# EDGAR Filing Document

**Accession Number:** 0001160990
**File Stem:** 0001160990-23-000009
**Filing Date:** 2023-3
**Character Count:** 190790
**Document Hash:** 4ce1f51237c026fce551980668b1fd84
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001160990-23-000009.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001160990-23-000009

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO CORPORATE & INCOME STRATEGY FUND
- **CENTRAL INDEX KEY:** 0001160990
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10555
- **FILM NUMBER:** 23688728

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO CORPORATE INCOME FUND
- **DATE OF NAME CHANGE:** 20011017

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Corporate & Income Strategy Fund

- **b. Investment Company Act file number:** 811-10555

- **c. CIK number of Registrant:** 0001160990

- **d. LEI of Registrant:** 831ZYSJ6QAOQ4VPW8684

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 337-4626

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

- **a. Name of Series:** N/A

- **c. LEI of Series:** N/A

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $848320722.26

**Total Liabilities:** $327785989.74

**Net Assets:** $520534732.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5215.940900 | **1-Year:** 11056.172500 | **5-Year:** 87055.770000 | **10-Year:** 41924.676800 | **30-Year:** -53205.151000

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

- **3-Month:** 39312.566500 | **1-Year:** 32873.342700 | **5-Year:** 77407.741400 | **10-Year:** 21313.432800 | **30-Year:** 1955.490500

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 5.22%                | 4.03%                | -4.69%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3487824.53             | $2653135.32                                |
| Month 2  | $9832253.59              | $-254912.10                                |
| Month 3  | $589522.43               | $-5784582.67                               |

