0.44%             | 2023-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                             | ILS/USD FWD 20230302 000006038 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6238.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNR 2015-H04 FA V/R 12/20/64    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2015-H04 CL FA V/R 3.49350000                     | CUSIP: 38378U8L4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1140388 | NS      | $1117335.97   | 0.20%             | 2064-12-20      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK DISC 02/06/23    | MACQUARIE BANK DISC 02/06/23 0.00000000                                                        | CUSIP: 55607LP65<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    3000000 | PA      | $2985996.90   | 0.53%             | 2023-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERG DISC 02/01/23    | DOMINION ENERG DISC 02/01/23 0.00000000                                                        | CUSIP: 2574P1P14<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1100000 | PA      | $1095295.08   | 0.19%             | 2023-02-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FKH 2020-SFR2 1.266% 11/17/25   | FIRSTKEY HOMES 2020-SFR2 TRUST SER 2020-SFR2 CL A REGD 144A P/P 1.26600000                     | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     791105 | NS      | $701622.62    | 0.12%             | 2037-10-19      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| BAMLL 2018-DSNY  V/R 09/15/20   | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-DSNY SER 2018-DSNY CL A V/R REGD 5.16800000    | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     853000 | NS      | $836866.87    | 0.15%             | 2034-09-15      | Variable      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| NATIXIS N Y BRH 4% 08/18/23     | NATIXIS N Y BRH INSTL DEP_____  PROGRAM CTF OF DEPOSIT 4.00000000                              | CUSIP: 63873QVY7<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    2000000 | PA      | $1982556.20   | 0.35%             | 2023-08-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NAVSL 2019-BA A2 V/R 02/15/28   | NAVIENT STUDENT LOAN TRUST 2019-B SER 2019-BA CL A2B V/R REGD 144A P/P 5.29786000              | CUSIP: 63941LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     263644 | NS      | $257422.85    | 0.05%             | 2059-12-15      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| JAPAN TREASU ZCP 01/06/23/JPY/  | JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1110 0.00000000                                    | CUSIP: J2S39LWU4<br>LEI: N/A                  | Long             | STIV             | USGA              | JP        | 1100000000 | PA      | $8381682.84   | 1.48%             | 2023-01-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BABSN 2019-3A A1 V/R 04/20/31   | BARINGS CLO LTD 2019-III SER 2019-3A CL A1R V/R REGD 144A P/P 5.31257000                       | CUSIP: 06761KAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | NS      | $244868.28    | 0.04%             | 2031-04-20      | Variable      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 04/24/24     | MORGAN STANLEY REGD V/R 3.73700000                                                             | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2500000 | NS      | $2486698.50   | 0.44%             | 2024-04-24      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| SMI 2022-1A 1A V/R 04/21/24     | SILVERSTONE MASTER ISSUER PLC SER 2022-1A CL 1A V/R REGD 144A P/P 4.03266000                   | CUSIP: 82846GAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     700000 | NS      | $697021.50    | 0.12%             | 2070-01-21      | Variable      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| CITM 2007-1 1A V/R 08/25/24     | CIT MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 1A V/R REGD 144A P/P 5.73871000                   | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     108169 | NS      | $107551.24    | 0.02%             | 2037-10-25      | Variable      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| AVIATION CAPIT 3.875% 05/01/23  | AVIATION CAPITAL GROUP REGD 144A P/P 3.87500000                                                | CUSIP: 05369AAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | NS      | $2479640.23   | 0.44%             | 2023-05-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GMALT 2022-2 A 2.93% 10/21/24   | GM FINANCIAL AUTOMOBILE LEASING TRUST 2022-2 SER 2022-2 CL A2 REGD 2.93000000                  | CUSIP: 36266FAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1844088 | NS      | $1822770.23   | 0.32%             | 2024-10-21      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERAL 4.25% 09/14/23  | SOCIETE GENERALE REGD 144A P/P MTN 4.25000000                                                  | CUSIP: 83368RAL6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     300000 | NS      | $297345.33    | 0.05%             | 2023-09-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| AREIT 2019-CRE3  V/R 01/14/22   | AREIT 2019-CRE3 TRUST SER 2019-CRE3 CL A V/R REGD 144A P/P 5.71020000                          | CUSIP: 00217LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      23476 | NS      | $22961.21     | 0.00%             | 2036-09-14      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| ENEL FINANCE IN 4.25% 06/15/25  | ENEL FINANCE INTL NV REGD 144A P/P 4.25000000                                                  | CUSIP: 29278GAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     300000 | NS      | $290732.40    | 0.05%             | 2025-06-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MSBAM 2013-C10 A V/R 01/15/23   | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2013-C10 CL ASB V/R REGD 3.91200000      | CUSIP: 61762MBU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      10559 | NS      | $10530.22     | 0.00%             | 2046-07-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| MSBAM 2013-C11 A V/R 04/15/23   | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUS SER 2013-C11 CL AAB V/R REGD 3.84500000      | CUSIP: 61762TAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      85814 | NS      | $85429.67     | 0.02%             | 2046-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| SMI 2022-1X V/R 04/21/27 /GBP/  | SILVERSTONE MASTER ISSUER PLC SER 2022-1X CL 2A V/R REGD REG S /GBP/ 3.06966000                | CUSIP: G8T62FBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     550000 | NS      | $656930.10    | 0.12%             | 2070-01-21      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| VWALT 2022-A A 3.02% 01/20/24   | VOLKSWAGEN AUTO LEASE TRUST 2022-A SER 2022-A CL A2 REGD 3.02000000                            | CUSIP: 92868AAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2791518 | NS      | $2752767.56   | 0.49%             | 2024-10-21      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC V/R 02/17/23       | ENBRIDGE INC REGD V/R 3.22600000                                                               | CUSIP: 29250NBD6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     375000 | NS      | $374862.38    | 0.07%             | 2023-02-17      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASU ZCP 01/23/23/JPY/  | JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1114 0.00000000                                    | CUSIP: J2S39LXH2<br>LEI: N/A                  | Long             | STIV             | USGA              | JP        | 1000000000 | PA      | $7620325.82   | 1.34%             | 2023-01-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VZOT 2020-A A1B V/R 02/20/23    | VERIZON OWNER TRUST 2020-A SER 2020-A CL A1B V/R REGD 4.62286000                               | CUSIP: 92348TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      81881 | NS      | $81848.78     | 0.01%             | 2024-07-22      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/ 5.375% 01/12/24  | DANSKE BANK A/S REGD REG S 5.37500000                                                          | CUSIP: 23636BAT6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    1200000 | NS      | $1190386.88   | 0.21%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DWSON 2021- V/R 10/20/24 /GBP/  | DOWSON 2021-2 PLC SER 2021-2 CL B V/R REGD REG S /GBP/ 4.52855000                              | CUSIP: G2826NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     200000 | NS      | $238868.68    | 0.04%             | 2028-10-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL V/R 12/31/49    | CASH COLLATERAL USD 4.23000000                                                                 | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             | CORP              | US        |     -97000 | NS      | $-97000.00    | -0.02%            | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C4 3.091% 09/10/25   | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C4 SER 2016-C4 CL ASB REGD 3.09100000                     | CUSIP: 12531YAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     794363 | NS      | $762937.77    | 0.13%             | 2058-05-10      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL  0.375% 03/01/23  | FIDELITY NATL INFO SERV REGD 0.37500000                                                        | CUSIP: 31620MBP0<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    3745000 | NS      | $3716725.62   | 0.66%             | 2023-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ANORI 2022- V/R 01/25/40 /EUR/  | AUTONORIA SPAIN 2022 FT SER 2022-SP CL A V/R REGD REG S /EUR/ 2.73400000                       | CUSIP: E7827FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | ES        |     800000 | NS      | $855946.36    | 0.15%             | 2040-01-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISS V/R 05/26/23/AUD/  | CREDIT SUISSE/SYDNEY /AUD/ REGD V/R MTN 4.25980000                                             | CUSIP: Q2R8CZKP5<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    2500000 | NS      | $1689418.92   | 0.30%             | 2023-05-26      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                             | CDX 2I65BYDY8 01.000 BP 06/20/2026 SBNYUS33XXX FLOAT                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $-100408.19   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                             | EUR/USD FWD 20230315 000009605 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-43322.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CCCIT 2017-A5 A5 V/R 04/22/24   | CITIBANK CREDIT CARD ISSUANCE TRUST SER 2017-A5 CL A5 V/R REGD 4.98129000                      | CUSIP: 17305EGD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $900227.97    | 0.16%             | 2026-04-22      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| MTN 2022-LPFL A V/R 03/15/27    | MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL SER 2022-LPFL CL A V/R REGD 144A P/P 5.73251000        | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1100000 | NS      | $1070596.34   | 0.19%             | 2039-03-15      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| MF1 2021-W10 A V/R 12/15/24     | MF1 2021-W10X SER 2021-W10 CL A V/R REGD 144A P/P 5.40632700                                   | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1130000 | NS      | $1065824.81   | 0.19%             | 2034-12-15      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| PRDGY 2021-1A A V/R 07/25/51    | PRODIGY FINANCE CM2021-1 DAC SER 2021-1A CL A V/R REGD 144A P/P 5.63871000                     | CUSIP: 742855AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     112385 | NS      | $108592.38    | 0.02%             | 2051-07-25      | Variable      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| PENSKE TRUCK LEA 3.9% 02/01/24  | PENSKE TRUCK LEASING/PTL REGD 144A P/P 3.90000000                                              | CUSIP: 709599BB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | NS      | $1958336.22   | 0.35%             | 2024-02-01      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| SMB 2021-A A2A1 V/R 01/15/53    | SMB PRIVATE EDUCATION LOAN TRUST 2021-A SER 2021-A CL A2A1 V/R REGD 144A P/P 5.04786000        | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2033654 | NS      | $1945724.90   | 0.34%             | 2053-01-15      | Variable      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FNR 2022-8 D 2% 08/25/38        | FANNIE MAE REMICS SER 2022-8 CL D 2.00000000                                                   | CUSIP: 3136BLW30<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1484874 | NS      | $1346091.41   | 0.24%             | 2038-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS NEW YORK 3.06%  6/9/23  | NATIXIS NEW YORK 3.06%  6/9/23 3.06000000                                                      | CUSIP: 63873QUL6<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    3000000 | PA      | $2972768.76   | 0.52%             | 2023-06-09      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| AT&T INC V/R 06/12/24           | AT&T INC REGD V/R 5.91514000                                                                   | CUSIP: 00206RGD8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    5300000 | NS      | $5337874.38   | 0.94%             | 2024-06-12      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| HERTZ 2022-3A  3.37% 03/25/24   | HERTZ VEHICLE FINANCING III LLC SER 2022-3A CL A REGD 144A P/P 3.37000000                      | CUSIP: 42806MAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     100000 | NS      | $97489.95     | 0.02%             | 2025-03-25      | Fixed         | 3.37%                 | Yes           |                  2 | On Loan: No      |