### Schedule of Portfolio Investments

| Name                                                           | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                            | IRS AUD 3.50000 06/17/15-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-84927.19    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $2033377.87   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.25000 09/21/22-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1649237.39   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1144499.01   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $260232.81    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-5                            | BANC OF AMERICA FUNDING CORPOR BAFC 2007 5 2A3              | CUSIP: 059523AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161882 | PA      | $126897.41    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875      | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1000000 | PA      | $920731.07    | 0.18%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625      | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   7669000 | PA      | $7449524.98   | 1.43%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 0.75000 06/16/21-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10562417.35  | 2.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 0.75000 06/16/21-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2343872.74   | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.25000 12/15/21-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6064858.18   | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625      | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1714000 | PA      | $1746135.66   | 0.34%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.37000 08/25/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2217832.41   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR        | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    600000 | PA      | $519295.60    | 0.10%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.70000 02/01/22-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $25471486.36  | 4.89%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR        | CUSIP: ACI1J42S1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   2296000 | PA      | $2156554.52   | 0.41%             | 2030-01-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.75000 01/22/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4610795.90   | 0.89%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.75000 12/15/21-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5785518.57   | 1.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 1.87500 02/07/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4460576.28   | 0.86%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.00000 01/15/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2266496.79   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5       | CUSIP: ACI1DBG64<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   2167000 | PA      | $2154387.99   | 0.41%             | 2029-07-23      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.00000 12/15/21-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3045749.64  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.25000 03/12/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2447061.80   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.50000 12/20/17-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3003889.10  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.50000 12/20/17-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-103825.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.75000 06/17/15-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3169828.96  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 2.75000 12/19/18-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1480512.09  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 3.00000 06/19/19-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3670044.44  | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | IRS USD 3.50000 06/19/13-31Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3028358.14  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR        | CUSIP: ACI1R35P7<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   2300000 | PA      | $2171710.80   | 0.42%             | 2030-09-10      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | OIS USD FEDL01/0.10000 01/13/22-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18150.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR GBP SONIO/0.75000 09/21/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $2306854.05   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $958803.35    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $476966.50    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                   | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65       | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    700000 | PA      | $172199.91    | 0.03%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.00000 12/21/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3125920.17  | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.00000 12/21/22-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2563122.53  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.00000 12/21/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11890551.59 | -2.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $40523.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $163003.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $324519.16    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | WINDSTREAM HOLDINGS II, LLC 8725909B2                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |    493740 | NC      | $9995205.91   | 1.92%             |  |  |  | No            |                  3 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-1                               | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 1 1A26            | CUSIP: 05952HBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121633 | PA      | $97546.14     | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                             | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    531903 | NS      | $558498.15    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                   | BARCLAYS PLC SR UNSECURED 11/33 VAR                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1708000 | PA      | $1794868.91   | 0.34%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                       | BCAP LLC TRUST BCAP 2010 RR11 6A2 144A                      | CUSIP: 05533JBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1399105 | PA      | $1009413.98   | 0.19%             | 2036-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR9                                        | BCAP LLC TRUST BCAP 2010 RR9 1A10 144A                      | CUSIP: 05533GAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1821648 | PA      | $1787534.60   | 0.34%             | 2037-08-28      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                        | BCAP LLC TRUST BCAP 2011 RR5 12A2 144A                      | CUSIP: 05534AAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646484 | PA      | $876419.19    | 0.17%             | 2037-03-26      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                          | COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR                 | CUSIP: 20453QAA0<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |   1600000 | NS      | $1590800.00   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                               | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1                 | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494940 | PA      | $638693.38    | 0.12%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                | BEAR STEARNS ALT A TRUST BALTA 2005 7 24A1                  | CUSIP: 07386HVV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242934 | PA      | $144496.93    | 0.03%             | 2035-09-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                | BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1                  | CUSIP: 07386HXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2738938 | PA      | $2415451.83   | 0.46%             | 2035-11-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577863 | PA      | $307521.61    | 0.06%             | 2036-08-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1                  | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2549825 | PA      | $1365653.40   | 0.26%             | 2036-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST II 2007-1                             | BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1                | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3803140 | PA      | $1998647.79   | 0.38%             | 2047-09-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AQ1            | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AQ1 12A           | CUSIP: 07389PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1872792 | PA      | $2704490.61   | 0.52%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1            | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 1A3A          | CUSIP: 07389QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332502 | PA      | $180394.07    | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AC1                   | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AC1 A1              | CUSIP: 07400XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95677 | PA      | $95895.34     | 0.02%             | 2036-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2006-1A                                | BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A                | CUSIP: 078452AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        | 175347277 | PA      | $1294939.64   | 0.25%             | 2046-07-05      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                    | BNP PARIBAS SR UNSECURED 144A 01/33 VAR                     | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1506000 | PA      | $1192834.20   | 0.23%             | 2033-01-20      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                  | BOEING CO SR UNSECURED 02/33 6.125                          | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1447000 | PA      | $1475285.12   | 0.28%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BOI FINANCE BV                                                 | BOI FINANCE BV 02/27 7.5                                    | CUSIP: ACI23L5Y2<br>LEI: 724500ZH3H2YACBUNF38 | Long             | DBT              | MUN               | NL        |   2600000 | PA      | $2247687.03   | 0.43%             | 2027-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD 2017-3A                                     | CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 3A SUB 144A        | CUSIP: 14314GAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1895000 | PA      | $550414.08    | 0.11%             | 2029-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                           | CARNIVAL CORPORATION EUR TERM LOAN B                        | CUSIP: P2121YAP3<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |   2163938 | PA      | $2232787.80   | 0.43%             | 2025-06-30      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                     | CARVANA CO COMPANY GUAR 144A 05/30 10.25                    | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1037857.61   | 0.20%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                     | CDW LLC/CDW FINANCE COMPANY GUAR 12/31 3.569                | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $660728.97    | 0.13%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                           | CENGAGE LEARNING INC 2021 TERM LOAN B                       | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |   1086041 | PA      | $979304.48    | 0.19%             | 2026-07-14      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                         | CGG SA SR SECURED 144A 04/27 7.75                           | CUSIP: ACI1WM066<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   2250000 | PA      | $1976484.63   | 0.38%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                         | CGG SA SR SECURED 144A 04/27 8.75                           | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   6964000 | PA      | $5578203.07   | 1.07%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                         | CGG SA SR SECURED REGS 04/27 7.75                           | CUSIP: ACI1WLTT7<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $263531.28    | 0.05%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CHAMPION PATH HOLDINGS LIMITED                                 | CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/26 4.5          | CUSIP: ACI1V8V80<br>LEI: 549300QWJFPV5413KI88 | Long             | DBT              | CORP              | VG        |   1000000 | PA      | $873150.00    | 0.17%             | 2026-01-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHAMPION PATH HOLDINGS LIMITED                                 | CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/28 4.85         | CUSIP: ACI1V8M31<br>LEI: 549300QWJFPV5413KI88 | Long             | DBT              | CORP              | VG        |   1100000 | PA      | $928070.00    | 0.18%             | 2028-01-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                             | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2            | CUSIP: 16162WPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3820 | PA      | $3515.26      | 0.00%             | 2035-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S5                            | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A10           | CUSIP: 161631AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514550 | PA      | $251838.25    | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                               | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |   9682000 | PA      | $8834825.00   | 1.70%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-2RA                                      | CIFC FUNDING LTD CIFC 2014 2RA INC 144A                     | CUSIP: 125475AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $528276.28    | 0.10%             | 2030-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-3A                                       | CIFC FUNDING LTD CIFC 2014 3A INC 144A                      | CUSIP: 12549TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $314860.47    | 0.06%             | 2026-07-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                      | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR         | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |   1000000 | NS      | $930000.00    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A       | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1317974 | PA      | $743069.89    | 0.14%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A           | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128994 | PA      | $107859.30    | 0.02%             | 2037-04-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                       | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336827 | PA      | $297020.70    | 0.06%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                           | CITY OF BUENOS AIRES UNSECURED 02/28 VAR                    | CUSIP: ACI0Z1129<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        |  22091110 | PA      | $68519.84     | 0.01%             | 2028-02-22      | Floating      | 53.21%                | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                           | CITY OF BUENOS AIRES UNSECURED 03/24 VAR                    | CUSIP: BD8QV0II3<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        |  90469000 | PA      | $285084.55    | 0.05%             | 2024-03-29      | Floating      | 59.45%                | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M89<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     10000 | PA      | $10000.00     | 0.00%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M97<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     75000 | PA      | $76190.39     | 0.01%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                | CHICAGO IL CHI 01/40 FIXED 7.517                            | CUSIP: 167486MK2<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |   4600000 | PA      | $4855523.56   | 0.93%             | 2040-01-01      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1                        | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM             | CUSIP: 20173WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509612 | PA      | $81601.61     | 0.02%             | 2049-12-10      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                  | CORSAIR INTERNATIONAL UNSECURED 144A 01/27 VAR              | CUSIP: ACI236343<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |   1000000 | PA      | $1062421.12   | 0.20%             | 2027-01-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COSAINT RE PTE LTD                                             | COSAINT RE PTE LTD BONDS 144A 04/28 VAR                     | CUSIP: 22112CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    700000 | PA      | $567000.00    | 0.11%             | 2028-04-03      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A2           | CUSIP: 12667F2R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196130 | PA      | $89449.68     | 0.02%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2004-35T2                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 35T2 A5           | CUSIP: 12667FQ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641412 | PA      | $489380.79    | 0.09%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7          | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019856 | PA      | $471465.33    | 0.09%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-28CB                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 28CB 5A1          | CUSIP: 12667FYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133440 | PA      | $125563.32    | 0.02%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-30CB                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 30CB 2A4          | CUSIP: 12667FJ55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198292 | PA      | $139107.50    | 0.03%             | 2035-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A11         | CUSIP: 02149JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3154983 | PA      | $1221910.40   | 0.23%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4            | CUSIP: 12668BMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705639 | PA      | $348730.27    | 0.07%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A1           | CUSIP: 02149HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405397 | PA      | $233279.77    | 0.04%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9           | CUSIP: 02149VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712819 | PA      | $360204.20    | 0.07%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 5A1            | CUSIP: 021482AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723522 | PA      | $433280.89    | 0.08%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A3          | CUSIP: 02147RAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369121 | PA      | $132564.16    | 0.03%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4             | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792651 | PA      | $362131.74    | 0.07%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3      | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A9                      | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1093368 | PA      | $526313.02    | 0.10%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                               | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1                   | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133563 | PA      | $115687.97    | 0.02%             | 2036-09-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                             | CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR              | CUSIP: F22797RT7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $198811.20    | 0.04%             | 2024-01-23      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                         | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR          | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $375895.45    | 0.07%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                         | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $547298.12    | 0.11%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-2R            | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 2R 2A16 144A         | CUSIP: 12643GBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5862104 | PA      | $4880373.14   | 0.94%             | 2036-10-26      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    126306 | NS      | $774255.78    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| IHEARTMEDIA INC                                                | IHEARTMEDIA INC   CLASS B COMMON STOCK                      | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     98039 | NS      | $540881.16    | 0.10%             |  |  |  | No            |                  3 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                         | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507        | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    586073 | PA      | $610200.04    | 0.12%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                    | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    172828 | NS      | $4147872.00   | 0.80%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                       | DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN           | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |  11926076 | PA      | $11332276.42  | 2.18%             | 2026-05-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                          | DIRECTV FINANCING LLC TERM LOAN                             | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   8475137 | PA      | $8269445.80   | 1.59%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                           | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3123577.00   | 0.60%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                           | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5720000 | PA      | $4576000.00   | 0.88%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORPORATION                                       | DISH NETWORK CORP SR UNSECURED 08/26 3.375                  | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2138600.00   | 0.41%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)                         | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7                    | CUSIP: ACI1XVP76<br>LEI: 9845009A70B44Q680820 | Long             | DBT              | CORP              | NL        |   3620743 | PA      | $997967.29    | 0.19%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DUFRY ONE BV                                                   | DUFRY ONE BV COMPANY GUAR REGS 04/26 3.625                  | CUSIP: ACI1X5JS4<br>LEI: 7245003K5MN9U7XW0808 | Long             | DBT              | CORP              | NL        |   2741000 | PA      | $2609960.26   | 0.50%             | 2026-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                    | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2557931.66   | 0.49%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                         | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 02/25 7.125        | CUSIP: S25221AL6<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   4070000 | PA      | $3716312.93   | 0.71%             | 2025-02-11      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                         | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75         | CUSIP: S25221AC6<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   1600000 | PA      | $1544681.60   | 0.30%             | 2023-08-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                     | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5         | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $14875.00     | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01             | FANNIE MAE   CAS CAS 2017 C01 1B1                           | CUSIP: 30711XEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1255447.41   | 0.24%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 417                                  | FANNIEMAE STRIP FNS 417 C31                                 | CUSIP: 31395QF62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11309925 | PA      | $1624478.63   | 0.31%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-40                                      | FANNIE MAE FNR 2020 40 IO                                   | CUSIP: 3136B9P50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4079489 | PA      | $829621.97    | 0.16%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3              | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3442842 | PA      | $3027143.71   | 0.58%             | 2035-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FF6                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4              | CUSIP: 32027NSM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6602058 | PA      | $5760462.72   | 1.11%             | 2036-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| NMG PARENT                                                     | NEIMAN MARCUS USD COMMON STOCK EQUITY                       | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     73491 | NS      | $12938396.13  | 2.49%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOBLE CORPORATION PLC                                          | NOBLE CORP PLC COMMON STOCK                                 | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |     13834 | NS      | $521680.14    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                     | FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN        | CUSIP: 943UMZII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2281 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                     | FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN               | CUSIP: 962XCSII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    164453 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 5.30%                 | No            |                  3 | On Loan: No      |
| FORD MOTOR COMPANY                                             | FORD MOTOR COMPANY SR UNSECURED 05/97 7.7                   | CUSIP: 345370BS8<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |   6540000 | PA      | $6201293.40   | 1.19%             | 2097-05-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1         | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 D1 144A        | CUSIP: 35563CAH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7697460 | PA      | $4731188.65   | 0.91%             | 2055-11-25      | Floating      | 5.99%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4976                                        | FREDDIE MAC FHR 4976 DI                                     | CUSIP: 3137FTAM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1801802 | PA      | $376548.68    | 0.07%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2 | FREDDIE MAC   STACR STACR 2015 DNA2 B                       | CUSIP: 3137G0FZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3092678 | PA      | $3106148.38   | 0.60%             | 2027-12-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| AXIS ENERGY SERVICES HOLDINGS LLC                              | AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES | CUSIP: 942WZK900<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      1070 | NS      | $37357.78     | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                        | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN             | CUSIP: 943ZHKII3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   3452274 | PA      | $2517814.46   | 0.48%             | 2027-10-18      | Fixed         | 12.56%                | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                        | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN                 | CUSIP: 943ZERII1<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   5739871 | PA      | $5668123.09   | 1.09%             | 2027-10-15      | Fixed         | 12.14%                | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                     | REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375             | CUSIP: 37443GAG6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    600000 | PA      | $232518.00    | 0.04%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                     | REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875             | CUSIP: 37443GAH4<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    600000 | PA      | $217506.00    | 0.04%             | 2035-02-11      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                     | REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75              | CUSIP: 37443GAJ0<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    200000 | PA      | $70848.00     | 0.01%             | 2061-03-11      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                             | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR           | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |  10020000 | NS      | $10315069.62  | 1.98%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                            | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |    687000 | NS      | $1415348.53   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNIVERSE CORPORATION                                          | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   1842774 | NS      | $1770905.46   | 0.34%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                            | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3         | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    530000 | PA      | $491063.18    | 0.09%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC BONDS REGS 01/33 3.9                      | CUSIP: ACI0Z3H77<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    693271 | PA      | $709618.29    | 0.14%             | 2033-01-30      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC BONDS REGS 01/37 4                        | CUSIP: ACI0Z3HB8<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    543331 | PA      | $545788.34    | 0.10%             | 2037-01-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC BONDS REGS 01/42 4.2                      | CUSIP: ACI0Z3HC6<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    677730 | PA      | $723073.41    | 0.14%             | 2042-01-30      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                     | HELLENIC REPUBLIC SR UNSECURED 144A REGS 04/27 2            | CUSIP: ACI1LSSZ1<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    314000 | PA      | $314932.74    | 0.06%             | 2027-04-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO BV 2015-1A                                 | GROSVENOR PLACE CLO BV GROSV 2015 1A SUB 144A               | CUSIP: 39927WAV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |    500000 | PA      | $94192.64     | 0.02%             | 2029-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                        | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A           | CUSIP: 36255MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3681462.33   | 0.71%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                        | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A           | CUSIP: 36255MAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $655060.70    | 0.13%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2022-GTWY                       | GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A          | CUSIP: 36266DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $958665.33    | 0.18%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)      | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |    239397 | NS      | $1323865.41   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| GSPA MONETIZATION TRUST                                        | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422       | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2655385 | PA      | $2551298.17   | 0.49%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                 | GSR MORTGAGE LOAN TRUST GSR 2004 9 2A1                      | CUSIP: 36242DBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221119 | PA      | $192596.62    | 0.04%             | 2034-08-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1                     | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1303729 | PA      | $597367.77    | 0.11%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A            | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3738538 | PA      | $1748079.51   | 0.34%             | 2036-06-19      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 2A1A           | CUSIP: 41161PYW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440350 | PA      | $402047.10    | 0.08%             | 2036-01-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                        | HCA INC COMPANY GUAR 11/95 7.5                              | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1291886.32   | 0.25%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                  | HESTIA RE LTD UNSECURED 144A 04/25 VAR                      | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |    704000 | PA      | $580800.00    | 0.11%             | 2025-04-22      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORPORATION                                        | HF SINCLAIR CORP SR UNSECURED 10/30 4.5                     | CUSIP: 403949AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3721000 | PA      | $3275175.53   | 0.63%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                            | VICI PROPERTIES INC REIT USD.01                             | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     77566 | NS      | $2513138.40   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                  | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9      | CUSIP: 942UCF009<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | EC               | CORP              | US        |       995 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| ILLINOIS ST                                                    | ILLINOIS ST ILS 07/35 FIXED 7.35                            | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     18571 | PA      | $19557.73     | 0.00%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-F2                             | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F2 2A1             | CUSIP: 45670JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3319531 | PA      | $1077728.54   | 0.21%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                               | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     50497 | NS      | $378727.50    | 0.07%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                        | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2             | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7893426 | PA      | $4268795.79   | 0.82%             | 2037-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                            | POSEIDON BIDCO SASU EUR TERM LOAN B                         | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   5900000 | PA      | $5441591.11   | 1.05%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                   | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |  12686000 | PA      | $11372872.14  | 2.18%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                   | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B        | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |   3300546 | PA      | $3193278.19   | 0.61%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| INTER MEDIA AND COMMUNICATION SPA                              | INTER MEDIA COMMUNICATIO SR SECURED 144A 02/27 6.75         | CUSIP: ACI239TV9<br>LEI: 81560082CE2ED97AFD36 | Long             | DBT              | CORP              | IT        |   2600000 | PA      | $2645401.83   | 0.51%             | 2027-02-09      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN ALTERNATIVE LN TRUST 2005-S1                       | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 S1 2A12           | CUSIP: 46627MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820209 | PA      | $596192.69    | 0.11%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JACKSON PARK TRUST 2019-LIC                                    | JACKSON PARK TRUST JAX 2019 LIC E 144A                      | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1772000 | PA      | $1281013.53   | 0.25%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JEFFERIES & CO 2010-R2                                         | JEFFERIES + CO JMAC 2010 R2 1A4 144A                        | CUSIP: 47233HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6794326 | PA      | $3086571.22   | 0.59%             | 2036-05-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 3A1            | CUSIP: 466287AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714530 | PA      | $633489.25    | 0.12%             | 2037-03-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                               | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2                  | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007073 | PA      | $748299.82    | 0.14%             | 2036-02-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                               | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 3A3M                 | CUSIP: 46629DBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229422 | PA      | $186723.72    | 0.04%             | 2037-01-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                               | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A1                  | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2778 | PA      | $2053.79      | 0.00%             | 2037-04-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 AF3           | CUSIP: 46630MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3586233 | PA      | $1991088.05   | 0.38%             | 2030-10-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| AA BOND CO LIMITED                                             | AA BOND CO LTD SR SECURED REGS 07/50 5.5                    | CUSIP: ACI1JGR32<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |   2332000 | PA      | $2445700.68   | 0.47%             | 2050-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                      | AMERICAN AIRLINES, INC. 2021 TERM LOAN                      | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |   2300000 | PA      | $2293893.50   | 0.44%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                     | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     75038 | PA      | $48774.47     | 0.01%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                     | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    362952 | PA      | $194827.14    | 0.04%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-6                                   | LEHMAN MORTGAGE TRUST LMT 2007 6 1A11                       | CUSIP: 52521NAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44436 | PA      | $39586.37     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-2                                         | LEHMAN XS TRUST LXS 2005 2 2A4                              | CUSIP: 86359DMZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18839 | PA      | $18717.08     | 0.00%             | 2035-08-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-7N                                        | LEHMAN XS TRUST LXS 2007 7N 1A1A                            | CUSIP: 52524GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941157 | PA      | $839725.94    | 0.16%             | 2047-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                       | LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR        | CUSIP: ACI080964<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1542000 | PA      | $1584726.63   | 0.30%             | 2025-06-27      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LNR CDO LTD 2005-1A                                            | LNR CDO LTD LNR 2005 1A A 144A                              | CUSIP: 53944PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1616045 | PA      | $25793.70     | 0.00%             | 2043-02-28      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-3                                  | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A                | CUSIP: 57109M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6714 | PA      | $541693.63    | 0.10%             | 2029-09-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ALT LN TR 2006-3                                         | MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 2A2               | CUSIP: 57645DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1446899 | PA      | $537109.04    | 0.10%             | 2036-07-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                  | MELCO RESORTS FINANCE SR UNSECURED 144A 06/25 4.875         | CUSIP: 58547DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1732000 | PA      | $1593539.57   | 0.31%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                  | MELCO RESORTS FINANCE SR UNSECURED 144A 07/28 5.75          | CUSIP: 58547DAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1500000 | PA      | $1256578.77   | 0.24%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1     | ACE SECURITIES CORP. ACE 2006 HE1 M1                        | CUSIP: 004421WR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24062355 | PA      | $20249518.47  | 3.89%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2C            | CUSIP: 59021AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375936 | PA      | $188283.21    | 0.04%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1             | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420111 | PA      | $230734.92    | 0.04%             | 2036-03-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                         | ADAGIO CLO ADAGI VI A SUB 144A                              | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1800000 | PA      | $502987.98    | 0.10%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                          | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C                | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260212 | PA      | $226603.76    | 0.04%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A2             | CUSIP: 61751MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412150 | PA      | $194839.61    | 0.04%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                              | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75           | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $604602.50    | 0.12%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN STATES TELEPHONE & TELEGRAPH COMPANY                  | MOUNTAIN STATES TEL + TE SR UNSECURED 05/30 7.375           | CUSIP: 624284BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3600000 | PA      | $3502702.80   | 0.67%             | 2030-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                   | MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B               | CUSIP: 55328HAK7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |   5841000 | PA      | $5015958.75   | 0.96%             | 2028-09-01      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| NEW ALBERTSONS LP                                              | NEW ALBERTSONS LP SR UNSECURED 02/28 6.57                   | CUSIP: 01310QCW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5600000 | PA      | $5758956.00   | 1.11%             | 2028-02-23      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |    377013 | PA      | $175546.64    | 0.03%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                            | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |  11300000 | PA      | $9614771.00   | 1.85%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                          | NOBLE FINANCE CO SECURED 02/28 11                           | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     27209 | PA      | $30270.01     | 0.01%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                          | NOBLE FINANCE CO SECURED 144A 02/28 11                      | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     19438 | PA      | $21624.78     | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORPORATION                                   | NORFOLK SOUTHERN CORP SR UNSECURED 05/21 4.1                | CUSIP: 655844CJ5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $417891.97    | 0.08%             | 2121-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                           | ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/26 7.35          | CUSIP: G67106AC1<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |    202445 | PA      | $111850.86    | 0.02%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED                    | ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72         | CUSIP: G6711KAD7<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |   5677413 | PA      | $1518707.98   | 0.29%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                            | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000      | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    407377 | PA      | $998.07       | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                            | ODEBRECHT OIL + FINANCE COMPANY GUAR REGS 12/99 0.0000      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    345248 | PA      | $845.86       | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL                        | OI SA TERM LOAN 1                                           | CUSIP: 938VGYII0<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   5919347 | PA      | $2071771.57   | 0.40%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| OI S.A. - EM RECUPERA\xc7\xc3O JUDICIAL                        | OI SA TERM LOAN 2                                           | CUSIP: 938XAMII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   1370090 | PA      | $479531.46    | 0.09%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                | OI SA COMPANY GUAR 07/25 VAR                                | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  24519000 | PA      | $4236914.83   | 0.81%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                             | ORACLE CORP SR UNSECURED 03/61 4.1                          | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    200000 | PA      | $139744.96    | 0.03%             | 2061-03-25      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75              | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3754000 | PA      | $2886523.88   | 0.55%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1342436.70   | 0.26%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     27000 | PA      | $19242.97     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25              | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1188968.71   | 0.23%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    213000 | PA      | $159309.06    | 0.03%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6               | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    118000 | PA      | $89582.49     | 0.02%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3358000 | PA      | $2616312.43   | 0.50%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75              | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     22000 | PA      | $14835.89     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5               | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    275000 | PA      | $195127.34    | 0.04%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                 | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      7000 | PA      | $4712.17      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                            | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M4                 | CUSIP: 70069FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572875 | PA      | $545995.34    | 0.10%             | 2034-10-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                   | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |   6860000 | PA      | $5739314.45   | 1.10%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                    | PETROLEOS MEXICANOS COMPANY GUAR REGS 04/27 2.75            | CUSIP: ACI0CBT55<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2422000 | PA      | $2034980.17   | 0.39%             | 2027-04-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                  | PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25         | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3386338.16   | 0.65%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                            | ALTICE FINANCING SA SR SECURED 144A 08/29 5.75              | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |   1925000 | PA      | $1517742.90   | 0.29%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                          | PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN | CUSIP: 945BECII5<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   2743133 | PA      | $2569337.28   | 0.49%             | 2027-06-30      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                          | PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN     | CUSIP: 945BEBII7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   8300490 | PA      | $7641319.26   | 1.47%             | 2026-12-31      | Floating      | 6.71%                 | No            |                  3 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                             | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: ACI11ZNP4<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    100000 | PA      | $326.89       | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                             | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        | 136652000 | PA      | $446707.78    | 0.09%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                       | ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5         | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |   4500000 | PA      | $3440925.00   | 0.66%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                               | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   1227372 | PA      | $538509.29    | 0.10%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| QVC INC                                                        | QVC INC SR SECURED 03/43 5.95                               | CUSIP: 747262AM5<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |   1774000 | PA      | $879646.77    | 0.17%             | 2043-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 CB1            | CUSIP: 76110HG94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    814000 | PA      | $316519.24    | 0.06%             | 2034-12-26      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A15           | CUSIP: 751155AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150535 | PA      | $125907.11    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE HOLDINGS LLC                                       | BRIGHTHOUSE HLDGS LLC JR SUBORDINA 144A VAR                 | CUSIP: 10924BAA5<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     70000 | NS      | $62650.