| ISRAEL MAKAM ZCP 03/02/23/ILS/  | ISRAEL MAKAM BILL /ILS/ REGD ZCP SER 0313 0.00000000                                           | CUSIP: M1R796FU6<br>LEI: N/A                  | Long             | STIV             | USGA              | IL        |     670000 | PA      | $189538.85    | 0.03%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS F 3.7% 05/09/23  | GENERAL MOTORS FINL CO REGD 3.70000000                                                         | CUSIP: 37045XBK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | NS      | $1194047.90   | 0.21%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF C 5.66% 10/25/24  | ROYAL BANK OF CANADA REGD 5.66000000                                                           | CUSIP: 78016FZR8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     980000 | NS      | $991693.64    | 0.17%             | 2024-10-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY2 A1 V/R 05/25/58   | TOWD POINT MORTGAGE TRUST 2019-HY2 SER 2019-HY2 CL A1 V/R REGD 144A P/P 5.38871000             | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     309676 | NS      | $306768.43    | 0.05%             | 2058-05-25      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FSRIA 2022-FL6 A V/R 05/17/27   | FS RIALTO 2022-FL6 ISSUER LLC SER 2022-FL6 CL A V/R REGD 144A P/P 6.90456000                   | CUSIP: 30328DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     640000 | NS      | $633694.40    | 0.11%             | 2037-08-17      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| SREIT 2021-IND A V/R 10/15/23   | SREIT TRUST 2021-IND SER 2021-IND CL A V/R REGD 144A P/P 5.01800000                            | CUSIP: 78473JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $864164.70    | 0.15%             | 2038-10-15      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| BANCO BILBAO V 0.875% 09/18/23  | BANCO BILBAO VIZCAYA ARG REGD 0.87500000                                                       | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1800000 | NS      | $1743071.99   | 0.31%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS 3.472% 12/10/23   | COMM 2014-UBS2 MORTGAGE TRUST SER 2014-UBS2 CL ASB REGD 3.47200000                             | CUSIP: 12591UAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     446201 | NS      | $440029.74    | 0.08%             | 2047-03-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CR1 4.258% 09/10/23   | COMM 2013-CCRE11 MORTGAGE TRUST SER 2013-CR11 CL A4 REGD 4.25800000                            | CUSIP: 12626LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     750000 | NS      | $741726.23    | 0.13%             | 2050-08-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| SGSHR 1A A V/R 11/17/25 /GBP/   | SAGE AR FUNDING NO 1 PLC SER 1A CL A V/R REGD 144A P/P /GBP/ 4.27569000                        | CUSIP: G7770JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     800000 | NS      | $924700.67    | 0.16%             | 2030-11-17      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| MARYLAND ST DE 0.361% 08/01/23  | MARYLAND ST DEPT OF TRANSPRTN REGD N/C B/E 0.36100000                                          | CUSIP: 57421FAA5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     450000 | NS      | $438643.40    | 0.08%             | 2023-08-01      | Fixed         | 0.36%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GR 3.2% 02/23/23  | GOLDMAN SACHS GROUP INC REGD 3.20000000                                                        | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1516000 | NS      | $1512198.10   | 0.27%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| TPGI 2021-DGWD A V/R 06/15/26   | TPGI TRUST 2021-DGWD SER 2021-DGWD CL A V/R REGD 144A P/P 5.02000000                           | CUSIP: 87267HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1360000 | NS      | $1310096.30   | 0.23%             | 2026-06-15      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| TSYMP 2016-1A AR V/R 10/13/32   | TCI-SYMPHONY CLO 2016-1 LTD SER 2016-1A CL AR2 V/R REGD 144A P/P 4.96071000                    | CUSIP: 87229WAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     265000 | NS      | $259692.82    | 0.05%             | 2032-10-13      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| NOMURA HOLDING 1.851% 07/16/25  | NOMURA HOLDINGS INC REGD 1.85100000                                                            | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1900000 | NS      | $1733033.11   | 0.31%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FASTR 20 1.162% 08/15/24 /CAD/  | FORD AUTO SECURITIZATION TRUST 2021-A SER 2021-AA CL A2 REGD 144A P/P /CAD/ 1.16200000         | CUSIP: 345213JH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    1062329 | NS      | $762104.45    | 0.13%             | 2025-10-15      | Fixed         | 1.16%                 | Yes           |                  2 | On Loan: No      |
| WLAKE 2021-3A  0.95% 06/16/25   | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-3 SER 2021-3A CL A3 REGD 144A P/P 0.95000000        | CUSIP: 96043JAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1460000 | NS      | $1419543.40   | 0.25%             | 2025-06-16      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  JUN24     | FUTURE CONTRACT ON           3 MONTH SOFR FUT  JUN24 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -133 | NC      | $-31996475.00 | -5.64%            |  |  |  | No            |                  1 | On Loan: No      |
| GNR 2019-54 KF V/R 05/20/44     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2019-54 CL KF V/R 2.50000000                      | CUSIP: 38381R7J2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     372518 | NS      | $354704.81    | 0.06%             | 2044-05-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM I 3.875% 12/01/23  | RYDER SYSTEM INC REGD MTN 3.87500000                                                           | CUSIP: 78355HKK4<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    2000000 | NS      | $1974983.76   | 0.35%             | 2023-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FI V/R 03/08/24  | GENERAL MOTORS FINL CO REGD V/R 3.94532000                                                     | CUSIP: 37045XDF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | NS      | $985526.87    | 0.17%             | 2024-03-08      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| AOZORA BANK 1.05% 09/09/24      | AOZORA BANK REGD REG S 1.05000000                                                              | CUSIP: J0172K8V2<br>LEI: X0XUGKC9FD2CYUQNC010 | Long             | DBT              | CORP              | JP        |    1000000 | NS      | $924440.00    | 0.16%             | 2024-09-09      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC 2.95% 05/15/23       | LEIDOS INC REGD SER WI 2.95000000                                                              | CUSIP: 52532XAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | NS      | $1686407.75   | 0.30%             | 2023-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLB 0.96% 03/05/26             | FEDERAL HOME LOAN BANKS 0.96000000                                                             | CUSIP: 3130ALHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2100000 | NS      | $1884226.41   | 0.33%             | 2026-03-05      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK  1.65% 03/03/23   | BARCLAYS BANK PLC CTF OF DEPOSIT 1.65000000                                                    | CUSIP: 06742TJ56<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    2000000 | PA      | $1989862.80   | 0.35%             | 2023-03-03      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDI 0.7% 04/03/23  | SOUTHERN CAL EDISON REGD 0.70000000                                                            | CUSIP: 842400GZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2200000 | NS      | $2177723.22   | 0.38%             | 2023-04-03      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CARMX 2022-2 A2B V/R 05/15/25   | CARMAX AUTO OWNER TRUST 2022-2 SER 2022-2 CL A2B V/R REGD 4.40732000                           | CUSIP: 14317HAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     801478 | NS      | $801018.57    | 0.14%             | 2025-05-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY 3.75% 02/25/23   | MORGAN STANLEY REGD MTN SER GMTN 3.75000000                                                    | CUSIP: 61746BDJ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1000000 | NS      | $997947.36    | 0.18%             | 2023-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DWSON 2022- V/R 05/20/25 /GBP/  | DOWSON 2022-1 PLC SER 2022-1 CL A V/R REGD REG S /GBP/ 4.24855000                              | CUSIP: G2826QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     273339 | NS      | $329793.68    | 0.06%             | 2029-01-20      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 05/18/24  | HSBC HOLDINGS PLC REGD V/R 5.67429000                                                          | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3500000 | NS      | $3485945.96   | 0.61%             | 2024-05-18      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| STAR 2020-3 A1 V/R 04/25/65     | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 SER 2020-3 CL A1 V/R REGD 144A P/P 1.48600000       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     215380 | NS      | $197169.23    | 0.03%             | 2065-04-25      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| DWSON 2021- V/R 10/20/24 /GBP/  | DOWSON 2021-2 PLC SER 2021-2 CL A V/R REGD REG S /GBP/ 4.00855000                              | CUSIP: G2826NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     256365 | NS      | $309469.85    | 0.05%             | 2028-10-20      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKI V/R 03/20/23/AUD/  | LLOYDS BANKING GROUP PLC /AUD/ REGD V/R MTN 4.50720000                                         | CUSIP: G55365GP2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     300000 | NS      | $204220.76    | 0.04%             | 2023-03-20      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| SMB 2016-B A2B V/R 08/15/25     | SMB PRIVATE EDUCATION LOAN TRUST 2016-B SER 2016-B CL A2B V/R REGD 144A P/P 5.76786000         | CUSIP: 78449GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     547953 | NS      | $543966.84    | 0.10%             | 2032-02-17      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| TOWN 2022-STAY A V/R 08/15/24   | INTOWN 2022-STAY MORTGAGE TRUST SER 2022-STAY CL A V/R REGD 144A P/P 6.82460000                | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1250000 | NS      | $1241780.88   | 0.22%             | 2039-08-15      | Variable      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| FHLB 3.625% 02/28/24            | FEDERAL HOME LOAN BANKS 3.62500000                                                             | CUSIP: 3130ASXL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1000000 | NS      | $985505.10    | 0.17%             | 2024-02-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UBS AG AUSTR V/R 07/30/25/AUD/  | UBS AG AUSTRALIA /AUD/ REGD V/R REG S SER . 3.95630000                                         | CUSIP: Q9T799BR8<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    2100000 | NS      | $1425696.34   | 0.25%             | 2025-07-30      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS 3.8% 01/10/24       | BNP PARIBAS REGD REG S EMTN 3.80000000                                                         | CUSIP: 05581LAB5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | NS      | $196568.70    | 0.03%             | 2024-01-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FSQ 2020-2A V/R 06/16/70 /GBP/  | FINSBURY SQUARE 2020-2 PLC SER 2020-2A CL A V/R REGD 144A P/P /GBP/ 4.51507000                 | CUSIP: G345AHAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     218577 | NS      | $264252.84    | 0.05%             | 2070-06-16      | Variable      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORP 2.4% 09/15/23       | ORACLE CORP REGD 2.40000000                                                                    | CUSIP: 68389XBL8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3500000 | NS      | $3428788.13   | 0.60%             | 2023-09-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PWNE 2021-1 A2 1.1% 02/15/25    | PAWNEEE EQUIPMENT RECEIVABLES SERIES 2021-1 LLC SER 2021-1 CL A2 REGD 144A P/P 1.10000000      | CUSIP: 704100AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     759259 | NS      | $728339.51    | 0.13%             | 2027-07-15      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN GRO 0.875% 11/22/23  | VOLKSWAGEN GROUP AMERICA REGD 144A P/P 0.87500000                                              | CUSIP: 928668BJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1800000 | NS      | $1731306.11   | 0.31%             | 2023-11-22      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| COMM 2013-CR8 A5 V/R 05/10/23   | COMM 2013-CCRE8 MORTGAGE TRUST SER 2013-CR8 CL A5 V/R REGD 3.61200000                          | CUSIP: 12625KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     347307 | NS      | $345102.48    | 0.06%             | 2046-06-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNR 2020-29 FC V/R 05/25/50     | FANNIE MAE REMICS SER 2020-29 CL FC V/R 3.49924100                                             | CUSIP: 3136B9TM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1542764 | NS      | $1549357.78   | 0.27%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC DISC 01/17/23        | FISERV INC DISC 01/17/23 0.00000000                                                            | CUSIP: 33774LNH7<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1800000 | PA      | $1795825.80   | 0.32%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FSQ 2019-3  V/R 12/16/69 /GBP/  | FINSBURY SQUARE 2019-3 PLC SER 2019-3 CL A V/R REGD REG S /GBP/ 4.22507000                     | CUSIP: G345AEAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |      88977 | NS      | $107483.76    | 0.02%             | 2069-12-16      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 10/21/25     | MORGAN STANLEY REGD V/R MTN 1.16400000                                                         | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1400000 | NS      | $1286794.14   | 0.23%             | 2025-10-21      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| HAROT 2019-3 A 1.85% 10/17/22   | HONDA AUTO RECEIVABLES 2019-3 OWNER TRUST SER 2019-3 CL A4 REGD 1.85000000                     | CUSIP: 43815NAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     204040 | NS      | $203792.41    | 0.04%             | 2025-08-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| PRET 2021-RN1 A1 V/R 07/25/24   | PRETIUM MORTGAGE CREDIT PARTNERS LLC SER 2021-RN1 CL A1 V/R REGD 144A P/P 1.99170000           | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     252847 | NS      | $228247.18    | 0.04%             | 2061-02-25      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| OAKC 2020-6A AR V/R 07/20/34    | OHA CREDIT FUNDING 6 LTD SER 2020-6A CL AR V/R REGD 144A P/P 5.38257000                        | CUSIP: 67098UAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | NS      | $969519.70    | 0.17%             | 2034-07-20      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | JPY/USD FWD 20230106 000011343 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-447718.89   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES 0.75% 09/29/23  | GILEAD SCIENCES INC REGD 0.75000000                                                            | CUSIP: 375558BW2<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    2625000 | NS      | $2542991.93   | 0.45%             | 2023-09-29      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AHT1 2018-KEYS A V/R 06/15/20   | ASHFORD HOSPITALITY TRUST 2018-KEYS SER 2018-KEYS CL A V/R REGD 144A P/P 5.31800000            | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | NS      | $481334.70    | 0.08%             | 2035-06-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FORDL 2022-A A2B V/R 10/15/23   | FORD CREDIT AUTO LEASE TRUST 2022-A SER 2022-A CL A2B V/R REGD 4.40732000                      | CUSIP: 34528LAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     581010 | NS      | $580691.50    | 0.10%             | 2024-10-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST 4.25% 06/15/23   | CONNECTICUT ST REGD N/C B/E 4.25000000                                                         | CUSIP: 20772KQF9<br>LEI: 5493007GRO6CU0IKP741 | Long             | STIV             | MUN               | US        |     380000 | PA      | $379975.22    | 0.07%             | 2023-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BSPRT 2021-FL7 A V/R 12/15/38   | BSPRT 2021-FL7 ISSUER LTD SER 2021-FL7 CL A V/R REGD 144A P/P 5.63786000                       | CUSIP: 05602CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     360000 | NS      | $344712.42    | 0.06%             | 2038-12-15      | Variable      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| BANK OF MONTREA 4.25% 09/14/24  | BANK OF MONTREA REGD MTN SER H 4.25000000                                                      | CUSIP: 06368LAP1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    2000000 | NS      | $1974252.34   | 0.35%             | 2024-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AM 1% 09/17/24  | HYUNDAI CAPITAL AMERICA REGD 144A P/P 1.00000000                                               | CUSIP: 44891ABY2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     725000 | NS      | $670187.57    | 0.12%             | 2024-09-17      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC V/R 05/15/24      | CITIGROUP INC REGD V/R 1.67800000                                                              | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6480000 | NS      | $6388838.13   | 1.13%             | 2024-05-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.85% 11/15/23  | PACIFIC GAS & ELECTRIC REGD 3.85000000                                                         | CUSIP: 694308HE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | NS      | $98564.84     | 0.02%             | 2023-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CIFC 2014-5A A1R V/R 10/17/31   | CIFC FUNDING 2014-V LTD SER 2014-5A CL A1R2 V/R REGD 144A P/P 5.27914000                       | CUSIP: 12550AAT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | NS      | $985206.80    | 0.17%             | 2031-10-17      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| LOS ANGELES CA 0.419% 11/01/23  | LOS ANGELES CA MUNI IMPT CORPL REGD N/C B/E 0.41900000                                         | CUSIP: 5445872R8<br>LEI: 549300ZJ0YLTZNSR8F57 | Long             | DBT              | MUN               | US        |     590000 | NS      | $570479.08    | 0.10%             | 2023-11-01      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELEC  DISC 01/04/23    | AMERICAN ELEC  DISC 01/04/23 0.00000000                                                        | CUSIP: 0255E3N46<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1800000 | PA      | $1798861.68   | 0.32%             | 2023-01-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C US 10YR ULTRA FUT MAR23     | FUTURE CONTRACT ON           US 10YR ULTRA FUT MAR23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -40 | NC      | $-4731250.00  | -0.83%            |  |  |  | No            |                  1 | On Loan: No      |
| COMM 2013-GAM 3.367% 02/10/21   | COMM 2013-GAM SER 2013-GAM CL A2 REGD 144A P/P 3.36700000                                      | CUSIP: 12624UAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1190980 | NS      | $1183987.50   | 0.21%             | 2028-02-10      | Fixed         | 3.37%                 | Yes           |                  2 | On Loan: No      |
| COMM 2015-LC19 3.04% 09/10/24   | COMM 2015-LC19 MORTGAGE TRUST SER 2015-LC19 CL ASB REGD 3.04000000                             | CUSIP: 200474AZ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     225391 | NS      | $220170.62    | 0.04%             | 2048-02-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                             | AUD/USD FWD 20230216 000016440 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $9116.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FSRIA 2022-FL4 A V/R 01/19/39   | FS RIALTO 2022-FL4 ISSUER LLC SER 2022-FL4 CL A V/R REGD 144A P/P 5.70832000                   | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     582500 | NS      | $565378.93    | 0.10%             | 2039-01-19      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE AG  3.13% 6/9/23  | CREDIT SUISSE AG  3.13% 6/9/23 3.13000000                                                      | CUSIP: 22552GBM1<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1200000 | PA      | $1186920.00   | 0.21%             | 2023-06-09      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                             | CDX 2I65BYDZ5 01.000 BP 12/20/2026 SBNYUS33XXX FLOAT                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |          1 | NC      | $-233006.38   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI  0.8% 09/16/24  | SUMITOMO MITSUI TR BK LT REGD 144A P/P MTN 0.80000000                                          | CUSIP: 86563VAW9<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |     200000 | NS      | $184827.79    | 0.03%             | 2024-09-16      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| BWAY 2021-1450 A V/R 09/15/23   | BWAY 2021-1450 MORTGAGE TRUST SER 2021-1450 CL A V/R REGD 144A P/P 5.56787000                  | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | NS      | $485196.40    | 0.09%             | 2036-09-15      | Variable      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| SYMP 2020-24A A V/R 01/23/32    | SYMPHONY CLO XXIV LTD SER 2020-24A CL A V/R REGD 144A P/P 5.52457000                           | CUSIP: 87167QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | NS      | $689492.93    | 0.12%             | 2032-01-23      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| DPF 2022-1  V/R 01/28/27 /EUR/  | DUTCH PROPERTY FINANCE 2022-1 BV SER 2022-1 CL A V/R REGD REG S /EUR/ 2.32800000               | CUSIP: N2819YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |     809388 | NS      | $850437.61    | 0.15%             | 2059-10-28      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| AT&T INC V/R 09/19/23/AUD/      | AT&T INC /AUD/ REGD V/R 4.45140000                                                             | CUSIP: U04644DD6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     720000 | NS      | $491433.48    | 0.09%             | 2023-09-19      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT  V/R 02/01/24  | CHARTER COMM OPT LLC/CAP REGD V/R 6.08957000                                                   | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | NS      | $4018416.72   | 0.71%             | 2024-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 0.9% 02/15/24       | PHILLIPS 66 REGD 0.90000000                                                                    | CUSIP: 718546AY0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    1800000 | NS      | $1721339.84   | 0.30%             | 2024-02-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| JPMCC 2018-AO 4.128% 07/05/23   | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES SER 2018-AON CL A REGD 144A P/P 4.12830000    | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | NS      | $936719.20    | 0.17%             | 2031-07-05      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| DELL INT LLC /  5.45% 06/15/23  | DELL INT LLC / EMC CORP REGD 5.45000000                                                        | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | NS      | $600374.51    | 0.11%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL  0.8% 04/03/23  | HYUNDAI CAPITAL AMERICA REGD 144A P/P MTN 0.80000000                                           | CUSIP: 44891ABU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2790000 | NS      | $2757460.59   | 0.49%             | 2023-04-03      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| CNH INDUSTRIAL  1.95% 07/02/23  | CNH INDUSTRIAL CAP LLC REGD 1.95000000                                                         | CUSIP: 12592BAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | NS      | $688042.93    | 0.12%             | 2023-07-02      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFI 1.35% 12/02/24  | CANADIAN PACIFIC RAILWAY REGD 1.35000000                                                       | CUSIP: 13645RBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    2140000 | NS      | $1996211.99   | 0.35%             | 2024-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| KOMATSU FINANC 0.849% 09/09/23  | KOMATSU FINANCE AMERICA REGD REG S 0.84900000                                                  | CUSIP: U50040ED9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | NS      | $1164150.43   | 0.21%             | 2023-09-09      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC 2.15% 02/16/24     | ENBRIDGE INC REGD 2.15000000                                                                   | CUSIP: 29250NBK0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     720000 | NS      | $694974.48    | 0.12%             | 2024-02-16      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 07/23/24  | BANK OF AMERICA CORP REGD V/R MTN 3.86400000                                                   | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1000000 | NS      | $990947.67    | 0.17%             | 2024-07-23      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FI V/R 07/26/23  | MITSUBISHI UFJ FIN GRP REGD V/R 5.18686000                                                     | CUSIP: 606822AZ7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    2300000 | NS      | $2303914.97   | 0.41%             | 2023-07-26      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL N 4.5% 08/15/23  | CNH INDUSTRIAL NV REGD 4.50000000                                                              | CUSIP: 12594KAA0<br>LEI: 549300WGC2HZ5J67V817 | Long             | DBT              | CORP              | NL        |    1000000 | NS      | $993646.78    | 0.18%             | 2023-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANCHC 2014-3RA A V/R 01/28/31   | ANCHORAGE CAPITAL CLO 3-R LTD SER 2014-3RA CL A V/R REGD 144A P/P 5.42386000                   | CUSIP: 03330AAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1226038 | NS      | $1201528.02   | 0.21%             | 2031-01-28      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| KANSAI ELECTRIC 2.55% 09/17/24  | KANSAI ELECTRIC POWER CO REGD REG S 2.55000000                                                 | CUSIP: J30169LT1<br>LEI: 353800PFUKP5ONPJNZ86 | Long             | DBT              | CORP              | JP        |    1740000 | NS      | $1656601.80   | 0.29%             | 2024-09-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| OSCAR 2021-1A A 0.4% 02/10/23   | OSCAR US FUNDING XII LLC SER 2021-1A CL A2 REGD 144A P/P 0.40000000                            | CUSIP: 68785AAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JP        |     110730 | NS      | $110191.64    | 0.02%             | 2024-03-11      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND 4.125% 07/03/23  | AERCAP IRELAND CAP/GLOBA REGD 4.12500000                                                       | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2600000 | NS      | $2581759.28   | 0.46%             | 2023-07-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| OCBC/SYDNEY V/R 08/12/24/AUD/   | OCBC/SYDNEY /AUD/ REGD V/R MTN 3.29300000                                                      | CUSIP: Q7S56EAV1<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    1000000 | NS      | $676459.08    | 0.12%             | 2024-08-12      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC 1% 01/19/24        | SK HYNIX INC REGD REG S 1.00000000                                                             | CUSIP: Y8085FAZ3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    1000000 | NS      | $950038.64    | 0.17%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OI V/R 07/16/23  | KOREA NATIONAL OIL CORP REGD V/R REG S EMTN SER GMTN 4.95414000                                | CUSIP: Y48216AB4<br>LEI: N/A                  | Long             | DBT              | USGA              | KR        |     800000 | NS      | $800872.00    | 0.14%             | 2023-07-16      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| SMB 2020-PTA A2 1.6% 09/15/54   | SMB PRIVATE EDUCATION LOAN TRUST 2020-PT-A SER 2020-PTA CL A2A REGD 144A P/P 1.60000000        | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     455093 | NS      | $404588.15    | 0.07%             | 2054-09-15      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| HART 2022-B A2 3.64% 05/15/25   | HYUNDAI AUTO RECEIVABLES TRUST 2022-B SER 2022-B CL A2A REGD 3.64000000                        | CUSIP: 44918MAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1011000 | NS      | $1002287.71   | 0.18%             | 2025-05-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| PCLF 2022-1 V/R 07/15/24 /GBP/  | PCL FUNDING VI PLC SER 2022-1 CL A V/R REGD REG S /GBP/ 4.59618000                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |     723000 | NS      | $866931.41    | 0.15%             | 2026-07-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASU ZCP 01/11/23/JPY/  | JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1111 0.00000000                                    | CUSIP: J2S39LWV2<br>LEI: N/A                  | Long             | STIV             | USGA              | JP        |  100000000 | PA      | $761984.88    | 0.13%             | 2023-01-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERI 0.45% 06/22/23  | CANADIAN IMPERIAL BANK REGD 0.45000000                                                         | CUSIP: 13607HVC3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    2200000 | NS      | $2153946.78   | 0.38%             | 2023-06-22      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN 3.65% 06/15/24  | PARKER-HANNIFIN CORP REGD 3.65000000                                                           | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    5100000 | NS      | $4992038.20   | 0.88%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICA V/R 05/15/25  | VERIZON COMMUNICATIONS REGD V/R 5.70614000                                                     | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     200000 | NS      | $201585.98    | 0.04%             | 2025-05-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL12 A V/R 08/19/38    | BDS 2022-FL12 LLC SER 2022-FL12 CL A V/R REGD 144A P/P 6.46106000                              | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | NS      | $690977.35    | 0.12%             | 2038-08-19      | Variable      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CO V/R 05/10/23        | SOUTHERN CO REGD V/R SER 2021 3.08121000                                                       | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    1300000 | NS      | $1296449.39   | 0.23%             | 2023-05-10      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| MCCT 2021-1A A 0.53% 05/21/24   | MASTER CREDIT CARD TRUST SER 2021-1A CL A REGD 144A P/P 0.53000000                             | CUSIP: 576339CJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    1500000 | NS      | $1408925.70   | 0.25%             | 2025-11-21      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| ODART 2022-1A A2 V/R 10/14/25   | ONEMAIN DIRECT AUTO RECEIVABLES TR SER 2022-1A CL A2 V/R REGD 144A P/P 5.40664000              | CUSIP: 68269DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     835000 | NS      | $832529.24    | 0.15%             | 2029-03-14      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| ENEL FIN AMER DISC 0% 09/01/23  | ENEL FIN AMER DISC 0% 09/01/23 0.00000000                                                      | CUSIP: 29279HW19<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1500000 | PA      | $1437984.45   | 0.25%             | 2023-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMM 4.5% 12/04/23  | BRITISH TELECOMMUNICATIO REGD 4.50000000                                                       | CUSIP: 111021AM3<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     400000 | NS      | $396530.86    | 0.07%             | 2023-12-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CANBY 1 A2 V/R 05/16/56 /GBP/   | CANTERBURY FINANCE NO 1 PLC SER 1 CL A2 V/R REGD REG S /GBP/ 4.37370000                        | CUSIP: G1825MAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     445343 | NS      | $537259.82    | 0.09%             | 2056-05-16      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| AUTOF 2 B V/R 12/24/44 /EUR/    | AUTOFLORENCE 2 SRL SER 2 CL B V/R REGD REG S /EUR/ 2.64400000                                  | CUSIP: T0R388AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IT        |     155525 | NS      | $160061.54    | 0.03%             | 2044-12-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROU V/R 01/05/24  | SANTANDER UK GROUP HLDGS REGD V/R 3.37300000                                                   | CUSIP: 80281LAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     500000 | NS      | $500000.00    | 0.09%             | 2024-01-05      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| GNR 2017-121 PE 3% 07/20/46     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2017-121 CL PE 3.00000000                         | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     164018 | NS      | $156747.30    | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FRIAR 7 A V/R 10/21/70 /GBP/    | FRIARY NO 7 PLC SER 7 CL A V/R REGD /GBP/ 0.00000000                                           | CUSIP: G3675SAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     260000 | NS      | $314367.53    | 0.06%             | 2070-10-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING  4.05% 08/16/23  | LLOYDS BANKING GROUP PLC REGD 4.05000000                                                       | CUSIP: 539439AS8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1400000 | NS      | $1390448.28   | 0.25%             | 2023-08-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ F 1.75% 03/10/23  | MERCEDES-BENZ FIN NA REGD 144A P/P 1.75000000                                                  | CUSIP: 233851DY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1800000 | NS      | $1790062.51   | 0.32%             | 2023-03-10      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | AUD/USD FWD 20230216 000006038 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-69193.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VISCI 2022- V/R 02/27/33 /EUR/  | VITA SCIENTIA 2022-1 DAC SER 2022-1X CL A V/R REGD REG S /EUR/ 3.22200000                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |     999772 | NS      | $1014558.76   | 0.18%             | 2033-02-27      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINA 2.6% 05/11/23  | CAPITAL ONE FINANCIAL CO REGD 2.60000000                                                       | CUSIP: 14040HCD5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    3500000 | NS      | $3471578.57   | 0.61%             | 2023-05-11      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP 0.6% 12/01/23      | STRYKER CORP REGD 0.60000000                                                                   | CUSIP: 863667BB6<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    1330000 | NS      | $1277313.81   | 0.23%             | 2023-12-01      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| RNBAG 8 B V/R 09/15/30 /EUR/    | RED & BLACK AUTO GERMANY 8 UG SER 8 CL B V/R REGD REG S /EUR/ 2.43600000                       | CUSIP: D6S2KZAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | DE        |     200000 | NS      | $209627.08    | 0.04%             | 2030-09-15      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| TPAT 2021-SL1 A2 V/R 11/20/26   | TOWD POINT ASSET TRUST 2021-SL1 SER 2021-SL1 CL A2 V/R REGD 144A P/P 5.05286000                | CUSIP: 89179XAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     201345 | NS      | $198296.97    | 0.03%             | 2061-11-20      | Variable      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| TORONTO DOMINION 1.15% 2/10/23  | TORONTO DOMINION BK___________  CTF OF DEPOSIT 1.15000000                                      | CUSIP: 89114WR98<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1500000 | PA      | $1494336.15   | 0.26%             | 2023-02-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC V/R 10/17/23  | GENERAL MILLS INC REGD V/R 5.08914000                                                          | CUSIP: 370334CC6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    1797000 | NS      | $1800889.44   | 0.32%             | 2023-10-17      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS 3.819% 05/10/24   | COMM 2014-UBS3 MORTGAGE TRUST SER 2014-UBS3 CL A4 REGD 3.81900000                              | CUSIP: 12591YBC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1600000 | NS      | $1553501.60   | 0.27%             | 2047-06-10      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| LMAT 2021-GS3 A1 V/R 07/25/61   | LEGACY MORTGAGE ASSET TRUST 2021-GS3 SER 2021-GS3 CL A1 V/R REGD 144A P/P 1.75000000           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1234079 | NS      | $1117185.66   | 0.20%             | 2061-07-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| SMB 2022-B A1B V/R 02/16/55     | SMB PRIVATE EDUCATION LOAN TRUST 2022-B SER 2022-B CL A1B V/R REGD 144A P/P 4.66771000         | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1020371 | NS      | $988845.76    | 0.17%             | 2055-02-16      | Variable      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| ICG 2015-1A A1R V/R 10/19/28    | ICG US CLO 2015-1 LTD SER 2015-1A CL A1R V/R REGD 144A P/P 5.36657000                          | CUSIP: 44931AAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     676214 | NS      | $667156.78    | 0.12%             | 2028-10-19      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| COMET 2017-A5 A5 V/R 09/15/24   | CAPITAL ONE MULTI-ASSET EXECUTION TRUST SER 2017-A5 CL A5 V/R REGD 4.89786000                  | CUSIP: 14041NFP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $898388.37    | 0.16%             | 2027-07-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 03/05/24  | BANK OF AMERICA CORP REGD V/R MTN 3.55000000                                                   | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1100000 | NS      | $1096080.84   | 0.19%             | 2024-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4 A V/R 05/15/21   | CREDIT SUISSE MORTGAGE CAPITAL CER SER 2019-ICE4 CL A V/R REGD 144A P/P 5.29800000             | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     590000 | NS      | $583490.35    | 0.10%             | 2036-05-15      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FI V/R 07/18/25  | MITSUBISHI UFJ FIN GRP REGD V/R 4.03460000                                                     | CUSIP: 606822CJ1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1300000 | NS      | $1304810.00   | 0.23%             | 2025-07-18      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDEL 4.005% 8/16/23   | SVENSKA HANDELSBANKEN AB NY___  BRH INSTL CTF OF DEPOSIT 4.00500000                            | CUSIP: 86959RE71<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1000000 | PA      | $992390.50    | 0.17%             | 2023-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLMA 2004-10 A7B V/R 10/25/29   | SLM STUDENT LOAN TRUST 2004-10 SER 2004-10 CL A7B V/R 4.95843000                               | CUSIP: 78442GNK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     827382 | NS      | $821065.43    | 0.14%             | 2029-10-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS V/R 01/10/25        | BNP PARIBAS REGD V/R 144A P/P 4.70500000                                                       | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     800000 | NS      | $792220.58    | 0.14%             | 2025-01-10      | Variable      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| DCENT 2017-A5 A5 V/R 06/15/24   | DISCOVER CARD EXECUTION NOTE TRUST SER 2017-A5 CL A5 V/R REGD 4.91786000                       | CUSIP: 254683CA1<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $899995.50    | 0.16%             | 2026-12-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| PWNE 2022-1 A2 4.84% 05/15/24   | PAWNEEE EQUIPMENT RECEIVABLES SERIES 2022-1 LLC SER 2022-1 CL A2 REGD 144A P/P 4.84000000      | CUSIP: 70410DAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $892758.96    | 0.16%             | 2028-02-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| LIFE 2021-BMR A V/R 03/15/23    | LIFE 2021-BMR MORTGAGE TRUST SER 2021-BMR CL A V/R REGD 144A P/P 5.01800000                    | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     294891 | NS      | $285547.15    | 0.05%             | 2038-03-15      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| NATWEST GROUP PLC V/R 06/25/24  | NATWEST GROUP PLC REGD V/R 6.27386000                                                          | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    1750000 | NS      | $1750441.86   | 0.31%             | 2024-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE U S INC DISC 1/26/23   | ENBRIDGE U S INC DISC 1/26/23 0.00000000                                                       | CUSIP: 29251VNS1<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1800000 | PA      | $1793471.40   | 0.32%             | 2023-01-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OCBC/SYDNEY V/R 03/18/24/AUD/   | OCBC/SYDNEY /AUD/ REGD V/R P/P MTN 3.55140000                                                  | CUSIP: Q7S56EAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    1000000 | NS      | $678805.56    | 0.12%             | 2024-03-18      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BK PLC NY 4% 07/13/23  | BARCLAYS BK PLC NY 4% 07/13/23 4.00000000                                                      | CUSIP: 06742TT89<br>LEI: N/A                  | Long             | STIV             | CORP              | GB        |    2000000 | PA      | $1985362.00   | 0.35%             | 2023-07-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP 4.5% 04/30/24       | LENNAR CORP REGD 4.50000000                                                                    | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     500000 | NS      | $493490.66    | 0.09%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON V/R 08/09/24      | UBS AG LONDON REGD V/R 144A P/P 3.13630000                                                     | CUSIP: 902674YL8<br>LEI: N/A                  | Long             | DBT              | CORP              | CH        |    1615000 | NS      | $1603738.51   | 0.28%             | 2024-08-09      | Variable      | 3.14%                 | Yes           |                  2 | On Loan: No      |
| THERMO FISHER  1.215% 10/18/24  | THERMO FISHER SCIENTIFIC REGD 1.21500000                                                       | CUSIP: 883556CS9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     850000 | NS      | $798123.03    | 0.14%             | 2024-10-18      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| NSLT 2021-CA AFL V/R 04/20/62   | NELNET STUDENT LOAN TRUST 2021-C SER 2021-CA CL AFL V/R REGD 144A P/P 5.09286000               | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1068519 | NS      | $1036367.47   | 0.18%             | 2062-04-20      | Variable      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| GCAT 2020-3 A1 V/R 09/25/23     | GCAT 2020-3 LLC SER 2020-3 CL A1 V/R REGD 144A P/P 2.98140000                                  | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     560158 | NS      | $540986.03    | 0.10%             | 2025-09-25      | Variable      | 2.98%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK N 3.95% 02/27/23  | DEUTSCHE BANK NY REGD 3.95000000                                                               | CUSIP: 251526BR9<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |    1500000 | NS      | $1494819.92   | 0.26%             | 2023-02-27      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC 0.8% 02/10/24      | 7-ELEVEN INC REGD 144A P/P 0.80000000                                                          | CUSIP: 817826AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2174000 | NS      | $2068545.09   | 0.36%             | 2024-02-10      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| CEDR 2022-SNAI A V/R 02/15/27   | CEDR COMMERCIAL MORTGAGE TRUST 2022-SNAI SER 2022-SNAI CL A V/R REGD 144A P/P 5.32401000       | CUSIP: 12524AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     530000 | NS      | $489293.46    | 0.09%             | 2039-02-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| BHG 2022-B A 3.75% 06/18/35     | BHG SECURITIZATION TRUST 2022-B SER 2022-B CL A REGD 144A P/P 3.75000000                       | CUSIP: 05553DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     102894 | NS      | $101241.94    | 0.02%             | 2035-06-18      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| SOCIETE GENERA 3.875% 03/28/24  | SOCIETE GENERALE REGD 144A P/P MTN 3.87500000                                                  | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     700000 | NS      | $683938.37    | 0.12%             | 2024-03-28      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| MARTIN MARIETTA 0.65% 07/15/23  | MARTIN MARIETTA MATERIAL REGD 0.65000000                                                       | CUSIP: 573284AY2<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     695000 | NS      | $677060.73    | 0.12%             | 2023-07-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FHLMC 4.05% 08/28/25            | FEDERAL HOME LOAN MORTGAGE CORP 4.05000000                                                     | CUSIP: 3134GXR63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2500000 | NS      | $2452766.03   | 0.43%             | 2025-08-28      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| F/C US ULTRA BOND CBT MAR23     | FUTURE CONTRACT ON           US ULTRA BOND CBT MAR23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         -1 | NC      | $-134312.50   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BRASS 8A A1 V/R 11/16/66        | BRASS NO 8 PLC SER 8A CL A1 V/R REGD 144A P/P 5.34386000                                       | CUSIP: 10554MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |      40063 | NS      | $40054.61     | 0.01%             | 2066-11-16      | Variable      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FORDO 2022-B A 3.44% 02/15/25   | FORD CREDIT AUTO OWNER TRUST 2022-B SER 2022-B CL A2A REGD 3.44000000                          | CUSIP: 34534LAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2521709 | NS      | $2502429.40   | 0.44%             | 2025-02-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV 5.25% 04/15/23    | STELLANTIS NV REGD SER WI 5.25000000                                                           | CUSIP: 31562QAF4<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |    3700000 | NS      | $3695190.00   | 0.65%             | 2023-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NSLT 2019-2A A V/R 09/25/32     | NELNET STUDENT LOAN TRUST 2019-2 SER 2019-2A CL A V/R 144A P/P 5.28871000                      | CUSIP: 64034NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     835662 | NS      | $826677.06    | 0.15%             | 2067-06-27      | Variable      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA 4% 02/28/25                | FEDERAL NATIONAL MORTGAGE ASSOCIATION SER 0000 4.00000000                                      | CUSIP: 3135GACU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | NS      | $982708.87    | 0.17%             | 2025-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LL V/R 08/12/24  | BMW US CAPITAL LLC REGD V/R 144A P/P 4.50599000                                                | CUSIP: 05565EBV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2130000 | NS      | $2109479.15   | 0.37%             | 2024-08-12      | Variable      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| ORIX CORP 3.25% 12/04/24        | ORIX CORP REGD 3.25000000                                                                      | CUSIP: 686330AK7<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |     400000 | NS      | $385423.09    | 0.07%             | 2024-12-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS  V/R 03/04/25  | AMERICAN EXPRESS CO REGD V/R 0.00000000                                                        | CUSIP: 025816CR8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1120000 | NS      | $1119305.98   | 0.20%             | 2025-03-04      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BX 2022-LP2 A V/R 02/15/24      | BX COMMERCIAL MORTGAGE TRUST 2022-LP2 SER 2022-LP2 CL A V/R REGD 144A P/P 5.34851000           | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     928390 | NS      | $894542.74    | 0.16%             | 2039-02-15      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| BANK MONTREAL C 1.15% 02/09/23  | BANK MONTREAL CHICAGO BRH_____  INSTL CTF OF DEPOSIT 1.15000000                                | CUSIP: 06367CS57<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1700000 | PA      | $1693637.75   | 0.30%             | 2023-02-09      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| CASH COLLATERAL SAL USD         | CASH COLLATERAL SAL USD 4.23000000                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |     187000 | NS      | $187000.00    | 0.03%             | 2049-12-31      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BOEING CO 1.433% 02/04/24       | BOEING CO REGD 1.43300000                                                                      | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1200000 | NS      | $1146430.99   | 0.20%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| FHLB 1.11% 07/27/26             | FEDERAL HOME LOAN BANKS 1.11000000                                                             | CUSIP: 3130ANCD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     566667 | NS      | $503480.36    | 0.09%             | 2026-07-27      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| N/A                             | JPY/USD FWD 20230123 000009605 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-51930.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 11/22/24  | HSBC HOLDINGS PLC REGD V/R SER . 3.43928000                                                    | CUSIP: 404280CZ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     620000 | NS      | $605490.03    | 0.11%             | 2024-11-22      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| NAVSL 2017-A A2B V/R 05/15/25   | NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A SER 2017-A CL A2B V/R REGD 144A P/P 5.21786000     | CUSIP: 63939XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     180154 | NS      | $179911.62    | 0.03%             | 2058-12-16      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| NEUB 2017-26A AR V/R 10/18/30   | NEUBERGER BERMAN LOAN ADVISERS CLO 2 SER 2017-26A CL AR V/R REGD 144A P/P 5.11371000           | CUSIP: 64131QAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | NS      | $1864934.36   | 0.33%             | 2030-10-18      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | IRS R03.55PSOFR 09/02/24 SBNYUS33XXX FIXED                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $-84097.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CIGNA CORP 3% 07/15/23          | CIGNA CORP REGD SER * 3.00000000                                                               | CUSIP: 125523BV1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2000000 | NS      | $1978021.66   | 0.35%             | 2023-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEFT 2021-2 A3 0.53% 04/22/24   | DELL EQUIPMENT FINANCE TRUST 2021-2 SER 2021-2 CL A3 REGD 144A P/P 0.53000000                  | CUSIP: 24702VAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | NS      | $478997.75    | 0.08%             | 2026-12-22      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| CATERPILLAR FINL  V/R 11/13/23  | CATERPILLAR FINL SERVICE REGD V/R MTN 3.18711000                                               | CUSIP: 14913R2X4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     835000 | NS      | $835058.48    | 0.15%             | 2023-11-13      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICA V/R 03/22/24  | VERIZON COMMUNICATIONS REGD V/R 3.95011000                                                     | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5000000 | NS      | $4961684.25   | 0.87%             | 2024-03-22      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| RESI 2021-2NCA A V/R 02/03/53   | RESIMAC BASTILLE TRUST SERIES 2021-2NC SER 2021-2NCA CL A1A V/R REGD 144A P/P 4.82229000       | CUSIP: 76120BAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | AU        |     312460 | NS      | $309882.41    | 0.05%             | 2053-02-03      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | GBP/USD FWD 20230315 000009605 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $22544.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 05/24/25      | CITIGROUP INC REGD V/R 5.18009400                                                              | CUSIP: 172967NR8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2000000 | NS      | $1994990.34   | 0.35%             | 2025-05-24      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN I 3.15% 01/15/23  | KINDER MORGAN INC REGD 3.15000000                                                              | CUSIP: 49456BAM3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     569000 | NS      | $568507.52    | 0.10%             | 2023-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SCGC 2020-1 V/R 11/14/31 /EUR/  | SC GERMANY SA COMPARTMENT CONSUMER 2020-1 SER 2020-1 CL C V/R REGD REG S /EUR/ 3.37200000      | CUSIP: L81394AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | LU        |     275944 | NS      | $289584.91    | 0.05%             | 2034-11-14      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERA 2.625% 01/22/25  | SOCIETE GENERALE REGD 144A P/P MTN 2.62500000                                                  | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     800000 | NS      | $752614.07    | 0.13%             | 2025-01-22      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| AREIT 2021-CRE5  V/R 07/17/26   | AREIT 2021-CRE5 TRUST SER 2021-CRE5 CL A V/R REGD 144A P/P 5.41914000                          | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     499327 | NS      | $478754.27    | 0.08%             | 2038-11-17      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| NISSAN MOTOR A 3.875% 09/21/23  | NISSAN MOTOR ACCEPTANCE REGD 144A P/P 3.87500000                                               | CUSIP: 654740BL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | NS      | $981629.13    | 0.17%             | 2023-09-21      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| BSP 2015-8A A1AR V/R 01/20/31   | BENEFIT STREET PARTNERS CLO VIII LTD SER 2015-8A CL A1AR V/R REGD 144A P/P 5.34257000          | CUSIP: 08180XAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | NS      | $982128.00    | 0.17%             | 2031-01-20      | Variable      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| GMCAR 2019-3 A 2.21% 04/17/23   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2019-3 SER 2019-3 CL A4 REGD 2.21000000     | CUSIP: 36257PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     162999 | NS      | $162060.27    | 0.03%             | 2024-11-18      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & E 3.75% 02/15/24  | PACIFIC GAS & ELECTRIC REGD 3.75000000                                                         | CUSIP: 694308HG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | NS      | $97961.84     | 0.02%             | 2024-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                             | JPY/USD FWD 20230306 000011343 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-516561.94   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                             | GBP/USD FWD 20230110 000006038 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-15436.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.25% 08/31/24     | UNITED STATES TREASURY NOTE 3.25000000                                                         | CUSIP: 91282CFG1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    6200000 | NS      | $6073335.92   | 1.07%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GILBT 2017-1A A V/R 10/15/30    | GILBERT PARK CLO LTD SER 2017-1A CL A V/R REGD 144A P/P 5.26914000                             | CUSIP: 375415AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | NS      | $1626222.68   | 0.29%             | 2030-10-15      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| NATIONWIDE BLDG 0.55% 01/22/24  | NATIONWIDE BLDG SOCIETY REGD 144A P/P 0.55000000                                               | CUSIP: 63859UBG7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     400000 | NS      | $380189.75    | 0.07%             | 2024-01-22      | Fixed         | 0.55%                 | Yes           |                  2 | On Loan: No      |
| MFRA 2021-RPL1 A V/R 07/25/60   | MFA 2021-RPL1 TRUST SER 2021-RPL1 CL A1 V/R REGD 144A P/P 1.13130000                           | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     376946 | NS      | $330356.98    | 0.06%             | 2060-07-25      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| BGCLO 19A AR V/R 06/15/31       | BIRCH GROVE CLO LTD SER 19A CL AR V/R REGD 144A P/P 5.89900000                                 | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | NS      | $1962937.00   | 0.35%             | 2031-06-15      | Variable      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS & E 4.25% 08/01/23  | PACIFIC GAS & ELECTRIC REGD 4.25000000                                                         | CUSIP: 694308JB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | NS      | $795897.38    | 0.14%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GSMS 2022-ECI A V/R 08/15/24    | GS MORTGAGE SECURITIES CORP TRUST 2022-AGSS SER 2022-ECI CL A V/R REGD 144A P/P 6.53050000     | CUSIP: 36265XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     760000 | NS      | $751318.22    | 0.13%             | 2039-08-15      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| PWNE 2022-1 A 3.809% 03/15/23   | PAWNEEE EQUIPMENT RECEIVABLES SERIES 2022-1 LLC SER 2022-1 CL A1 REGD 144A P/P 3.80900000      | CUSIP: 70410DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     230069 | NS      | $229840.12    | 0.04%             | 2023-08-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| HSBC USA INC    DISC  08/23/23  | HSBC USA INC    DISC  08/23/23 0.00000000                                                      | CUSIP: 40434RVP4<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     500000 | PA      | $483044.05    | 0.09%             | 2023-08-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP IN V/R 10/27/23/AUD/  | CITIGROUP INC /AUD/ REGD V/R 4.77470000                                                        | CUSIP: U1R16GSU7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1000000 | NS      | $684283.40    | 0.12%             | 2023-10-27      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTIN  DISC  01/12/23  | BACARDI-MARTIN  DISC  01/12/23 0.00000000                                                      | CUSIP: 05634FNC9<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    1700000 | PA      | $1697171.88   | 0.30%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 2.6% 11/21/24        | ABBVIE INC REGD SER WI 2.60000000                                                              | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    6000000 | NS      | $5742767.04   | 1.01%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                             | IRS R04.80PSOFR 11/07/24 SBNYUS33XXX FIXED                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $70201.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CA V/R 03/01/23  | NEXTERA ENERGY CAPITAL REGD V/R 3.60726000                                                     | CUSIP: 65339KBV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     710000 | NS      | $709686.91    | 0.13%             | 2023-03-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| F/C US 5YR NOTE (CBT) MAR23     | FUTURE CONTRACT ON           US 5YR NOTE (CBT) MAR23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -174 | NC      | $-18779765.71 | -3.31%            |  |  |  | No            |                  1 | On Loan: No      |
| DWSON 2022- V/R 05/20/25 /GBP/  | DOWSON 2022-2 PLC SER 2022-2 CL B V/R REGD REG S /GBP/ 6.02855000                              | CUSIP: G2826RAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     159000 | NS      | $191378.41    | 0.03%             | 2029-08-20      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| CAALT 2021-3A A 1% 07/15/24     | CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 SER 2021-3A CL A REGD 144A P/P 1.00000000             | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     350000 | NS      | $334306.56    | 0.06%             | 2030-05-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| BMW US CAPITAL LL V/R 04/01/25  | BMW US CAPITAL LLC REGD V/R 144A P/P 2.94268000                                                | CUSIP: 05565EBY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1100000 | NS      | $1093043.60   | 0.19%             | 2025-04-01      | Variable      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| MHC 2021-MHC A V/R 04/15/26     | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC SER 2021-MHC CL A V/R REGD 144A P/P 5.11896200          | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1135000 | NS      | $1100741.73   | 0.19%             | 2038-04-15      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MDPK 2019-33A AR V/R 10/15/32   | MADISON PARK FUNDING XXXIII LTD SER 2019-33A CL AR V/R REGD 144A P/P 5.15361000                | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | NS      | $246476.83    | 0.04%             | 2032-10-15      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| BSP 2015-6BR A V/R 07/20/34     | BENEFIT STREET PARTNERS CLO LTD SER 2015-6BR CL A V/R REGD 144A P/P 5.43257000                 | CUSIP: 08182DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | NS      | $971845.10    | 0.17%             | 2034-07-20      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| CITIBANK NA NY 0.97% 2/2/23     | CITIBANK NA N Y BRH___________  CTF OF DEPOSIT_ 0.97000000                                     | CUSIP: 17305T2A9<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    3000000 | PA      | $2990126.40   | 0.53%             | 2023-02-02      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| TAOT 2022-C A2 3.83% 04/15/24   | TOYOTA AUTO RECEIVABLES 2022-C OWNER TRUST SER 2022-C CL A2A REGD 3.83000000                   | CUSIP: 89231CAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | NS      | $1485757.80   | 0.26%             | 2025-08-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CO 4.142% 07/26/24  | NTT FINANCE CORP REGD 144A P/P 4.14200000                                                      | CUSIP: 62954WAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |     370000 | NS      | $364278.77    | 0.06%             | 2024-07-26      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| N/A                             | IRS RUS3MPUS1M 01/13/23 SBNYUS33 FLOAT                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          1 | NC      | $38391.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CAMB 2019-LIFE A V/R 12/15/20   | CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE SER 2019-LIFE CL A V/R REGD 144A P/P 5.38800000       | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     765000 | NS      | $753458.45    | 0.13%             | 2037-12-15      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| GNR 2022-5 FA V/R 01/20/52      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2022-5 CL FA V/R 3.50000000                       | CUSIP: 38383FG98<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     944888 | NS      | $837333.32    | 0.15%             | 2052-01-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  1.05% 03/08/24  | GENERAL MOTORS FINL CO REGD 1.05000000                                                         | CUSIP: 37045XDG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2059000 | NS      | $1955859.87   | 0.34%             | 2024-03-08      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| WFCM 2015-NXS2 3.02% 03/15/20   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2 SER 2015-NXS2 CL A2 REGD 3.02000000            | CUSIP: 94989MAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     146101 | NS      | $141750.92    | 0.02%             | 2058-07-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| WFCM 2013-LC12 A V/R 05/15/23   | WELLS FARGO COMMERCIAL MORTGAGE TRUST SER 2013-LC12 CL A3FL V/R REGD 144A P/P 5.37629000       | CUSIP: 94988QBG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     689795 | NS      | $688801.36    | 0.12%             | 2046-07-15      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| AT&T INC V/R 03/25/24           | AT&T INC REGD V/R 4.13545000                                                                   | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3750000 | NS      | $3732076.24   | 0.66%             | 2024-03-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CRED V/R 12/29/23  | TOYOTA MOTOR CREDIT CORP REGD V/R MTN 4.21804000                                               | CUSIP: 89236TKB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2100000 | NS      | $2100081.77   | 0.37%             | 2023-12-29      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC 5.36% 11/22/24            | FEDERAL HOME LOAN MORTGAGE CORP 5.36000000                                                     | CUSIP: 3134GY3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1700000 | NS      | $1702915.91   | 0.30%             | 2024-11-22      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| AUSGRID FINA V/R 10/30/24/AUD/  | AUSGRID FINANCE PTY LTD /AUD/ REGD V/R REG S MTN 4.30630000                                    | CUSIP: Q0697CAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    1500000 | NS      | $1017744.78   | 0.18%             | 2024-10-30      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| TAOT 2022-C A2B V/R 04/15/24    | TOYOTA AUTO RECEIVABLES 2022-C OWNER TRUST SER 2022-C CL A2B V/R REGD 4.37799000               | CUSIP: 89231CAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | NS      | $2001369.00   | 0.35%             | 2025-08-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNR 2018-H18 FC V/R 08/20/65    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H18 CL FC V/R 4.19157000                     | CUSIP: 38380LMV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1326986 | NS      | $1316903.00   | 0.23%             | 2065-08-20      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND C 4.5% 09/15/23  | AERCAP IRELAND CAP/GLOBA REGD 4.50000000                                                       | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1100000 | NS      | $1092734.31   | 0.19%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 06/02/24  | WELLS FARGO & COMPANY REGD V/R MTN 1.65400000                                                  | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3000000 | NS      | $2951865.84   | 0.52%             | 2024-06-02      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| BACCT 2022-A2 A2 5% 11/17/25    | BA CREDIT CARD TRUST SER 2022-A2 CL A2 REGD 5.00000000                                         | CUSIP: 05522RDF2<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-CBDO         | CORP              | US        |    1485000 | NS      | $1500677.29   | 0.26%             | 2028-04-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRA 2021-2 V/R 07/20/60 /GBP/  | STRATTON MORTGAGE FUNDING SER 2021-2A CL A V/R REGD 144A P/P /GBP/ 3.67147000                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |     145860 | NS      | $174677.44    | 0.03%             | 2060-07-20      | Variable      | 3.67%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN HONDA 0.875% 07/07/23  | AMERICAN HONDA FINANCE REGD MTN 0.87500000                                                     | CUSIP: 02665WDK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | NS      | $979622.24    | 0.17%             | 2023-07-07      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERE V/R 05/21/25  | STANDARD CHARTERED PLC REGD V/R 3.78500000                                                     | CUSIP: 853254BN9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1600000 | NS      | $1544587.18   | 0.27%             | 2025-05-21      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| THERMO FISHER SCI V/R 10/18/24  | THERMO FISHER SCIENTIFIC REGD V/R 2.87816000                                                   | CUSIP: 883556CQ3<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    1285000 | NS      | $1272794.65   | 0.22%             | 2024-10-18      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA 4% 04/15/24             | BPCE SA REGD 4.00000000                                                                        | CUSIP: 05578DAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     700000 | NS      | $688406.21    | 0.12%             | 2024-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER S V/R 06/30/24  | BANCO SANTANDER SA REGD V/R 0.70100000                                                         | CUSIP: 05971KAK5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | NS      | $388999.89    | 0.07%             | 2024-06-30      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASU ZCP 03/06/23/JPY/  | JAPAN TREASURY DISC BILL /JPY/ REGD ZCP SER 1123 0.00000000                                    | CUSIP: J2S39LXZ2<br>LEI: N/A                  | Long             | STIV             | USGA              | JP        | 1200000000 | PA      | $9146300.70   | 1.61%             | 2023-03-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC 5% 03/15/24             | HCA INC REGD 5.00000000                                                                        | CUSIP: 404119BN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | NS      | $795667.65    | 0.14%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS  3.25% 01/05/23  | GENERAL MOTORS FINL CO REGD 3.25000000                                                         | CUSIP: 37045XCF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | NS      | $699958.01    | 0.12%             | 2023-01-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA V/R 03/28/25       | DNB BANK ASA REGD V/R P/P 4.35682000                                                           | CUSIP: 25601B2C8<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    1295000 | NS      | $1284627.75   | 0.23%             | 2025-03-28      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| GNR 2022-HJUL FA 0% 01/20/73    | GNR 2022-HJUL FA SOFR30A+90BP  ZCP REGD 0.00000000                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     500000 | NS      | $499843.75    | 0.09%             | 2073-01-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| ENEL FINANCE IN 2.65% 09/10/24  | ENEL FINANCE INTL NV REGD 144A P/P 2.65000000                                                  | CUSIP: 29278GAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    1500000 | NS      | $1435768.49   | 0.25%             | 2024-09-10      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO 4.508% 05/01/23       | BOEING CO REGD 4.50800000                                                                      | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1000000 | NS      | $998139.30    | 0.18%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINI 4.285% 09/13/24  | TORONTO-DOMINION BANK REGD MTN 4.28500000                                                      | CUSIP: 89115A2J0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    2000000 | NS      | $1977447.70   | 0.35%             | 2024-09-13      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEA 2.7% 03/14/23  | PENSKE TRUCK LEASING/PTL REGD 144A P/P 2.70000000                                              | CUSIP: 709599AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | NS      | $2984029.35   | 0.53%             | 2023-03-14      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| CARMX 2022-4 A 5.34% 08/15/24   | CARMAX AUTO OWNER TRUST 2022-4 SER 2022-4 CL A2A REGD 5.34000000                               | CUSIP: 14318UAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | NS      | $701876.70    | 0.12%             | 2025-12-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| NCMS 2022-RRI A V/R 03/15/24    | NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST SER 2022-RRI CL A V/R REGD 144A P/P 6.15921000    | CUSIP: 63875JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $874349.37    | 0.15%             | 2035-03-15      | Variable      | 6.16%                 | Yes           |                  2 | On Loan: No      |
| FED CAISSES DES 2.05% 02/10/25  | FED CAISSES DESJARDINS REGD 144A P/P 2.05000000                                                | CUSIP: 31429KAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     500000 | NS      | $466280.09    | 0.08%             | 2025-02-10      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| CANADIAN IMPERIA 1.35% 2/13/23  | CANADIAN IMPERIAL BK REGD_____  CTF OF DEPOSIT 1.35000000                                      | CUSIP: 13606KDM5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    3000000 | NS      | $2988596.10   | 0.53%             | 2023-02-13      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC V/R 03/11/25  | HSBC HOLDINGS PLC REGD V/R 5.96514000                                                          | CUSIP: 404280CA5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1000000 | NS      | $990996.43    | 0.17%             | 2025-03-11      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| COLD 2020-ICE5 A V/R 11/15/23   | COLD STORAGE TRUST 2020-ICE5 SER 2020-ICE5 CL A V/R REGD 5.21786000                            | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     411251 | NS      | $399891.72    | 0.07%             | 2037-11-15      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| SUMITOMO MIT V/R 10/16/24/AUD/  | SUMITOMO MITSUI FINL GRP /AUD/ REGD V/R REG S EMTN 4.19120000                                  | CUSIP: J7771XBV0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2300000 | NS      | $1561605.48   | 0.28%             | 2024-10-16      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| WFCM 2017-HSDB A V/R 12/13/20   | WELLS FARGO COMMERCIAL MORTGAGE TRUST SER 2017-HSDB CL A V/R REGD 144A P/P 5.37000000          | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | NS      | $986321.30    | 0.17%             | 2031-12-13      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMM V/R 02/17/23/AUD/  | VERIZON COMMUNICATIONS /AUD/ REGD V/R MTN 4.26330000                                           | CUSIP: U9221ABH0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2400000 | NS      | $1634575.20   | 0.29%             | 2023-02-17      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| STAR 2021-2 A1 V/R 05/25/65     | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 SER 2021-2 CL A1 V/R REGD 144A P/P 0.94300000       | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     286838 | NS      | $264869.69    | 0.05%             | 2065-05-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| STANDARD CHARTER V/R 07/28/23   | STANDARD CHARTERED BK/NY______  VARIABLE SER YCD CTF OF DEPOSIT 3.45000000                     | CUSIP: 85325VW89<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    1300000 | NS      | $1299815.22   | 0.23%             | 2023-07-23      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| ANCHC 2015-7A AR V/R 01/28/31   | ANCHORAGE CAPITAL CLO 7 LTD SER 2015-7A CL AR2 V/R REGD 144A P/P 5.46386000                    | CUSIP: 03328TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1577000 | NS      | $1552604.91   | 0.27%             | 2031-01-28      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| BURNH 2016-1A AR V/R 10/20/29   | BURNHAM PARK CLO LTD SER 2016-1A CL AR V/R REGD 144A P/P 5.39257000                            | CUSIP: 12232KAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     436068 | NS      | $429901.60    | 0.08%             | 2029-10-20      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| AREIT 2022-CRE6  V/R 11/17/24   | AREIT 2022-CRE6 TRUST SER 2022-CRE6 CL A V/R REGD 144A P/P 5.05832000                          | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     950686 | NS      | $910092.42    | 0.16%             | 2037-01-16      | Variable      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| BROADCOM CRP / 3.625% 01/15/24  | BROADCOM CRP /  CAYMN FI REGD SER WI 3.62500000                                                | CUSIP: 11134LAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    7000000 | NS      | $6881936.53   | 1.21%             | 2024-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| IBRD 0.65% 02/10/26             | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT MTN SER GDIF 0.65000000                    | CUSIP: 459058JS3<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | USGA              | N/A       |    3100000 | NS      | $2693577.26   | 0.47%             | 2026-02-10      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| N/A                             | JPY/USD FWD 20230111 000011553 USD                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-81618.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA NY 5.00% 09/21/23   | CITIBANK NA NEW YORK BRANCH CTF OF DEPOSIT 0.00000000                                          | CUSIP: 17330QAB3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    2000000 | PA      | $1992870.00   | 0.35%             | 2023-09-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA V/R 06/14/24        | KEY BANK NA REGD V/R SER BKNT 0.43300000                                                       | CUSIP: 49327M3C6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     375000 | NS      | $365211.30    | 0.06%             | 2024-06-14      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & EL 3.4% 08/15/24  | PACIFIC GAS & ELECTRIC REGD 3.40000000                                                         | CUSIP: 694308HK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | NS      | $95992.68     | 0.02%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| HART 2022-A A2B V/R 02/18/25    | HYUNDAI AUTO RECEIVABLES TRUST 2022-A SER 2022-A CL A2B V/R REGD 4.43732000                    | CUSIP: 448977AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2726604 | NS      | $2722525.21   | 0.48%             | 2025-02-18      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| MUFG BANK LTD/NY V/R 03/13/23   | MUFG BANK LTD/NY VARIABLE SER_  YCD CTF OF DEPOSIT 4.10000000                                  | CUSIP: 55380TL65<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |    3000000 | NS      | $2999583.54   | 0.53%             | 2023-03-13      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| TALNT 2020-1A  1.35% 05/27/25   | TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2020-1 SER 2020-1A CL A REGD 144A P/P 1.35000000          | CUSIP: 89237JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | NS      | $1373235.30   | 0.24%             | 2033-05-25      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| WFRBS 2013-C18 A V/R 12/15/23   | WFRBS COMMERCIAL MORTGAGE TRUST 2013-C18 SER 2013-C18 CL A5 V/R REGD 4.16200000                | CUSIP: 96221QAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1250000 | NS      | $1225485.25   | 0.22%             | 2046-12-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| STAR 2020-INV1 A V/R 11/25/55   | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV SER 2020-INV1 CL A1 V/R REGD 144A P/P 1.02700000  | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     131784 | NS      | $121289.79    | 0.02%             | 2055-11-25      | Variable      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| PHILADELPHIA P 0.939% 04/15/24  | PHILADELPHIA PA AUTH FOR INDLD REGD N/C B/E 0.93900000                                         | CUSIP: 71783DBZ7<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |    1555000 | NS      | $1480786.69   | 0.26%             | 2024-04-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| ELECTRICI FRANCE DISC 01/20/23  | ELECTRICITE DE FRANCE DISCOUNT  COMMERCIAL PAPER 0.00000000                                    | CUSIP: 28504HNL4<br>LEI: N/A                  | Long             | STIV             | CORP              | FR        |    1700000 | PA      | $1695403.71   | 0.30%             | 2023-01-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| F/C 3 MONTH SOFR FUT  JUN23     | FUTURE CONTRACT ON           3 MONTH SOFR FUT  JUN23 0.00000000                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        465 | NC      | $110484000.00 | 19.48%            |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MILLS I 3.65% 02/15/24  | GENERAL MILLS INC REGD 3.65000000                                                              | CUSIP: 370334BT0<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    2345000 | NS      | $2304480.89   | 0.41%             | 2024-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HAROT 2022-2 A 3.81% 03/18/24   | HONDA AUTO RECEIVABLES 2022-2 OWNER TRUST SER 2022-2 CL A2 REGD 3.81000000                     | CUSIP: 43815PAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3110000 | NS      | $3079643.29   | 0.54%             | 2025-03-18      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| PRET 2021-NPL3 A V/R 07/25/24   | PRET 2021-NPL3 LLC SER 2021-NPL3 CL A1 V/R REGD 144A P/P 1.86770000                            | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     692055 | NS      | $611480.14    | 0.11%             | 2051-07-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| WOORI BANK V/R 02/01/23         | WOORI BANK REGD V/R REG S EMTN SER GMTN 5.30957000                                             | CUSIP: Y9695NLP6<br>LEI: N/A                  | Long             | DBT              | CORP              | KR        |     300000 | NS      | $300075.00    | 0.05%             | 2023-02-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| SMB 2017-A A2B V/R 09/15/34     | SMB PRIVATE EDUCATION LOAN TRUST 2017-A SER 2017-A CL A2B V/R REGD 5.21786000                  | CUSIP: 78448WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     841324 | NS      | $831121.20    | 0.15%             | 2034-09-15      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| RNBAI 1 A V/R 09/28/25 /EUR/    | RED & BLACK AUTO ITALY SRL SER 1 CL A V/R REGD REG S /EUR/ 2.59400000                          | CUSIP: T7S2BUAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IT        |    1106375 | NS      | $1181349.08   | 0.21%             | 2031-12-28      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 09/10/24  | GOLDMAN SACHS GROUP INC REGD V/R 3.71888000                                                    | CUSIP: 38141GYF5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2500000 | NS      | $2463295.00   | 0.43%             | 2024-09-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 02/02/23          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                     | CUSIP: 912796XT1<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     164000 | PA      | $163479.66    | 0.03%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 A V/R 02/17/39    | KREF 2022-FL3 LTD SER 2022-FL3 CL A V/R REGD 144A P/P 5.77102000                               | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1310000 | NS      | $1261897.59   | 0.22%             | 2039-02-17      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| SDART 2022-2 A 2.12% 06/15/23   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2 SER 2022-2 CL A2 REGD 2.12000000                 | CUSIP: 80286MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     375420 | NS      | $374249.51    | 0.07%             | 2026-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 02/16/23          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                     | CUSIP: 912796YA1<br>LEI: N/A                  | Long             | STIV             | UST               | US        |      82000 | PA      | $81592.22     | 0.01%             | 2023-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RRAM 2018-3A A1R V/R 01/15/30   | RR 3 LTD SER 2018-3A CL A1R2 V/R REGD 144A P/P 5.16914000                                      | CUSIP: 74988LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | NS      | $986426.10    | 0.17%             | 2030-01-15      | Variable      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| RC R/P BNP PA  4.100% 01/03/23  | RC R/P BNP PA  4.100% 01/03/23 4.10000000                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | US        |    3000000 | PA      | $3000000.00   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS 3.8% 01/10/24       | BNP PARIBAS REGD 144A P/P MTN 3.80000000                                                       | CUSIP: 05581KAB7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     600000 | NS      | $589706.09    | 0.10%             | 2024-01-10      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| BAXTER INTERNA 0.868% 12/01/23  | BAXTER INTERNATIONAL INC REGD 0.86800000                                                       | CUSIP: 071813CE7<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    1000000 | NS      | $961916.29    | 0.17%             | 2023-12-01      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL  V/R 05/25/24  | MIZUHO FINANCIAL GROUP REGD V/R 5.38729000                                                     | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    5000000 | NS      | $4971585.00   | 0.88%             | 2024-05-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| TPMF 2019-A V/R 07/20/45 /GBP/  | TOWD POINT MORTGAGE FUNDING SER 2019-A13A CL A1 V/R REGD 144A P/P /GBP/ 0.00000000             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | GB        |     604512 | NS      | $720081.62    | 0.13%             | 2045-07-20      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| DRSLF 2017-49A A V/R 07/18/30   | DRYDEN 49 SENIOR LOAN FUND SER 2017-49A CL AR V/R REGD 144A P/P 5.14371000                     | CUSIP: 26244QAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1491393 | NS      | $1465492.96   | 0.26%             | 2030-07-18      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC 5.08% 10/25/24            | FEDERAL HOME LOAN MORTGAGE CORP MTN 5.08000000                                                 | CUSIP: 3134GX4M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1000000 | NS      | $997831.96    | 0.18%             | 2024-10-25      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BX 2022-IND A V/R 04/15/27      | BX TRUST 2022-IND SER 2022-IND CL A V/R REGD 144A P/P 5.81672000                               | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     886907 | NS      | $868019.38    | 0.15%             | 2037-04-15      | Variable      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| ENBRIDGE INC 0.55% 10/04/23     | ENBRIDGE INC REGD 0.55000000                                                                   | CUSIP: 29250NBG9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     220000 | NS      | $212699.66    | 0.04%             | 2023-10-04      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| GSMS 2013-GC1 4.271% 10/10/23   | GS MORTGAGE SECURITIES TRUST 2013-GC16 SER 2013-GC16 CL A4 REGD 4.27100000                     | CUSIP: 36248GAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | NS      | $987788.00    | 0.17%             | 2046-11-10      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| SHIRE ACQ INV  2.875% 09/23/23  | SHIRE ACQ INV IRELAND DA REGD 2.87500000                                                       | CUSIP: 82481LAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     796000 | NS      | $782229.80    | 0.14%             | 2023-09-23      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GS BK USA INSTL V/R 2/13/23     | GS BK USA INSTL VARIABLE CTF OF DEPOSIT 4.06620000                                             | CUSIP: 40054PGJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | NS      | $1999962.70   | 0.35%             | 2023-01-13      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GRO V/R 03/15/24  | GOLDMAN SACHS GROUP INC REGD V/R 4.69307000                                                    | CUSIP: 38141GZQ0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     800000 | NS      | $799568.36    | 0.14%             | 2024-03-15      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| MSC 2019-PLND A V/R 05/15/21    | MORGAN STANLEY CAPITAL I TRUST 2019-PLND SER 2019-PLND CL A V/R REGD 144A P/P 5.31800000       | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | NS      | $668806.46    | 0.12%             | 2036-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FORDO 2019-B A 2.24% 11/15/22   | FORD CREDIT AUTO OWNER TRUST 2019-B SER 2019-B CL A4 REGD 2.24000000                           | CUSIP: 34532DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     195800 | NS      | $194837.35    | 0.03%             | 2024-10-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| BAMLL 2019-RLJ A V/R 04/15/36   | BAMLL COMMERCIAL MORTGAGE SECURITIES TRUS SER 2019-RLJ CL A V/R REGD 144A P/P 5.36800000       | CUSIP: 05492HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | NS      | $390831.56    | 0.07%             | 2036-04-15      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| CCCIT 2018-A5 A5 V/R 08/07/25   | CITIBANK CREDIT CARD ISSUANCE TRUST SER 2018-A5 CL A5 V/R REGD 4.82729000                      | CUSIP: 17305EGP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | NS      | $899218.62    | 0.16%             | 2027-08-07      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS 3.4% 02/22/24  | AMERICAN EXPRESS CO REGD 3.40000000                                                            | CUSIP: 025816CC1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    2000000 | NS      | $1965171.40   | 0.35%             | 2024-02-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AMXCA 2022-2 A 3.39% 05/15/25   | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST SER 2022-2 CL A REGD 3.39000000                   | CUSIP: 02582JJT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | NS      | $1165656.36   | 0.21%             | 2027-05-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| DLLST 2022-1A  1.56% 05/22/23   | DLLST 2022-1 LLC SER 2022-1A CL A1 REGD 144A P/P 1.56000000                                    | CUSIP: 23292GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      16348 | NS      | $16318.65     | 0.00%             | 2023-05-22      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| SMB 2016-C A2A 2.34% 08/15/25   | SMB PRIVATE EDUCATION LOAN TRUST 2016-C SER 2016-C CL A2A REGD 144A P/P 2.34000000             | CUSIP: 78449KAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     382492 | NS      | $364289.85    | 0.06%             | 2034-09-15      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| US T BILL ZCP 03/02/23          | UNITED STATES TREASURY BILL ZCP 0.00000000                                                     | CUSIP: 912796YB9<br>LEI: N/A                  | Long             | STIV             | UST               | US        |     845000 | PA      | $839229.24    | 0.15%             | 2023-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BATLN 2020-18A A V/R 10/15/36   | BATTALION CLO 18 LTD SER 2020-18A CL AR V/R REGD 144A P/P 5.27914000                           | CUSIP: 07134QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | NS      | $970698.20    | 0.17%             | 2036-10-15      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| CHESH 2020- V/R 08/20/25 /GBP/  | CHESHIRE 2020-1 PLC SER 2020-1 CL A V/R REGD REG S /GBP/ 3.93485000                            | CUSIP: G2R3Z7AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |     466348 | NS      | $553776.05    | 0.10%             | 2045-08-20      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| NRZT 2021-NQ2R A V/R 10/25/58   | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021- SER 2021-NQ2R CL A1 V/R REGD 144A P/P 0.94054000     | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     599196 | NS      | $518500.11    | 0.09%             | 2058-10-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| AUSGRID FINANCE 3.85% 05/01/23  | AUSGRID FINANCE PTY LTD REGD 144A P/P 3.85000000                                               | CUSIP: 052113AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     700000 | NS      | $696430.00    | 0.12%             | 2023-05-01      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| DUPONT DE NEMOURS V/R 11/15/23  | DUPONT DE NEMOURS INC REGD V/R 5.71614000                                                      | CUSIP: 26078JAH3<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    1500000 | NS      | $1506379.23   | 0.27%             | 2023-11-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| SDART 2022-4 A 4.05% 10/15/23   | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4 SER 2022-4 CL A2 REGD 4.05000000                 | CUSIP: 80286FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     640859 | NS      | $638337.18    | 0.11%             | 2025-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC 0.625% 02/10/23    | 7-ELEVEN INC REGD 144A P/P 0.62500000                                                          | CUSIP: 817826AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | NS      | $1691286.74   | 0.30%             | 2023-02-10      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| GSMS 2022-SHIP A V/R 08/15/23   | GS MORTGAGE SECURITIES CORP TRUST 2022-SHIP SER 2022-SHIP CL A V/R REGD 144A P/P 5.06661000    | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     650000 | NS      | $640901.63    | 0.11%             | 2036-08-15      | Variable      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| ROCKT 2017-3A A V/R 10/20/30    | ROCKFORD TOWER CLO 2017-3 LTD SER 2017-3A CL A V/R REGD 144A P/P 5.43257000                    | CUSIP: 77341DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | NS      | $246341.88    | 0.04%             | 2030-10-20      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| ISRAEL ELECTRI 6.875% 06/21/23  | ISRAEL ELECTRIC CORP LTD REGD P/P 6.87500000                                                   | CUSIP: 46507MAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | IL        |     500000 | NS      | $502246.00    | 0.09%             | 2023-06-21      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| VOYA 2017-2A A1R V/R 06/07/30   | VOYA CLO 2017-2 SER 2017-2A CL A1R V/R REGD 144A P/P 5.05914000                                | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     259446 | NS      | $254256.87    | 0.04%             | 2030-06-07      | Variable      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| OSCAR 2021-2A  0.39% 07/10/23   | OSCAR US FUNDING XIII LLC SER 2021-2A CL A2 REGD 144A P/P 0.39000000                           | CUSIP: 68785BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JP        |     263704 | NS      | $260058.57    | 0.05%             | 2024-08-12      | Fixed         | 0.39%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Six Circles Trust

**Signature:** Gregory McNeil

**Name of Signer:** Gregory McNeil

**Title:** Treasurer/Principal Financial Officer