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A2             | CUSIP: 74922TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81512 | PA      | $68069.61     | 0.01%             | 2037-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1               | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS1 MII2           | CUSIP: 76112BJH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2013042 | PA      | $1823256.34   | 0.35%             | 2035-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A3             | CUSIP: 76113XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2382025 | PA      | $908172.56    | 0.17%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A9                            | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A5              | CUSIP: 761143AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2396407 | PA      | $965780.02    | 0.19%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                          | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1              | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82762 | PA      | $79319.20     | 0.02%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                          | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 2A2            | CUSIP: 74958WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778249 | PA      | $540582.77    | 0.10%             | 2037-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                            | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25            | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |    141586 | PA      | $143718.52    | 0.03%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                            | RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25            | CUSIP: U76673AA7<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |   1029713 | PA      | $1045225.57   | 0.20%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                            | REDSTONE HOLDCO 2 LP 2021 TERM LOAN                         | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   7766962 | PA      | $5414659.61   | 1.04%             | 2028-04-27      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                   | RUSSIAN FEDERATION SR UNSECURED REGS 11/27 1.125            | CUSIP: ACI1SXKR9<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    100000 | PA      | $31043.04     | 0.01%             | 2027-11-20      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                             | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487         | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |   1000000 | PA      | $653210.85    | 0.13%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                             | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1207000 | PA      | $1146348.25   | 0.22%             | 2029-04-09      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                | SANDS CHINA LTD SR UNSECURED 03/27 2.8                      | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $514674.00    | 0.10%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                | SANDS CHINA LTD SR UNSECURED 03/29 3.35                     | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    500000 | PA      | $409156.04    | 0.08%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                | SANDS CHINA LTD SR UNSECURED 08/28 5.9                      | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   5128000 | PA      | $4808335.86   | 0.92%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                             | SEAGATE HDD CAYMAN COMPANY GUAR 06/29 4.091                 | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |   2000000 | PA      | $1660975.44   | 0.32%             | 2029-06-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                  | SEQUOIA MORTGAGE TRUST SEMT 2007 1 2A1                      | CUSIP: 81744HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141026 | PA      | $117253.31    | 0.02%             | 2047-02-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                  | SEQUOIA MORTGAGE TRUST SEMT 2007 3 2CA1                     | CUSIP: 81744MAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264581 | PA      | $218352.20    | 0.04%             | 2037-07-20      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-M1                                 | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A                | CUSIP: 78447T103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3400 | PA      | $1908899.91   | 0.37%             | 2029-10-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SLM STUDENT LOAN TRUST-2007-4                                  | SLM STUDENT LOAN TRUST SLMA 2007 4 R                        | CUSIP: 78444A107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4000 | PA      | $1367873.06   | 0.26%             | 2042-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1000 | PA      | $323767.21    | 0.06%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-C                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A            | CUSIP: 78448R106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1282 | PA      | $421565.81    | 0.08%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B                      | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A           | CUSIP: 83403Y104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $436013.98    | 0.08%             | 2040-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C                      | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A          | CUSIP: 83405D108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20800 | PA      | $249021.49    | 0.05%             | 2040-07-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                      | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A          | CUSIP: 78471C109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1718000 | PA      | $235035.22    | 0.05%             | 2040-09-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOLENIS (OLYMPUS WATER US HOLDING CORPORATION)                 | OLYMPUS WTR US HLDG CORP SR UNSECURED 144A 10/29 5.375      | CUSIP: ACI20N5P0<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $1873531.48   | 0.36%             | 2029-10-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 3A                                         | SOUTH COAST FUNDING SCF 3A A1A 144A                         | CUSIP: 83743SAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3801304 | PA      | $298584.86    | 0.06%             | 2038-08-10      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 3A                                         | SOUTH COAST FUNDING SCF 3A A1B 144A                         | CUSIP: 83743SAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5702051 | PA      | $447884.67    | 0.09%             | 2038-08-10      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                      | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR            | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2300000 | PA      | $1289860.01   | 0.25%             | 2067-01-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                      | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2     | CUSIP: 935YNTII0<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  12536450 | PA      | $8633321.94   | 1.66%             | 2023-06-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1             | CUSIP: 863579UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314801 | PA      | $267792.88    | 0.05%             | 2035-07-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1             | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1249596 | PA      | $786813.07    | 0.15%             | 2036-01-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-10                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 10 2A1             | CUSIP: 86361QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115752 | PA      | $936421.06    | 0.18%             | 2036-11-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                              | PUG LLC 2021 INCREMENTAL TERM LOAN B                        | CUSIP: 74530DAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    369066 | PA      | $307247.16    | 0.06%             | 2027-02-12      | Floating      | 8.63%                 | No            |                  3 | On Loan: No      |
| STUBHUB (PUG LLC)                                              | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   9258990 | PA      | $7708109.59   | 1.48%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1             | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94430 | PA      | $82014.16     | 0.02%             | 2037-02-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-2                                | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 2 3A3             | CUSIP: 78473TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163530 | PA      | $99135.10     | 0.02%             | 2037-04-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                  | SYMPHONY CLO LTD SYMP 2014 14A E 144A                       | CUSIP: 87159QAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1904029.76   | 0.37%             | 2026-07-14      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                         | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |  15593551 | PA      | $13683341.34  | 2.63%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2005-1A                          | TABERNA PREFERED FUNDING LTD TBRNA 2005 1A A1A 144A         | CUSIP: 87330PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2070959 | PA      | $1887161.12   | 0.36%             | 2035-07-05      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                          | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A         | CUSIP: 87331BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    277874 | PA      | $248002.68    | 0.05%             | 2036-08-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                          | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A        | CUSIP: 87331BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5140672 | PA      | $4588049.47   | 0.88%             | 2036-08-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                       | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |  12019359 | PA      | $10336649.09  | 1.99%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                 | TELEMAR NORTE LESTE SA TERM LOAN 2                          | CUSIP: 938VGTII1<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |    370560 | PA      | $129696.15    | 0.02%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                 | TELEMAR NORTE LESTE SA TERM LOAN 3                          | CUSIP: 938VGUII8<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   4271349 | PA      | $1494972.19   | 0.29%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                 | TELEMAR NORTE LESTE SA TERM LOAN 5                          | CUSIP: 945BALII9<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |   1368653 | PA      | $479028.63    | 0.09%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  17043739 | PA      | $13947402.80  | 2.68%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1261538 | PA      | $1234737.08   | 0.24%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                     | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   6938462 | PA      | $6791053.92   | 1.30%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                       | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528      | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    835505 | PA      | $825676.28    | 0.16%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                           | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  44400000 | PA      | $3306055.08   | 0.64%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                          | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1998005 | PA      | $1778104.57   | 0.34%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                          | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8259111 | PA      | $7850615.37   | 1.51%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANCESTRY.COM                                                   | ARCHES BUYER INC 2021 TERM LOAN B                           | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |    831000 | PA      | $771533.64    | 0.15%             | 2027-12-06      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                  | TRANSDIGM INC 2020 TERM LOAN E                              | CUSIP: 89364MBQ6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     13633 | PA      | $13511.13     | 0.00%             | 2025-05-30      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                  | TRANSDIGM INC 2022 TERM LOAN H                              | CUSIP: 948CTJII9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |   2018861 | PA      | $2014449.57   | 0.39%             | 2027-02-22      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                   | UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375            | CUSIP: ACI1J9SD5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |   1054000 | PA      | $210137.26    | 0.04%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO PLC                                      | UNIQUE PUB FINANCE CO ASSET BACKED REGS 06/27 5.659         | CUSIP: 743541II7<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |    414861 | PA      | $495351.95    | 0.10%             | 2027-06-30      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                                | UNITED GROUP BV SR SECURED REGS 07/24 4.875                 | CUSIP: ACI0W96J3<br>LEI: 213800PC85O8BJ7DU398 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $100027.62    | 0.02%             | 2024-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1109000 | PA      | $1108776.35   | 0.21%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    201000 | PA      | $200384.83    | 0.04%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    178000 | PA      | $177435.99    | 0.03%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     71000 | PA      | $70647.36     | 0.01%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                             | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    873000 | PA      | $867045.06    | 0.17%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 2017-28A                                            | APIDOS CLO APID 2017 28A SUB 144A                           | CUSIP: 03766YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $1498639.23   | 0.29%             | 2031-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| APOLLO COMMERCIAL REAL ESTATE FINANCE INC                      | APOLLO CMMRL REAL EST FI SR SECURED 144A 06/29 4.625        | CUSIP: 03762UAD7<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1443042.00   | 0.28%             | 2029-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC    | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7721000 | PA      | $4895725.50   | 0.94%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC     | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2600000 | PA      | $1727362.00   | 0.33%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC     | UNITI GROUP/CSL CAPITAL SR SECURED 144A 04/28 4.75          | CUSIP: 91327BAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2200000 | PA      | $1763223.00   | 0.34%             | 2028-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | U.S. RENAL CARE, INC. 2019 TERM LOAN B                      | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  19052173 | PA      | $10752570.33  | 2.07%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | US RENAL CARE INC 2021 TERM LOAN B                          | CUSIP: 90290PAQ7<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    909805 | PA      | $513471.10    | 0.10%             | 2026-06-26      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                              | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $364100.00    | 0.07%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                | VALARIS LTD SR SECURED 04/28 8.25                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    909000 | PA      | $915477.04    | 0.18%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                | VALARIS LTD SR SECURED 144A 04/28 8.25                      | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1106000 | PA      | $1113880.76   | 0.21%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                        | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |  90000000 | PA      | $6498887.26   | 1.25%             | 2049-12-29      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    308000 | PA      | $29260.00     | 0.01%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25          | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     28000 | PA      | $2450.00      | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC                                                 | VERITAS US INC 2021 TERM LOAN B                             | CUSIP: G9341JAN0<br>LEI: 549300RFUWCPWS8FQ104 | Long             | LON              | CORP              | US        |  13066800 | PA      | $9284418.70   | 1.78%             | 2025-09-01      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC / VERITAS BERMUDA LTD                           | VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5          | CUSIP: 92346LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3610000 | PA      | $2494036.37   | 0.48%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                          | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75         | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $683242.63    | 0.13%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                          | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875        | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5800000 | PA      | $5091699.48   | 0.98%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                             | VIKING CRUISES LTD SR SECURED 144A 05/25 13                 | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   3697000 | PA      | $3906386.69   | 0.75%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                 | VOC ESCROW LTD SR SECURED 144A 02/28 5                      | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   4200000 | PA      | $3619056.00   | 0.70%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                  | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |   7150000 | PA      | $5675312.50   | 1.09%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2            | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265575 | PA      | $238588.66    | 0.05%             | 2037-02-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A1            | CUSIP: 93364FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221359 | PA      | $185212.15    | 0.04%             | 2037-07-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1            | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458713 | PA      | $421266.97    | 0.08%             | 2037-07-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| CAYENNE AVIATION LLC                                           | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5         | CUSIP: 942UCF900<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      5971 | NS      | $1602496.05   | 0.31%             |  |  |  | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3           | CUSIP: 93363NAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1017004 | PA      | $876342.57    | 0.17%             | 2036-10-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA5                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA5 A1B           | CUSIP: 93936RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58185 | PA      | $7551.46      | 0.00%             | 2047-05-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                    | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |  19131052 | PA      | $17648395.47  | 3.39%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                    | WESCO AIRCRAFT HOLDINGS SR UNSECURED 144A 11/26 9           | CUSIP: 97789LAB2<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |   2966000 | PA      | $2009465.00   | 0.39%             | 2026-11-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| WEST MARINE (RISING TIDE HOLDINGS INC)                         | RISING TIDE HOLDINGS INC TERM LOAN                          | CUSIP: 76770EAB3<br>LEI: 254900T03WM6VU0KWL83 | Long             | LON              | CORP              | US        |    987500 | PA      | $469062.50    | 0.09%             | 2028-06-01      | Floating      | 9.48%                 | No            |                  3 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                               | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4754163 | PA      | $3696361.88   | 0.71%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                     | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B               | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |   2423176 | PA      | $2203878.83   | 0.42%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                     | WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN          | CUSIP: 948CQMII5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |   5480000 | PA      | $5227981.49   | 1.00%             | 2027-02-28      | Floating      | 8.42%                 | No            |                  3 | On Loan: No      |
| WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)                 | WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75            | CUSIP: 97382WAA1<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $6946117.30   | 1.33%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |      2634 | NS      | $60792.72     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 3CB1            | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974675 | PA      | $669874.35    | 0.13%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                  | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    416000 | PA      | $382270.72    | 0.07%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                 | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                     | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3054000 | PA      | $1632195.72   | 0.31%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625                | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   7284000 | PA      | $6237252.78   | 1.20%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 10/27 5.5                  | CUSIP: 98313RAD8<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $175134.00    | 0.03%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                             | WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125                | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $162145.00    | 0.03%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                           | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1           | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   4313625 | PA      | $3922163.83   | 0.75%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                           | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |   9950000 | PA      | $9001665.50   | 1.73%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YOSEMITE RE LTD                                                | YOSEMITE RE LTD UNSECURED 144A 06/25 VAR                    | CUSIP: 98740RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    660000 | PA      | $636009.00    | 0.12%             | 2025-06-06      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                        | ZAYO GROUP HOLDINGS INC USD TERM LOAN                       | CUSIP: 98919XAB7<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |   2000000 | PA      | $1629040.00   | 0.31%             | 2027-03-09      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | BONCER BONDS 03/23 1.4                                      | CUSIP: ACI1L3HY1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  56606001 | PA      | $172618.84    | 0.03%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |   -192748 | PA      | $-206465.14   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | FIXED INC CLEARING CORP.REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    130000 | PA      | $130000.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000                   | CUSIP: ACI28ZVJ0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  70467365 | PA      | $214101.27    | 0.04%             | 2023-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2517232 | PA      | $-2538152.92  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1750151 | PA      | $-1773472.19  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2369238 | PA      | $-2399788.06  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3210887 | PA      | $-3253006.88  | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2605143 | PA      | $-2639244.02  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2191985 | PA      | $-2221193.13  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   2782027 | PA      | $650298.81    | 0.12%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -234385 | PA      | $-234935.80   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4042784 | PA      | $-4052385.61  | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1800805 | PA      | $-1932429.89  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | HSBC REVERSE REPO EUR ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -583283 | PA      | $-625994.77   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1291971 | PA      | $-1387196.27  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1515037 | PA      | $-1627349.25  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -8305983 | PA      | $-8920207.31  | -1.71%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1691465 | PA      | $-1816648.85  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -299093 | PA      | $-320398.16   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -6034845 | PA      | $-6475117.74  | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -517954 | PA      | $-555821.72   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -2357465 | PA      | $-2530299.39  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | PARIBAS REVERSE REPO EUR ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -301967 | PA      | $-323066.95   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   3003000 | PA      | $701951.25    | 0.13%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | NOMURA REPO                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  59200000 | PA      | $59200000.00  | 11.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REV REPO  CANADIAN IMPERIAL BA                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -2167475 | PA      | $-2639968.58  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2233116 | PA      | $-2254268.36  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2766810 | PA      | $-2790136.63  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -874984 | PA      | $-881326.48   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2606614 | PA      | $-2629608.41  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -195965 | PA      | $-196564.52   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                      | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  53560000 | PA      | $46797.82     | 0.01%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3926187 | PA      | $-3971219.60  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3032135 | PA      | $-3056122.55  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1126559 | PA      | $-1133889.32  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4214042 | PA      | $-4244345.56  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -62112 | PA      | $-62512.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1242532 | PA      | $-1250608.12  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1108604 | PA      | $-1119109.36  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3323430 | PA      | $-3345553.10  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6708968 | PA      | $-6787030.87  | -1.30%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4794215 | PA      | $-4848469.54  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2133394 | PA      | $-2151508.36  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4569148 | PA      | $-4605701.36  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -82325 | PA      | $-83191.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -17425 | PA      | $-17558.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -183069 | PA      | $-184360.09   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO STANDARD CHARTERE VAR 1                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -878432 | PA      | $-888601.31   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4096503 | PA      | $-4156147.83  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3026909 | PA      | $-3059612.75  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -525174 | PA      | $-529856.21   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -500945 | PA      | $-504081.92   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -621399 | PA      | $-621399.19   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3382022 | PA      | $-3402314.40  | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  10995439 | PA      | $3500837.82   | 0.67%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1797977 | PA      | $-1809124.88  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1069491 | PA      | $-1076282.73  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1707805 | PA      | $-1712626.94  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -649276 | PA      | $-655384.06   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1443888 | PA      | $-1451411.23  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    668634 | PA      | $178859.60    | 0.03%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3268792 | PA      | $-3311240.60  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2057465 | PA      | $-2072112.78  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -556726 | PA      | $-561770.28   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2546994 | PA      | $-2568005.75  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2501073 | PA      | $-2521705.46  | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1162939 | PA      | $-1173145.43  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1281280 | PA      | $-1291594.31  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6313520 | PA      | $-6379433.14  | -1.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -609344 | PA      | $-615705.30   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1584506 | PA      | $-1596305.95  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -707254 | PA      | $-712396.82   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -454942 | PA      | $-457012.92   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -655087 | PA      | $-656051.80   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6007789 | PA      | $-6075660.32  | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1950451 | PA      | $-1966087.59  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -895642 | PA      | $-902784.66   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7871383 | PA      | $-7952674.32  | -1.53%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -919385 | PA      | $-930808.88   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7765744 | PA      | $-7857069.56  | -1.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -110877 | PA      | $-111801.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1772101 | PA      | $-1791936.34  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6087567 | PA      | $-6138310.25  | -1.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1994958 | PA      | $-2020145.82  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -279259 | PA      | $-282036.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   5955435 | PA      | $1707720.99   | 0.33%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-50452.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-18593.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                 | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    114993 | PA      | $29703.27     | 0.01%             | 2046-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230206                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-11363.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2405.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-17217.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2807.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $126325.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $91188.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4165.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2856.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD BRL BOUGHT USD 20230202                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-14272.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-5015.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-70890.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4657.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD PEN BOUGHT USD 20230515                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-10454.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $245768.91    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT MXN SOLD USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3535.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT PEN SOLD USD 20230503                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $139328.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2927.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD CAD BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $18011.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1028028.70  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-18676.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $9364.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     18079 | NC      | $135592.50    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | INTELSAT JACKSON HOLDINGS S A RIGHTS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     18304 | NC      | $123552.00    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       144 | NC      | $288.01       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       461 | NC      | $1613.48      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                            | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-502276.79   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | SOLD AUD BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-2695.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOCA CLO XIII  13X                                            | AVOCA CLO AVOCA 13X SUB REGS                                | CUSIP: ACI0B8BB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1600000 | PA      | $774902.24    | 0.15%             | 2034-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                  | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 02/24 5.5         | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      6000 | PA      | $5924.44      | 0.00%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                            | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-316964.92   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-131978.06   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                            | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-202257.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO Corporate & Income Strategy Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer