# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-23-009169
**Filing Date:** 2023-2
**Character Count:** 304194
**Document Hash:** e9ccabc2046ae3d6aca95e31fc52cb5f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009169.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009169

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 23663146

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

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

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

## Series and Classes Contracts Data

### Columbia Variable Portfolio - Intermediate Bond Fund (Series ID: S000019856)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000055693 | Columbia Variable Portfolio - Intermediate Bond Fund Class 3 |  |
| C000088783 | Columbia Variable Portfolio - Intermediate Bond Fund Class 2 |  |
| C000088784 | Columbia Variable Portfolio - Intermediate Bond Fund Class 1 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

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

- **b. EDGAR series identifier (if any):** S000019856

- **c. LEI of Series:** 6BZZOFA4UMX0Q7I1ZK30

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3944719800.08

**Total Liabilities:** $571909754.59

**Net Assets:** $3372810045.49

**Delayed Delivery Securities:** $553707440.37

**Cash Not Reported:** $1502526.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 651560.870200000000 | **1-Year:** 2950.100400000000 | **5-Year:** 129384.691000000000 | **10-Year:** 417336.505200000000 | **30-Year:** 1655779.897400000000

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

- **3-Month:** 280912.482200000000 | **1-Year:** 241063.792000000000 | **5-Year:** 140546.042000000000 | **10-Year:** 404053.140000000000 | **30-Year:** 322164.437600000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055693 | -2.69%               | 4.40%                | -0.36%               |
| Class ID C000088783 | -2.58%               | 4.29%                | -0.24%               |
| Class ID C000088784 | -2.69%               | 4.40%                | -0.36%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-20570522.35            | $-28887560.91                              |
| Month 2  | $-8904289.15             | $109378622.95                              |
| Month 3  | $10793845.67             | $-29679755.28                              |

**Designated Index Information**

- **Index Name:** BBG U.S. Aggregate Index

- **Index Identifier:** LEH_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CEDAR FAIR LP/CANADA WONDERLAND CO/MAGNUM MANAGEMENT CORP        | CEDAR FAIR LP/CANADA WONDERLAND    | CUSIP: 150190AF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     564000 | PA      | $557300.84    | 0.02%             | 2025-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CEDAR FAIR LP/CANADAS WONDERLAND CO/MAGNUM MANAGEMENT CORP/MILLE | CEDAR FAIR LP/CANADA WONDERLAND    | CUSIP: 150190AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     284000 | PA      | $276263.55    | 0.01%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                             | CENGAGE LEARNING INC TLB 4.75      | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |    1389311 | PA      | $1246475.76   | 0.04%             | 2026-07-14      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     835000 | PA      | $706698.17    | 0.02%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     734000 | PA      | $601333.32    | 0.02%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    4954000 | PA      | $3891120.59   | 0.12%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC (PRE-MERGER)                                  | CENOVUS ENERGY INC                 | CUSIP: 15135UAX7<br>LEI: 549300NKHFE6ZRF37I48 | Long             | DBT              | CORP              | CA        |    3240000 | PA      | $2285018.97   | 0.07%             | 2052-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                             | CENGAGE LEARNING INC               | CUSIP: 15137NAA1<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | DBT              | CORP              | US        |     841000 | PA      | $801009.37    | 0.02%             | 2024-06-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                     | CHARLES RIVER LABORATORIES INTL    | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     423000 | PA      | $373992.40    | 0.01%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                     | CHARLES RIVER LABORATORIES INTL    | CUSIP: 159864AJ6<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     128000 | PA      | $110760.38    | 0.00%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES                                                 | CHART INDUSTRIES INC               | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |     234000 | PA      | $234971.12    | 0.01%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES                                                 | CHART INDUSTRIES INC               | CUSIP: 16115QAG5<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |      80000 | PA      | $82046.80     | 0.00%             | 2031-01-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS    | CHARTER COMM OPT/OPT CAP           | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4412000 | PA      | $3476428.91   | 0.10%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP           | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1060000 | PA      | $681065.38    | 0.02%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP           | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9151000 | PA      | $5406330.09   | 0.16%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP           | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12519000 | PA      | $9639218.75   | 0.29%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHEEVER ESCROW ISSUER LLC                                        | OLYMPUS WATER US HOLDINGS CORP     | CUSIP: 16308NAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     398000 | PA      | $379528.92    | 0.01%             | 2027-10-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                                      | CHENIERE ENERGY PARTNERS LP        | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     210000 | PA      | $167267.29    | 0.00%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                 | CINEMARK USA INC                   | CUSIP: 172441BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     168000 | PA      | $170520.52    | 0.01%             | 2025-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                 | CINEMARK USA INC                   | CUSIP: 172441BD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     841000 | PA      | $699651.78    | 0.02%             | 2026-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                      | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4618000 | PA      | $3735323.10   | 0.11%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CMLTI_14-C                                                       | CMLTI_14-C                         | CUSIP: 17323GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3093413 | PA      | $2973156.11   | 0.09%             | 2054-02-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CMLTI_15-RP2                       | CUSIP: 17323TAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2232146 | PA      | $2100107.25   | 0.06%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                      | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   19236000 | PA      | $15532160.71  | 0.46%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HOLDINGS CORP                                  | CLARIVATE SCIENCE HOLDINGS CORP    | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     364000 | PA      | $315774.24    | 0.01%             | 2028-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HOLDINGS CORP                                  | CLARIVATE SCIENCE HOLDINGS CORP    | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     732000 | PA      | $622406.23    | 0.02%             | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                               | CLEAR CHANNEL WORLDWIDE HOLDINGS   | CUSIP: 18453HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     401000 | PA      | $347466.35    | 0.01%             | 2027-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                               | CLEAR CHANNEL OUTDOOR HOLDINGS     | CUSIP: 18453HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     249000 | PA      | $182749.72    | 0.01%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                               | CLEAR CHANNEL OUTDOOR HOLDINGS INC | CUSIP: 18453HAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1070000 | PA      | $778286.40    | 0.02%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                    | CLEARWAY ENERGY OPERATING LLC      | CUSIP: 18539UAD7<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     760000 | PA      | $634365.68    | 0.02%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                    | CLEARWAY ENERGY OPERATING LLC      | CUSIP: 18539UAE5<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |     229000 | PA      | $185050.27    | 0.01%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COLD STORAGE TRUST COLD_20-ICE5                                  | COLD_20-ICE5                       | CUSIP: 193051AS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3096420 | PA      | $2951382.90   | 0.09%             | 2037-11-15      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURCES OPERATING LLC                                  | COLGATE ENERGY PARTNERS III LLC    | CUSIP: 19416MAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     558000 | PA      | $480444.14    | 0.01%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)             | CUSIP: 195325BR5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    2500000 | PA      | $1839110.53   | 0.05%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)             | CUSIP: 195325DQ5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    9733000 | PA      | $6655745.42   | 0.20%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)             | CUSIP: 195325DZ5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    4160000 | PA      | $3024297.41   | 0.09%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                               | COLT_21-3                          | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11499300 | PA      | $8867294.28   | 0.26%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                               | COLT_21-3                          | CUSIP: 19688FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4758331 | PA      | $3614489.22   | 0.11%             | 2066-09-27      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC COLT_20-2                                       | COLT_20-2                          | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3906000 | PA      | $3650087.47   | 0.11%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND      | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  285041710 | NS      | $284956197.90 | 8.45%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_20-CBM                                  | COMM_20-CBM                        | CUSIP: 20049AAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10950000 | PA      | $9407822.81   | 0.28%             | 2037-02-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECHNOLOGIES LLC                                       | COMMSCOPE TECHNOLOGIES FINANCE LLC | CUSIP: 20337YAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     181000 | PA      | $164721.12    | 0.00%             | 2025-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RES INC                                                 | COMSTOCK RESOURCES INC             | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     307000 | PA      | $277173.54    | 0.01%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RES INC                                                 | COMSTOCK RESOURCES INC             | CUSIP: 205768AT1<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     566000 | PA      | $489467.96    | 0.01%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE (FRANCE)                                          | CONSTELLIUM SE                     | CUSIP: 21039CAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     848000 | PA      | $784134.92    | 0.02%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE (FRANCE)                                          | CONSTELLIUM SE                     | CUSIP: 21039CAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |    1110000 | PA      | $903815.93    | 0.03%             | 2029-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)              | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   57000000 | PA      | $53927554.08  | 1.60%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)              | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   24000000 | PA      | $23277900.96  | 0.69%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)              | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  102000000 | PA      | $101054380.44 | 3.00%             | 2053-01-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CSMC_20-RPL2                      | CSMC_20-RPL2                       | CUSIP: 22946BAP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7142262 | PA      | $7052600.93   | 0.21%             | 2060-02-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                                 | DT MIDSTREAM INC                   | CUSIP: 23345MAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     377000 | PA      | $315306.62    | 0.01%             | 2031-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                          | DARLING INGREDIENTS INC            | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     429000 | PA      | $420455.45    | 0.01%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_21-4                   | DRMT_21-4                          | CUSIP: 24381JAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6660543 | PA      | $5527185.98   | 0.16%             | 2066-11-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| DELEK LOGISTICS PARTNERS LP                                      | DELEK LOGISTICS PARTNERS LP        | CUSIP: 24665FAB8<br>LEI: 549300UVYITDIU51P724 | Long             | DBT              | CORP              | US        |     164000 | PA      | $158665.30    | 0.00%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                            | DIRECTV HOLDINGS LLC/DIRECTV FIN   | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     256000 | PA      | $229573.36    | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                | DISH NETWORK CORP                  | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     721000 | PA      | $451706.50    | 0.01%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                | DISH NETWORK CORP                  | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     432000 | PA      | $444241.55    | 0.01%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                    | DISH DBS CORP                      | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     466000 | PA      | $376064.85    | 0.01%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                    | DISH DBS CORP                      | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1327000 | PA      | $856063.07    | 0.03%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC (GOVERNMENT)                                  | DOMINICAN REPUBLIC                 | CUSIP: 25714PDT2<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    1630000 | PA      | $1596381.76   | 0.05%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_18-57A                             | DRSLF_18-57A                       | CUSIP: 26243KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   14617500 | PA      | $14025564.34  | 0.42%             | 2031-05-15      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_20-83A                             | DRSLF_20-83A                       | CUSIP: 26246EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    8000000 | PA      | $7202344.00   | 0.21%             | 2032-01-18      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | DUKE ENERGY CORP                   | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    8018000 | PA      | $7193300.27   | 0.21%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQT MIDSTREAM PARTNERS LP          | CUSIP: 26885BAE0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     411000 | PA      | $308255.86    | 0.01%             | 2048-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP          | CUSIP: 26885BAF7<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     195000 | PA      | $189428.64    | 0.01%             | 2025-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP          | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     492000 | PA      | $470375.15    | 0.01%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP          | CUSIP: 26885BAK6<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     679000 | PA      | $574443.07    | 0.02%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQM MIDSTREAM PARTNERS LP          | CUSIP: 26885BAL4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    1269000 | PA      | $1045697.18   | 0.03%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                     | ECOPETROL SA                       | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    8700000 | PA      | $7897929.17   | 0.23%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| 8TH AVENUE FOOD & PROVISIONS INC                                 | 8TH AVENUE FOOD & PROV 1LN TL 3.75 | CUSIP: 28253PAC3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     467458 | PA      | $387405.97    | 0.01%             | 2025-10-01      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | ELDORADO RESORTS                   | CUSIP: 28470RAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1994000 | PA      | $1940005.07   | 0.06%             | 2025-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | ELDORADO RESORTS                   | CUSIP: 28470RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     756000 | PA      | $743492.74    | 0.02%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| ELEMENT SOLUTIONS INC                                            | ELEMENT SOLUTIONS INC              | CUSIP: 28618MAA4<br>LEI: 549300FLGN6P5CU20J91 | Long             | DBT              | CORP              | US        |     732000 | PA      | $624822.72    | 0.02%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                              | EMERA US FINANCE LP                | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13116000 | PA      | $10204252.07  | 0.30%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENDO DAC                                                         | ENDO DAC / ENDO FINANCE LLC / ENDO | CUSIP: 29273DAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     381000 | PA      | $21718.17     | 0.00%             | 2028-06-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                                             | ENTEGRIS ESCROW CORP               | CUSIP: 29365BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     140000 | PA      | $128049.05    | 0.00%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                                             | ENTEGRIS ESCROW CORP               | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     503000 | PA      | $464042.44    | 0.01%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                | ENTERPRISE PRODUCTS OPERATING LLC  | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    3571000 | PA      | $2596762.49   | 0.08%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                        | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    4904000 | PA      | $5128079.29   | 0.15%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK OF INDIA                                      | EXPORT-IMPORT BANK OF INDIA        | CUSIP: 30216JAE5<br>LEI: N/A                  | Long             | DBT              | NUSS              | IN        |    4650000 | PA      | $4042356.55   | 0.12%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST ESA_21-ESH                           | ESA_21-ESH                         | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9761922 | PA      | $9347586.23   | 0.28%             | 2038-07-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FIGURE LINE OF CR FLOC_20-1                                      | FLOC_20-1                          | CUSIP: 302452AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2221272 | PA      | $2117649.68   | 0.06%             | 2049-09-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FAGE INTERNATIONAL SA (STRASSEN)                                 | FAGE INTERNATIONAL SA/FAGE USA     | CUSIP: 30257WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1961000 | PA      | $1840152.20   | 0.05%             | 2026-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FRESB MULTIFAMILY MORTGAGE PASS-THROUGH FRESB_18-SB45            | FRESB_18-SB45                      | CUSIP: 30308AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7487247 | PA      | $7110965.26   | 0.21%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_278                                       | FHLMC_278                          | CUSIP: 31325TVM8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1958380 | PA      | $187862.66    | 0.01%             | 2042-09-15      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPO                                 | FHLMC_309                          | CUSIP: 31325USF4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1031620 | PA      | $97307.00     | 0.00%             | 2043-08-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER              | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   26440508 | PA      | $22446832.82  | 0.67%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER              | CUSIP: 3132DNDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   27067203 | PA      | $23875193.59  | 0.71%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER              | CUSIP: 3132DNH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   17412954 | PA      | $14912944.20  | 0.44%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD        | CUSIP: 780153BK7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     235000 | PA      | $191171.05    | 0.01%             | 2027-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD        | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     431000 | PA      | $433458.79    | 0.01%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY GROUP LLC                                         | RYAN SPECIALTY GROUP LLC           | CUSIP: 78351MAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      78000 | PA      | $68177.20     | 0.00%             | 2030-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST SGR_19-3                           | SGR_19-3                           | CUSIP: 78432BAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7700000 | PA      | $6793268.02   | 0.20%             | 2059-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| SFO COMMERICAL MORTGAGE TRUST SFO-21-555                         | SFO_21-555                         | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22000000 | PA      | $20159755.00  | 0.60%             | 2038-05-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                                     | NAVIENT LLC                        | CUSIP: 78442FEQ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     272000 | PA      | $271598.82    | 0.01%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPCM SA                                                          | SPCM SA                            | CUSIP: 7846ELAD9<br>LEI: 969500F7036FEDYPRV54 | Long             | DBT              | CORP              | FR        |     228000 | PA      | $197297.91    | 0.01%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                             | SRS DISTRIBUTION INC               | CUSIP: 78471RAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     470000 | PA      | $419825.41    | 0.01%             | 2028-07-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                             | SRS DISTRIBUTION INC               | CUSIP: 78471RAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     385000 | PA      | $312485.01    | 0.01%             | 2029-07-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SRS DISTRIBUTION INC                                             | SRS DISTRIBUTION INC               | CUSIP: 78471RAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     515000 | PA      | $411888.51    | 0.01%             | 2029-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                   | SABRE GLBL INC                     | CUSIP: 78573NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     132000 | PA      | $132316.28    | 0.00%             | 2025-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                   | SABRE GLBL INC                     | CUSIP: 78573NAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     183000 | PA      | $175408.20    | 0.01%             | 2025-09-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                   | SABRE GLBL INC                     | CUSIP: 78573NAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      61000 | PA      | $62783.24     | 0.00%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TURST GRADE_20-FIG1            | GRADE_20-FIG1                      | CUSIP: 795811AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     948708 | PA      | $931813.05    | 0.03%             | 2050-09-25      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES HOLDINGS LP                                     | SCIENTIFIC GAMES HOLDINGS LP/FINCO | CUSIP: 80874DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     618000 | PA      | $521843.84    | 0.02%             | 2030-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO/THE                                        | SCOTTS MIRACLE-GRO CO/THE          | CUSIP: 810186AX4<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |     175000 | PA      | $134383.01    | 0.00%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                              | SELECT MEDICAL CORP                | CUSIP: 816196AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $762434.96    | 0.02%             | 2026-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                          | SENSATA TECHNOLOGIES BV            | CUSIP: 81725WAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     314000 | PA      | $297428.76    | 0.01%             | 2030-09-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOODS INC                                                | SIMMONS FOODS INC/SIMMONS PREP     | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     833000 | PA      | $681589.56    | 0.02%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                              | SIRIUS XM RADIO INC                | CUSIP: 82967NBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     266000 | PA      | $219753.27    | 0.01%             | 2030-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                              | SIRIUS XM RADIO INC                | CUSIP: 82967NBL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     552000 | PA      | $490107.59    | 0.01%             | 2026-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SBAP_14-20I                                                      | SBAP_14-20I                        | CUSIP: 83162CWN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     131564 | PA      | $122882.72    | 0.00%             | 2034-09-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)         | CUSIP: 836205BA1<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |    5000000 | PA      | $4452905.00   | 0.13%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)         | CUSIP: 836205BB9<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |     880000 | PA      | $646069.44    | 0.02%             | 2049-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY (THE)                                           | SOUTHERN CO                        | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    3505000 | PA      | $2931467.42   | 0.09%             | 2046-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                           | SOUTHWESTERN ENERGY COMPANY        | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     249000 | PA      | $230630.21    | 0.01%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                                           | SOUTHWESTERN ENERGY COMPANY        | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    1181000 | PA      | $1008375.82   | 0.03%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | SPECTRUM BRANDS INC                | CUSIP: 84762LAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     254000 | PA      | $251370.35    | 0.01%             | 2025-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | SPECTRUM BRANDS INC                | CUSIP: 84762LAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     409000 | PA      | $357766.40    | 0.01%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | SPECTRUM BRANDS HOLDINGS INC       | CUSIP: 84762LAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      29000 | PA      | $25741.28     | 0.00%             | 2030-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AROSYSTMS                                                 | SPIRIT AEROSYSTEMS INC             | CUSIP: 85205TAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     186000 | PA      | $196012.50    | 0.01%             | 2029-11-30      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1                      | STWH_21-NPB1                       | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9974322 | PA      | $8681667.06   | 0.26%             | 2026-10-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| STAPLES INC                                                      | STAPLES INC                        | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |     353000 | PA      | $303871.89    | 0.01%             | 2026-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_20-INV1                 | STAR_20-INV1                       | CUSIP: 85573EAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2218916.15   | 0.07%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_21-3                    | STAR_21-3                          | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3358653 | PA      | $2659719.60   | 0.08%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_22-2                    | STAR_22-2                          | CUSIP: 85573UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3926032 | PA      | $3604147.17   | 0.11%             | 2067-02-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| STEWART PARK CLO LTD STWRT_15-1A                                 | STWRT_15-1A                        | CUSIP: 860444AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   11171429 | PA      | $10778027.13  | 0.32%             | 2030-01-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| STONN_20-1                                                       | STONN_20-1                         | CUSIP: 86207LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4775278 | PA      | $4775277.77   | 0.14%             | 2024-07-28      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                   | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   12089000 | PA      | $10469863.53  | 0.31%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP                                      | TARGA RESOURCES PARTNERS LP        | CUSIP: 87612BBG6<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |     351000 | PA      | $335248.47    | 0.01%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS LP                                      | TARGA RESOURCES PARTNERS LP/TARGA  | CUSIP: 87612BBQ4<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |     574000 | PA      | $540919.35    | 0.02%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEMPO ACQUISITION LLC                                            | TEMPO ACQUISITION LLC/TEMPO FIN    | CUSIP: 88023JAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     344000 | PA      | $345106.65    | 0.01%             | 2025-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TEMPUR SEALY INTERNATIONAL INC                                   | TEMPUR SEALY INTERNATIONAL INC     | CUSIP: 88023UAJ0<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |     133000 | PA      | $104117.57    | 0.00%             | 2031-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                             | TENCENT HOLDINGS LTD               | CUSIP: 88032WAV8<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    4250000 | PA      | $2695640.02   | 0.08%             | 2050-06-03      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION       | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     574000 | PA      | $561006.49    | 0.02%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION       | CUSIP: 88033GCX6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     627000 | PA      | $602237.79    | 0.02%             | 2027-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION       | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     495000 | PA      | $471600.18    | 0.01%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION       | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     820000 | PA      | $735840.05    | 0.02%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION       | CUSIP: 88033GDL1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      91000 | PA      | $78788.75     | 0.00%             | 2029-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION       | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     674000 | PA      | $583948.24    | 0.02%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_21-1                                  | THRM_21-1A                         | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3980518 | PA      | $3915692.68   | 0.12%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| TIBCO SOFTWARE INC                                               | TIBCO SOFTWARE INC                 | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     486000 | PA      | $411519.24    | 0.01%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_21-1                                   | TRK_21-1                           | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11000000 | PA      | $10531485.80  | 0.31%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_19-4                              | TPMT_19-4                          | CUSIP: 89178BAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24114000 | PA      | $18470193.05  | 0.55%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                      | CUSIP: 893647BB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1198000 | PA      | $1167490.88   | 0.03%             | 2026-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                      | CUSIP: 893647BE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1995000 | PA      | $1971703.51   | 0.06%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                      | CUSIP: 893647BL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     438000 | PA      | $411306.02    | 0.01%             | 2027-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC                      | CUSIP: 893647BQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     460000 | PA      | $401059.01    | 0.01%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS LLC                                      | TRANSMONTAIGE PARTNERS LP / FIN CO | CUSIP: 89376VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     707000 | PA      | $614930.15    | 0.02%             | 2026-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4097                                           | FHLMC_4097                         | CUSIP: 3137ATPX4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     978886 | PA      | $98988.03     | 0.00%             | 2042-08-15      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4176                                           | FHLMC_4176                         | CUSIP: 3137B0MY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     954322 | PA      | $134358.96    | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FHLMC_4620                                            | FHLMC_4620                         | CUSIP: 3137BSAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1114046 | PA      | $50637.96     | 0.00%             | 2042-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4831                | FHLMC_4831                         | CUSIP: 3137FHQQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8305254 | PA      | $1024459.73   | 0.03%             | 2048-10-15      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC_4903                                                       | FHLMC_4903                         | CUSIP: 3137FN5P1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24692159 | PA      | $2614516.95   | 0.08%             | 2049-08-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4979                                           | FHLMC_4979                         | CUSIP: 3137FTXG7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10899267 | PA      | $1329214.63   | 0.04%             | 2048-06-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5152                | FHLMC_5152                         | CUSIP: 3137H3DW9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   60661761 | PA      | $8326997.46   | 0.25%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                          | CUSIP: 3138AXGY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1278636 | PA      | $1236387.88   | 0.04%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                          | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    4572180 | PA      | $4532544.09   | 0.13%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                          | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2818252 | PA      | $2635306.55   | 0.08%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                          | CUSIP: 3138W9RV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2398359 | PA      | $2299242.99   | 0.07%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                          | CUSIP: 3138WAYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1263710 | PA      | $1208914.57   | 0.04%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                          | CUSIP: 3138WEWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1262940 | PA      | $1174636.99   | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                          | CUSIP: 3138XYRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     692516 | PA      | $664207.03    | 0.02%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                          | CUSIP: 3140HCCG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1090848 | PA      | $1040120.37   | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                          | CUSIP: 3140HED33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6166557 | PA      | $5879803.65   | 0.17%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                          | CUSIP: 3140J7NH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    8375928 | PA      | $8070982.14   | 0.24%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                     | CUSIP: 3140MAZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   22321302 | PA      | $20343428.41  | 0.60%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                     | CUSIP: 3140MJ6V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   29848330 | PA      | $26355958.11  | 0.78%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                     | CUSIP: 3140QLRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   27713203 | PA      | $24514736.04  | 0.73%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                     | CUSIP: 3140QNT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   44194303 | PA      | $40199696.11  | 1.19%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                     | CUSIP: 3140QPY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   34202895 | PA      | $32350254.97  | 0.96%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER               | CUSIP: 3140XDUF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   32346551 | PA      | $28657894.66  | 0.85%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHCD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   35833684 | PA      | $32914699.02  | 0.98%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   40688173 | PA      | $37501282.67  | 1.11%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN SENTRY LTD                                            | TRANSOCEAN SENTRY LTD              | CUSIP: 89385AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     875207 | PA      | $868254.79    | 0.03%             | 2023-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1                | TMIR_21-1                          | CUSIP: 89600FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1882956 | PA      | $1880680.09   | 0.06%             | 2033-08-25      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   24408819 | PA      | $21473844.89  | 0.64%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   29056941 | PA      | $25737870.13  | 0.76%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   32153731 | PA      | $30758389.93  | 0.91%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER               | CUSIP: 3140XHWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   57700385 | PA      | $54596584.10  | 1.62%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2                | TMIR_21-2                          | CUSIP: 89600GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   15000000 | PA      | $14836548.00  | 0.44%             | 2033-10-25      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                     | TRIVIUM PACKAGING FINANCE BV       | CUSIP: 89686QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     830000 | PA      | $775840.04    | 0.02%             | 2026-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                     | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   40515683 | PA      | $34360033.58  | 1.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                         | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1377236 | PA      | $1346278.59   | 0.04%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FINANCE BV                                     | TRIVIUM PACKAGING FINANCE BV       | CUSIP: 89686QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     373000 | PA      | $342971.62    | 0.01%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST UBSCM_18-NYCH                      | UBSCM_18-NYCH                      | CUSIP: 90266HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10469000 | PA      | $10144061.08  | 0.30%             | 2032-02-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                     | US FOODS INC                       | CUSIP: 90290MAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     342000 | PA      | $339226.24    | 0.01%             | 2025-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                     | US FOODS INC                       | CUSIP: 90290MAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     535000 | PA      | $475083.57    | 0.01%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC (NEVADA)                              | FERTITTA ENTERTAINMENT LLC         | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     566000 | PA      | $456896.89    | 0.01%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_19-2                     | EFMT_19-2                          | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5761000 | PA      | $4742084.19   | 0.14%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| US FOODS INC                                                     | US FOODS INC                       | CUSIP: 90290MAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     377000 | PA      | $333129.83    | 0.01%             | 2030-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC              | CUSIP: 90353TAF7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     315000 | PA      | $315449.42    | 0.01%             | 2025-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC              | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    1999000 | PA      | $1742769.20   | 0.05%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE REPUBLIC OF (GOVERNMENT)                                 | UKRAINE (GOVERNMENT OF)            | CUSIP: 903724BM3<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1800000 | PA      | $335440.13    | 0.01%             | 2034-09-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNIFRAX ESCROW ISSUER CORP                                       | UNIFRAX ESCROW ISSUER CORP         | CUSIP: 90473LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     417000 | PA      | $335806.91    | 0.01%             | 2028-09-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIRLINES INC                | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     347000 | PA      | $323186.93    | 0.01%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIRLINES INC                | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     389000 | PA      | $339485.55    | 0.01%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                      | CUSIP: 912810RN0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    7608500 | PA      | $6141486.09   | 0.18%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                      | CUSIP: 912828K74<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   30000000 | PA      | $28321875.00  | 0.84%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                     | UNIVISION COMMUNICATIONS INC       | CUSIP: 914906AV4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     252000 | PA      | $210617.60    | 0.01%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 510 ASSETS BACKED TRUST FTAB_21-NPL2                             | FTAB_21-NPL2                       | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12490024 | PA      | $11570379.42  | 0.34%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                               | FORD MOTOR COMPANY                 | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     864000 | PA      | $650113.48    | 0.02%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC      | CUSIP: 345397A45<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     934000 | PA      | $846817.36    | 0.03%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC      | CUSIP: 345397A86<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     334000 | PA      | $298463.62    | 0.01%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS INC                                     | UNIVISION COMMUNICATIONS INC       | CUSIP: 914906AX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     345000 | PA      | $330131.57    | 0.01%             | 2030-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-3                           | UPST_21-3                          | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3952989 | PA      | $3868450.83   | 0.11%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-3                           | UPST_21-3                          | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9050000 | PA      | $8427788.97   | 0.25%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_20-ST6                          | UPSPT_20-ST6                       | CUSIP: 91680XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3646909 | PA      | $3465027.69   | 0.10%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC      | CUSIP: 345397B28<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     325000 | PA      | $294376.76    | 0.01%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT COMPANY LLC      | CUSIP: 345397B51<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     368000 | PA      | $304078.02    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST1                          | UPSPT_21-ST1                       | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300372 | PA      | $5044554.94   | 0.15%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS THROUGH TRUST UPSPT_21-ST10                         | UPSPT_21-ST10                      | CUSIP: 91681WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10836727 | PA      | $10265954.36  | 0.30%             | 2030-01-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-4                           | UPST_21-4                          | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8769018 | PA      | $8476670.85   | 0.25%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-4                           | UPST_21-4                          | CUSIP: 91682NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11370000 | PA      | $10180529.72  | 0.30%             | 2031-09-20      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL5                                                | VCAT_21-NPL5                       | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18373449 | PA      | $16187914.73  | 0.48%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| VWH CAPITAL VCAT_21-NPL6                                         | VCAT_21-NPL6                       | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13900657 | PA      | $12101443.35  | 0.36%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                          | VZ SECURED FINANCING BV            | CUSIP: 91845AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     901000 | PA      | $734611.98    | 0.02%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC  | CUSIP: 92328MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     908000 | PA      | $794976.43    | 0.02%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC  | CUSIP: 92328MAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     990000 | PA      | $843983.57    | 0.03%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                | VENTURE GLOBAL CALCASIEU PASS LLC  | CUSIP: 92328MAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     577000 | PA      | $471068.65    | 0.01%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT CO LLC           | CUSIP: 345397B93<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     960000 | PA      | $766376.89    | 0.02%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                    | FORD MOTOR CREDIT CO LLC           | CUSIP: 345397C35<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     294000 | PA      | $301261.80    | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| VERSCEND ESCROW CORP                                             | VERSCEND HOLDING CORP              | CUSIP: 92535WAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     874000 | PA      | $856136.17    | 0.03%             | 2026-08-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-1                            | VERUS_20-1                         | CUSIP: 92536PAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9893056 | PA      | $9097702.76   | 0.27%             | 2060-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| PENN ENTERTAINMENT INC                                           | PENN NATIONAL GAMING INC           | CUSIP: 707569AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     730000 | PA      | $577500.61    | 0.02%             | 2029-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_19-4                            | VERUS_19-4                         | CUSIP: 92537KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1803114 | PA      | $1697944.90   | 0.05%             | 2059-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_19-INV3                         | VERUS_19-INV3                      | CUSIP: 92537MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3959669 | PA      | $3712272.27   | 0.11%             | 2059-11-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA6                      | STACR_22-DNA6                      | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9915712 | PA      | $9915664.19   | 0.29%             | 2042-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_21-DNA5                      | STACR_21-DNA5                      | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5839875 | PA      | $5749557.66   | 0.17%             | 2034-01-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                | CUSIP: 71654QCC4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   20422000 | PA      | $13070793.95  | 0.39%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                | CUSIP: 71654QDD1<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   10000000 | PA      | $6928763.10   | 0.21%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR US NEWCO INC                                         | VERTICAL US NEWCO INC              | CUSIP: 92537RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     401000 | PA      | $356706.24    | 0.01%             | 2027-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                | CUSIP: 71654QDF6<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    5920000 | PA      | $3747167.60   | 0.11%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PETSMART LLC                                                     | PETSMART INC/PETSMART FIN CORP     | CUSIP: 71677KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     659000 | PA      | $597170.04    | 0.02%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA1                      | STACR_22-DNA1                      | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8250000 | PA      | $7829121.30   | 0.23%             | 2042-01-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_20-HQA3                      | STACR_20-HQA3                      | CUSIP: 35565MBD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3559605 | PA      | $3665750.71   | 0.11%             | 2050-07-25      | Variable      | 10.14%                | No            |                  2 | On Loan: No      |
| PETSMART LLC                                                     | PETSMART LLC/PETSMART FIN CORP     | CUSIP: 71677KAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     515000 | PA      | $480442.08    | 0.01%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                | CUSIP: 72147KAE8<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     971000 | PA      | $951520.26    | 0.03%             | 2027-09-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    1471000 | PA      | $1252081.87   | 0.04%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    4719000 | PA      | $3688641.46   | 0.11%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                             | FRONTIER COMMUNICATIONS HOLDINGS   | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     277000 | PA      | $282820.63    | 0.01%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPELINE LP                                  | PLAINS ALL AMERICAN PIPELINE LP    | CUSIP: 72650RBE1<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   18015000 | PA      | $13634131.76  | 0.40%             | 2044-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PLAYTIKA HOLDING CORP                                            | PLAYTIKA HOLDING CORP              | CUSIP: 72815LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     415000 | PA      | $325668.29    | 0.01%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PNT_21-1                                                         | PNT_21-1                           | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14818389 | PA      | $14172778.34  | 0.42%             | 2052-02-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                  | CUSIP: 737446AM6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     510000 | PA      | $493853.37    | 0.01%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                  | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     897000 | PA      | $757664.08    | 0.02%             | 2031-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRESTIGE BRANDS INC                                              | PRESTIGE BRANDS INC                | CUSIP: 74112BAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     470000 | PA      | $443949.22    | 0.01%             | 2028-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                             | PRET_21-RN2                        | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7067680 | PA      | $6378249.35   | 0.19%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PRIMO WATER HOLDINGS INC                                         | PRIMO WATER HOLDINGS INC           | CUSIP: 74168LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     770000 | PA      | $665001.05    | 0.02%             | 2029-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR4                          | PROG_19-SRF4                       | CUSIP: 74331AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1735000 | PA      | $1642387.09   | 0.05%             | 2036-10-17      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR1                          | PROG_20-SFR1                       | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19775000 | PA      | $17933417.53  | 0.53%             | 2037-04-17      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR3                          | PROG_19-SFR3                       | CUSIP: 74332WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2775000 | PA      | $2601635.76   | 0.08%             | 2036-09-17      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR3                          | PROG_20-SFR3                       | CUSIP: 74333AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7982076 | PA      | $7069100.40   | 0.21%             | 2027-10-17      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR2                          | PROG_20-SFR2                       | CUSIP: 74333LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5900000 | PA      | $5565880.05   | 0.17%             | 2037-06-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PROPER PASS-THRU TRUST II PPT2_19-ST2                            | PPT2_19-ST2                        | CUSIP: 74361EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     709969 | PA      | $709969.06    | 0.02%             | 2025-11-15      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| PROVIDENT FUNDING ASSOCIATES LP                                  | PROVIDENT FUNDING ASSOCIATES LP    | CUSIP: 74387UAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     556000 | PA      | $491165.43    | 0.01%             | 2025-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM PERSERO PT                            | INDONESIA ASAHAN ALUMINIUM TBK PT  | CUSIP: 74445PAE2<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |     708000 | PA      | $693725.54    | 0.02%             | 2025-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INDONESIA ASAHAN ALUMINIUM PERSERO PT                            | INDONESIA ASAHAN ALUMINIUM TBK PT  | CUSIP: 74445PAF9<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |    3550000 | PA      | $3381397.37   | 0.10%             | 2030-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| QATAR (STATE OF)                                                 | QATAR (STATE OF)                   | CUSIP: 74727PBB6<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |    5000000 | PA      | $4858710.05   | 0.14%             | 2049-03-14      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY                                                     | QATAR PETROLEUM                    | CUSIP: 74730DAC7<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |    5445000 | PA      | $4514152.26   | 0.13%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC                                              | QUICKEN LOANS LLC/ QUICKEN LOANS   | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     968000 | PA      | $768076.43    | 0.02%             | 2029-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PROPERTIES LP                                          | RHP HOTEL PROPERTIES LP/FIN CORP   | CUSIP: 749571AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     269000 | PA      | $232880.53    | 0.01%             | 2029-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST LP                                             | RLJ LODGING TRUST LP               | CUSIP: 74965LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     354000 | PA      | $315081.68    | 0.01%             | 2026-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RP ESCROW ISSUER LLC                                             | RADIOLOGY PARTNERS INC             | CUSIP: 74969PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     495000 | PA      | $378563.88    | 0.01%             | 2025-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| REDDING RIDGE ASSET MANAGEMENT RRAM_18-3A                        | RRAM_18-3A                         | CUSIP: 74988LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28000000 | PA      | $27170080.00  | 0.81%             | 2030-01-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC                                               | RADIATE HOLDCO LLC/RADIATE FIN INC | CUSIP: 75026JAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     604000 | PA      | $443905.40    | 0.01%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RADIATE HOLDCO LLC                                               | RADIATE HOLDCO LLC/RADIATE FIN INC | CUSIP: 75026JAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     907000 | PA      | $380136.29    | 0.01%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMIR_19-2                                                        | RMIR_19-2                          | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1077370 | PA      | $1076211.90   | 0.03%             | 2029-06-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I RPM_21-2A             | RPM_21-2A                          | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7589370 | PA      | $6673775.14   | 0.20%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| RESIDEO FUNDING INC                                              | RESIDEO FUNDING INC                | CUSIP: 76119LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     516000 | PA      | $416309.39    | 0.01%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3                        | RMLT_19-3                          | CUSIP: 76119NAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     485784 | PA      | $469770.01    | 0.01%             | 2059-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| RITCHIE BROS AUCTIONEERS INC                                     | RITCHIE BROS AUCTIONEERS INC       | CUSIP: 767744AA3<br>LEI: 5493002H8U24DJXQ4886 | Long             | DBT              | CORP              | CA        |     277000 | PA      | $273132.88    | 0.01%             | 2025-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROBLOX CORP                                                      | ROBLOX CORPORATION                 | CUSIP: 771049AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     518000 | PA      | $408033.57    | 0.01%             | 2030-05-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ROCKET MORTGAGE LLC                                              | ROCKET MORTGAGE LLC/ROCKET MORT    | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1181845.21   | 0.04%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD        | CUSIP: 780153AW2<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     620000 | PA      | $460096.30    | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD        | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     619000 | PA      | $494463.96    | 0.01%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD        | CUSIP: 780153BH4<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     474000 | PA      | $383791.29    | 0.01%             | 2026-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                      | ROYAL CARIBBEAN CRUISES LTD        | CUSIP: 780153BJ0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     600000 | PA      | $504804.05    | 0.01%             | 2026-08-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS_21-5                         | CUSIP: 92538KAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3183388 | PA      | $2498114.14   | 0.07%             | 2066-09-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS_21-5                         | CUSIP: 92538KAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6025698 | PA      | $4633268.36   | 0.14%             | 2066-09-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS_21-5                         | CUSIP: 92538KAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3800000 | PA      | $2052108.30   | 0.06%             | 2066-09-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-7                            | VERUS_21-7                         | CUSIP: 92538QAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9355793 | PA      | $7384104.41   | 0.22%             | 2066-10-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| VIDEOTRON LTD                                                    | VIDEOTRON LTD / VIDEOTRON LTEE     | CUSIP: 92660FAN4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    3204000 | PA      | $2708914.49   | 0.08%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                         | VIRGIN MEDIA FINANCE PLC           | CUSIP: 92769VAJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     671000 | PA      | $539094.36    | 0.02%             | 2030-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                 | VIRGIN MEDIA SECURED FINANCE PLC   | CUSIP: 92769XAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     566000 | PA      | $508646.24    | 0.02%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                       | VISIO_19-2                         | CUSIP: 92837DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2589872 | PA      | $2388545.50   | 0.07%             | 2054-11-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                    | VISTRA OPERATIONS COMPANY LLC      | CUSIP: 92840VAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     225000 | PA      | $214881.50    | 0.01%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                    | VISTRA OPERATIONS COMPANY LLC      | CUSIP: 92840VAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     449000 | PA      | $387402.44    | 0.01%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                       | VMED O2 UK FINANCING I PLC         | CUSIP: 92858RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     866000 | PA      | $701505.08    | 0.02%             | 2031-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                       | VMED O2 UK FINANCING I PLC         | CUSIP: 92858RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    1119000 | PA      | $911219.16    | 0.03%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VOLT LLC VOLT_21-NPL8                                            | VOLT_21-NPL8                       | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11053447 | PA      | $9763694.35   | 0.29%             | 2051-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| W R GRACE HOLDINGS LLC                                           | WR GRACE HOLDINGS LLC              | CUSIP: 92943GAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1174000 | PA      | $949783.79    | 0.03%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| W R GRACE HOLDINGS LLC                                           | WR GRACE HOLDINGS LLC              | CUSIP: 92943GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     816000 | PA      | $722889.94    | 0.02%             | 2027-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                | WASTE PRO USA INC                  | CUSIP: 94107JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     907000 | PA      | $803731.77    | 0.02%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY              | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     609000 | PA      | $517766.48    | 0.02%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY              | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   32216000 | PA      | $26645384.86  | 0.79%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP                | WFCM_17-SMP                        | CUSIP: 95001CAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $8225640.00   | 0.24%             | 2034-12-15      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_21-FCMT               | WFCM_21-FCMT                       | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $5816098.75   | 0.17%             | 2031-05-15      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                           | WESCO DISTRIBUTION INC             | CUSIP: 95081QAN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     770000 | PA      | $780533.61    | 0.02%             | 2025-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                           | WESCO DISTRIBUTION INC             | CUSIP: 95081QAP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     335000 | PA      | $339641.08    | 0.01%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| WHITE CAP BUYER LLC                                              | WHITE CAP BUYER LLC                | CUSIP: 96350RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     493000 | PA      | $429579.14    | 0.01%             | 2028-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                           | WILLIAMS PARTNERS LP               | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    3178000 | PA      | $2779744.32   | 0.08%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE INC                                         | WOLVERINE WORLD WIDE INC           | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |     219000 | PA      | $165828.02    | 0.00%             | 2029-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WYMN LAS WYNN LA                                                 | WYNN LAS VEGAS LLC / CAPITAL CORP  | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     311000 | PA      | $296334.84    | 0.01%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                                         | WYNN RESORTS FIN LLC/CAPITAL CORP  | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     241000 | PA      | $206679.04    | 0.01%             | 2029-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                                         | WYNN RESORTS FIN LLC/CAPITAL CORP  | CUSIP: 983133AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     285000 | PA      | $283757.47    | 0.01%             | 2025-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| YUM! BRANDS INC.                                                 | YUM! BRANDS INC                    | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     457000 | PA      | $423400.35    | 0.01%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                          | FRONT RANGE BIDCO INC              | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |     801000 | PA      | $593632.02    | 0.02%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ZIGGO BOND COMPANY BV                                            | ZIGGO BOND CO BV                   | CUSIP: 98953GAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     432000 | PA      | $350462.60    | 0.01%             | 2030-02-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ZIGGO BOND COMPANY BV                                            | ZIGGO BOND FINANCE BV              | CUSIP: 98954UAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     419000 | PA      | $390043.18    | 0.01%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ZIGGO BV                                                         | ZIGGO BV                           | CUSIP: 98955DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     896000 | PA      | $749192.29    | 0.02%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ZOOMINFO TECHNOLOGIES LLC                                        | ZI TECH LLC/ZI FIN CORP            | CUSIP: 98981BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     371000 | PA      | $312634.61    | 0.01%             | 2029-02-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GAZ CAPITAL SA                                                   | GAZ CAPITAL SA                     | CUSIP: 000000000<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | NUSS              | LU        |    2740000 | PA      | $2011767.10   | 0.06%             | 2028-02-06      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LUKOIL INTERNATIONAL FINANCE BV                                  | LUKOIL INTERNATIONAL FINANCE BV    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    2256000 | PA      | $1990318.82   | 0.06%             | 2023-04-24      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD (UAE)                                               | DP WORLD LTD                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |    3290000 | PA      | $3494867.31   | 0.10%             | 2037-07-02      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA (KINGDOM OF)                                        | SAUDI ARABIA (KINGDOM OF)          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | SA        |    5250000 | PA      | $4939215.28   | 0.15%             | 2049-04-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |    4000000 | OU      | $691875.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |   17000000 | OU      | $2940469.60   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                        | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    2729000 | PA      | $2728747.79   | 0.08%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                        | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    4658000 | PA      | $4555288.44   | 0.14%             | 2030-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                           | DIGITAL DUTCH FINCO BV             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    3014000 | PA      | $2516976.22   | 0.07%             | 2030-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CDS: (CMBX.NA.11.BBB-)             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |    3700000 | OU      | $560781.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1729688.00  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORP                                             | EPICOR SOFTWARE CORP 2ND LN 7.75   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     235000 | PA      | $231122.50    | 0.01%             | 2028-07-31      | Variable      | 12.13%                | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |  -11250000 | OU      | $-1945899.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -14250000 | OU      | $-2464805.40  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |   -9500000 | OU      | $-1643203.60  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1729688.00  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -7000000 | OU      | $-1210781.60  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |   -9000000 | OU      | $-1556719.20  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1729688.00  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                                                  | DIGICERT INC 2ND LN TL 7.0         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     790000 | PA      | $718110.00    | 0.02%             | 2029-02-19      | Variable      | 11.70%                | No            |                  2 | On Loan: No      |
| W R GRACE HOLDINGS LLC                                           | WR GRACE & CO TLB 3.75             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     851400 | PA      | $833844.13    | 0.02%             | 2028-09-22      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON EURO FINANCE SARL                               | BECTON DICKINSON EURO FINANCE SARL | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    5285000 | PA      | $3486226.03   | 0.10%             | 2041-08-13      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| SUNSET DEBT MERGER SUB INC                                       | SPRINGS WINDOW FASHIONS TLB 4.0    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1661650 | PA      | $1353413.93   | 0.04%             | 2028-10-06      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                          | UKG - ULTIMATE INC TL 1LN 3.25     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     473883 | PA      | $450189.12    | 0.01%             | 2026-05-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| UKG INC                                                          | UKG - ULTIMATE INC TL 2LN 5.25     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     923000 | PA      | $845006.50    | 0.03%             | 2027-05-03      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL INTREPID HOLDING BV                                      | DIGITAL INTREPID HOLDING BV        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    5231000 | PA      | $3975360.07   | 0.12%             | 2032-07-18      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.10.BBB-)             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -4000000 | OU      | $-691875.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   93240000 | OU      | $134004.53    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  190320000 | OU      | $673523.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  190320000 | OU      | $673523.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  131500000 | OU      | $317401.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS FIN | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     496000 | PA      | $471544.86    | 0.01%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS FIN | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     715000 | PA      | $583284.24    | 0.02%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7987000 | PA      | $6707253.45   | 0.20%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | J P MORGAN & CO INC                | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   27720000 | PA      | $22177109.63  | 0.66%             | 2032-04-22      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   24791000 | PA      | $19590421.37  | 0.58%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| KAR AUCTION SERVICES INC                                         | KAR AUCTION SERVICES INC           | CUSIP: 48238TAA7<br>LEI: 5493004HKD20LBSG7D03 | Long             | DBT              | CORP              | US        |     355000 | PA      | $347026.91    | 0.01%             | 2025-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORPORATION                                      | KAISER ALUMINUM CORPORATION        | CUSIP: 483007AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      74000 | PA      | $64874.11     | 0.00%             | 2028-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KAISER ALUMINUM CORPORATION                                      | KAISER ALUMINUM CORPORATION        | CUSIP: 483007AL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1076000 | PA      | $864476.63    | 0.03%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                | KINDER MORGAN INC                  | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    5320000 | PA      | $4534659.26   | 0.13%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                | KINDER MORGAN INC                  | CUSIP: 49456BAW1<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    4315000 | PA      | $3897044.31   | 0.12%             | 2052-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO               | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    1716000 | PA      | $1401699.62   | 0.04%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                            | L BRANDS INC                       | CUSIP: 501797AL8<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     237000 | PA      | $210684.82    | 0.01%             | 2035-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                            | L BRANDS INC                       | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |     361000 | PA      | $338591.66    | 0.01%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| LPLMS_21-2                                                       | LPLMS_21-2A                        | CUSIP: 50214JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7294527 | PA      | $7049712.66   | 0.21%             | 2029-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/CAP FIN    | CUSIP: 505742AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1295000 | PA      | $1219808.09   | 0.04%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/FIN CORP   | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     407000 | PA      | $342714.27    | 0.01%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LADDER CAPITAL FINANCE HOLDINGS LLLP                             | LADDER CAP FIN HOLDINGS/FIN CORP   | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     853000 | PA      | $688719.54    | 0.02%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                         | LAMB WESTON HOLDINGS INC           | CUSIP: 513272AD6<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     375000 | PA      | $331803.84    | 0.01%             | 2030-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HOLDINGS INC                                         | LAMB WESTON HOLDINGS INC           | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |     373000 | PA      | $325782.62    | 0.01%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-SL2                          | LMAT_21-SL2                        | CUSIP: 52476TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16814333 | PA      | $15093144.09  | 0.45%             | 2068-10-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-B                | LDPT_21-B                          | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2849811 | PA      | $2829579.84   | 0.08%             | 2029-02-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                                | LITHIA MOTORS INC                  | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |     205000 | PA      | $168229.45    | 0.00%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LLEND_21-1A                                                      | LLEND_21-1A                        | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3108778 | PA      | $3001822.91   | 0.09%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| LOAN REVOLVING ADVANCE INVESTMENT TRUST LRAIT_21-2               | LRAIT_21-2                         | CUSIP: 53958V102<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2514928 | PA      | $2514928.00   | 0.07%             | 2023-06-30      | Variable      | 7.04%                 | No            |                  3 | On Loan: No      |
| GOTO GROUP INC                                                   | LOGAN MERGER SUB INC               | CUSIP: 541056AA5<br>LEI: 549300D12V5KRBV00592 | Long             | DBT              | CORP              | US        |     894000 | PA      | $482536.63    | 0.01%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CALIF DEPARTMENT OF WATER & POWER                    | CA LOS ANGELES DEPT OF WTR & SWR   | CUSIP: 544532CP7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3105000 | PA      | $3320529.85   | 0.10%             | 2051-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOWES COMPANIES INC                                              | LOWES COMPANIES INC                | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    5199000 | PA      | $4070796.88   | 0.12%             | 2062-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LOWES COMPANIES INC                                              | LOWES COMPANIES INC                | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   13799000 | PA      | $13305714.59  | 0.39%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LUCALI CLO LTD LUCAL_20-1A                                       | LUCAL_20-1A                        | CUSIP: 54929JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9750000 | PA      | $8883732.00   | 0.26%             | 2033-01-15      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| MFA TRUST MFRA_20-NQM2                                           | MFRA_20-NQM2                       | CUSIP: 552751AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $7670474.00   | 0.23%             | 2065-04-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                  | MADISON IAQ LLC                    | CUSIP: 55760LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     654000 | PA      | $544627.47    | 0.02%             | 2028-06-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                                  | MADISON IAQ LLC                    | CUSIP: 55760LAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     407000 | PA      | $279950.00    | 0.01%             | 2029-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_20-47A                             | MDPK_20-47A                        | CUSIP: 55820FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13175000 | PA      | $12869010.63  | 0.38%             | 2034-01-19      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_16                                 | MDPK_16-24A                        | CUSIP: 55820NAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   20000000 | PA      | $19443480.00  | 0.58%             | 2029-10-20      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_18-27A                             | MDPK_18-27A                        | CUSIP: 55820YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   11300000 | PA      | $10920387.80  | 0.32%             | 2030-04-20      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                     | CUSIP: 55903VAS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   33858000 | PA      | $24802879.36  | 0.74%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST MFT_20-2A                                 | MFT_20-2A                          | CUSIP: 57108RAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4145000 | PA      | $4054183.46   | 0.12%             | 2030-09-16      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                                             | MATADOR RESOURCES CO               | CUSIP: 576485AE6<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |     582000 | PA      | $561692.81    | 0.02%             | 2026-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                       | MATTEL INC                         | CUSIP: 577081AU6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |    1049000 | PA      | $906361.78    | 0.03%             | 2040-10-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                       | MATTEL INC                         | CUSIP: 577081BD3<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     380000 | PA      | $372741.08    | 0.01%             | 2027-12-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MATTEL INC                                                       | MATTEL INC                         | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     788000 | PA      | $692608.08    | 0.02%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                      | CONDOR MERGER SUB INC              | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |     493000 | PA      | $398138.92    | 0.01%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MERITAGE HOMES CORP                                              | MERITAGE HOMES CORP                | CUSIP: 59001ABD3<br>LEI: 52990044W9UMFJO2FB97 | Long             | DBT              | CORP              | US        |     974000 | PA      | $826589.40    | 0.02%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MIDWEST GAMING BORROWER LLC                                      | MIDWEST GAMING BORROWER LLC        | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     660000 | PA      | $563950.02    | 0.02%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MINERVA MERGER SUB INC                                           | MINERVA MERGER SUB INC             | CUSIP: 60337JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     889000 | PA      | $658597.03    | 0.02%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                     | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4533000 | PA      | $3473051.87   | 0.10%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                     | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1356746.87   | 0.04%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                     | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9485000 | PA      | $8678811.61   | 0.26%             | 2037-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD                       | MSC_19-MEAD                        | CUSIP: 61771LAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13400000 | PA      | $11476963.32  | 0.34%             | 2036-11-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| MOZART DEBT MERGER SUB INC                                       | MOZART DEBT MERGER SUB INC         | CUSIP: 62482BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     151000 | PA      | $121699.75    | 0.00%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MOZART DEBT MERGER SUB INC                                       | MOZART DEBT MERGER SUB INC         | CUSIP: 62482BAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     738000 | PA      | $586547.29    | 0.02%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                    | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     111000 | PA      | $95242.99     | 0.00%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                    | CUSIP: 62886EAZ1<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      22000 | PA      | $18136.40     | 0.00%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                    | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     783000 | PA      | $654818.76    | 0.02%             | 2029-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                              | NCL CORPORATION LTD                | CUSIP: 62886HBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      91000 | PA      | $68481.69     | 0.00%             | 2029-02-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| NCL FINANCE LTD                                                  | NCL FINANCE LTD                    | CUSIP: 62888HAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     181000 | PA      | $134367.95    | 0.00%             | 2028-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                     | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     776000 | PA      | $685591.24    | 0.02%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                     | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     322000 | PA      | $259978.90    | 0.01%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                     | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    1125000 | PA      | $860770.31    | 0.03%             | 2031-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                   | NRG ENERGY INC                     | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     659000 | PA      | $496851.65    | 0.01%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV                             | CUSIP: 62954HAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    3869000 | PA      | $2607543.04   | 0.08%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV/NXP FUNDING LLC/NXP USA INC | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    2090000 | PA      | $1803580.92   | 0.05%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV/NXP FUNDING LLC/NXP USA     | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    4258000 | PA      | $4017718.63   | 0.12%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                            | NABORS INDUSTRIES INC              | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |     186000 | PA      | $182249.96    | 0.01%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                             | NEPTUNE BIDCO US INC               | CUSIP: 640695AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     269000 | PA      | $253463.39    | 0.01%             | 2029-04-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  199800000 | OU      | $1823994.18   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   75880000 | OU      | $762586.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.11.BBB-)             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |    3700000 | OU      | $560781.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        | -138500000 | OU      | $-350460.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   20000000 | OU      | $849060.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |   55000000 | OU      | $2788637.50   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  154560000 | OU      | $5406416.06   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| DP WORLD LTD (UAE)                                               | DP WORLD LTD                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |    2982000 | PA      | $2799090.59   | 0.08%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GRUPO BIMBO SAB DE CV                                            | GRUPO BIMBO SAB DE CV              | CUSIP: 000000000<br>LEI: 5493000RIXURZEBFEV60 | Long             | DBT              | CORP              | MX        |    2256000 | PA      | $2209786.18   | 0.07%             | 2024-06-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF (GOVERNMENT)                                | PARAGUAY (REPUBLIC OF)             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | PY        |     688000 | PA      | $661084.24    | 0.02%             | 2044-08-11      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| COTE D IVOIRE (REPUBLIC OF)                                      | IVORY COAST                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | CI        |     782000 | PA      | $696162.57    | 0.02%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US 5YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       1353 | NC      | $18366.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 5YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       1400 | NC      | $-921270.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | JPN 10YR BOND (OSE) MAR 23         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | JP        |       -103 | NC      | $1880977.19   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-BOBL MAR 23                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |       -422 | NC      | $1613251.46   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | EURO-BUND MAR 23                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | DE        |       -689 | NC      | $6088631.21   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 2YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       -875 | NC      | $-234216.50   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 10YR NOTE MAR 23                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       2586 | NC      | $-804489.08   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | XX        |  -19942000 | OU      | $-80406.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US ULTRA 10YR NOTE MAR 23          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        146 | NC      | $-26445.71    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US ULTRA T-BOND MAR 23             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       1548 | NC      | $-4820999.87  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | ICE: (CDX.NA.HY.39.V1)             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  230599000 | OU      | $-1296916.45  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                 | ARCHES BUYER INC                   | CUSIP: 039524AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     635000 | PA      | $509557.46    | 0.02%             | 2028-12-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FINANCE PLC/ARD                                 | ARDAGH PACKAGING FIN PLC/HLDGS USA | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     364000 | PA      | $315543.16    | 0.01%             | 2026-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE PLC                               | ARDAGH METAL PACKAGING FIN/FIN PLC | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1197000 | PA      | $949489.62    | 0.03%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING FINANCE PLC                               | ARDAGH METAL PACKAGING FIN/FIN PLC | CUSIP: 03969YAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     418000 | PA      | $409543.59    | 0.01%             | 2027-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_17-46A                                         | ARES_17-46A                        | CUSIP: 04016UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   18020000 | PA      | $17387353.84  | 0.52%             | 2030-01-15      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_20-58A                                         | ARES_20-58A                        | CUSIP: 04018AAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    6500000 | PA      | $5613718.50   | 0.17%             | 2035-01-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-2                                  | ARRW_19-2                          | CUSIP: 042858AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2273050 | PA      | $2024312.76   | 0.06%             | 2049-04-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC.                                     | ASBURY AUTOMOTIVE GROUP INC        | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     151000 | PA      | $127401.54    | 0.00%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                              | ASCEND LEARNING LLC TLB 3.5        | CUSIP: 04349HAK0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     790020 | PA      | $745581.38    | 0.02%             | 2028-12-11      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| ASCEND LEARNING LLC                                              | ASCEND LEARNING LLC TL 2LN 5.75    | CUSIP: 04349HAM6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     475000 | PA      | $405531.25    | 0.01%             | 2029-12-10      | Variable      | 10.13%                | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                              | ASSUREDPARTNERS INC                | CUSIP: 04624VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     446000 | PA      | $433598.09    | 0.01%             | 2025-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASSUREDPARTNERS INC                                              | ASSUREDPARTNERS INC                | CUSIP: 04624VAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     410000 | PA      | $340615.88    | 0.01%             | 2029-01-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                              | AVANTOR FUNDING INC                | CUSIP: 05352TAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     574000 | PA      | $521211.03    | 0.02%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                              | AVANTOR FUNDING INC                | CUSIP: 05352TAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $840284.98    | 0.02%             | 2029-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                                      | AVIENT CORPORATION                 | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |     343000 | PA      | $337378.81    | 0.01%             | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS LLC                                       | AXALTA COATING SYSTEMS LLC         | CUSIP: 05453GAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     390000 | PA      | $323642.58    | 0.01%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC / AXALTA COATING SYSTEMS  | AXALTA COATING SYSTEMS/HOLDING BV  | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     555000 | PA      | $512860.39    | 0.02%             | 2027-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH        | BBCMS_18-BXH                       | CUSIP: 05491RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10581000 | PA      | $9860085.79   | 0.29%             | 2037-10-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_19-DPLO                                          | BFLD_19-DPLO                       | CUSIP: 054970AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3050000 | PA      | $2913692.76   | 0.09%             | 2034-10-15      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_19-DPLO                                          | BFLD_19-DPLO                       | CUSIP: 054970AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4603400.55   | 0.14%             | 2034-10-15      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                        | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    1470000 | PA      | $1491602.74   | 0.04%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                        | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     379000 | PA      | $371060.20    | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                        | CUSIP: 64110LAV8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     276000 | PA      | $258112.00    | 0.01%             | 2030-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BAMLL_13-WBRK                                                    | BAMLL_13-WBRK                      | CUSIP: 05525BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5550000 | PA      | $5006374.73   | 0.15%             | 2037-03-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| BHMS MORTGAGE TRUST BHMS_18-ATLS                                 | BHMS_18-ATLS                       | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4819450.00   | 0.14%             | 2035-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                      | NETFLIX INC                        | CUSIP: 64110LAX4<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    1124000 | PA      | $1161989.96   | 0.03%             | 2029-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                 | NY NEW YORK CITY                   | CUSIP: 64966QXW5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    6045000 | PA      | $6397100.09   | 0.19%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO LTD BCC_18-1A                            | BCC_18-1A                          | CUSIP: 05683LAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22300000 | PA      | $21242578.60  | 0.63%             | 2031-04-23      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO BCC_20-3                                 | BCC_20-3A                          | CUSIP: 05684CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    5000000 | PA      | $4548720.00   | 0.13%             | 2034-10-23      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST URBAN DEV CORP                                       | NY ST URBAN DEV CORP PIT           | CUSIP: 650036CL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5250000 | PA      | $5544367.50   | 0.16%             | 2050-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                | NEWELL BRANDS INC                  | CUSIP: 651229BC9<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     137000 | PA      | $136022.22    | 0.00%             | 2027-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                | NEWELL BRANDS INC                  | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |     194000 | PA      | $191479.46    | 0.01%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD COLLATERALIZED NOTES NZES_21-GNT1              | NZES_21-GNT1                       | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12195278 | PA      | $10736506.06  | 0.32%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO BCC_20-4A                                | BCC_20-4A                          | CUSIP: 05684KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6729793.00   | 0.20%             | 2033-10-20      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP               | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   32855000 | PA      | $25260418.25  | 0.75%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP               | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10390000 | PA      | $8150488.39   | 0.24%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP               | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   18020000 | PA      | $14529796.48  | 0.43%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                             | NEXTERA ENERGY OP PARTNERS LP      | CUSIP: 65342QAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     631000 | PA      | $613224.52    | 0.02%             | 2024-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NFP CORP                                                         | NFP CORP                           | CUSIP: 65342RAD2<br>LEI: VO2L9FZNXDJNQNEYH039 | Long             | DBT              | CORP              | US        |    1494000 | PA      | $1237017.45   | 0.04%             | 2028-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NFP CORP                                                         | NFP CORP                           | CUSIP: 65342RAE0<br>LEI: VO2L9FZNXDJNQNEYH039 | Long             | DBT              | CORP              | US        |     366000 | PA      | $311612.85    | 0.01%             | 2028-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NFP CORP                                                         | NFP CORP                           | CUSIP: 65342RAF7<br>LEI: VO2L9FZNXDJNQNEYH039 | Long             | DBT              | CORP              | US        |     401000 | PA      | $376940.00    | 0.01%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                      | BACARDI LTD                        | CUSIP: 067316AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   13380000 | PA      | $11999998.17  | 0.36%             | 2048-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COS INC              | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     243000 | PA      | $155463.97    | 0.00%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC.                                                    | NISOURCE FINANCE CORPORATION       | CUSIP: 65473QBF9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   10560000 | PA      | $8883053.73   | 0.26%             | 2047-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                              | NOVA CHEMICALS CORP                | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | NUSS              | CA        |     346000 | PA      | $310825.87    | 0.01%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COMPANIES INC        | CUSIP: 071734AP2<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     415000 | PA      | $285492.74    | 0.01%             | 2027-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COS INC              | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     369000 | PA      | $289371.20    | 0.01%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COMPANIES INC                                      | BAUSCH HEALTH COS INC              | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      72000 | PA      | $42770.69     | 0.00%             | 2030-10-15      | Fixed         | 14.00%                | No            |                  2 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-3F                                  | BVRT_21-3F                         | CUSIP: 07335NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13602775 | PA      | $13602775.05  | 0.40%             | 2033-07-12      | Variable      | 3.61%                 | No            |                  3 | On Loan: No      |
| NOVA CHEMICALS CORP                                              | NOVA CHEMICALS CORP                | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | NUSS              | CA        |     647000 | PA      | $528458.36    | 0.02%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Novelis                                                          | NOVELIS CORPORATION                | CUSIP: 670001AE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     713000 | PA      | $630380.28    | 0.02%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-3F                                  | BVRT_21-3F                         | CUSIP: 07335NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   23700000 | PA      | $23700000.00  | 0.70%             | 2033-07-12      | Variable      | 4.19%                 | No            |                  3 | On Loan: No      |
| BEACON ROOFING                                                   | BEACON ROOFING SUPPLY INC          | CUSIP: 073685AF6<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     670000 | PA      | $627994.36    | 0.02%             | 2026-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_17-1                                       | BMIR_17-1                          | CUSIP: 078767AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1179985 | PA      | $1180075.96   | 0.03%             | 2027-10-25      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-2A                                     | BMIR_21-2A                         | CUSIP: 07876AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $6673115.40   | 0.20%             | 2031-06-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Novelis                                                          | NOVELIS CORP                       | CUSIP: 670001AG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     321000 | PA      | $287693.01    | 0.01%             | 2026-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Novelis                                                          | NOVELIS CORP                       | CUSIP: 670001AH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     387000 | PA      | $316673.09    | 0.01%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BELLEMEAD RE LTD BMIR_21-1A                                      | BMIR_21-1A                         | CUSIP: 07876MAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15350000 | PA      | $15146756.79  | 0.45%             | 2031-03-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2019-2 LTD                                         | BMIR_19-2A                         | CUSIP: 07877BAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    8618425 | PA      | $8557633.00   | 0.25%             | 2029-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                              | NUSTAR LOGISTICS LP                | CUSIP: 67059TAE5<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     190000 | PA      | $178608.96    | 0.01%             | 2027-04-28      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                              | NUSTAR LOGISTICS LP                | CUSIP: 67059TAF2<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     344000 | PA      | $332245.50    | 0.01%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                              | NUSTAR LOGISTICS LP                | CUSIP: 67059TAG0<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |     462000 | PA      | $446300.15    | 0.01%             | 2025-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD OZLMF_13-4A                                     | OZLMF_13-4A                        | CUSIP: 67108HAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1962500 | PA      | $1644092.23   | 0.05%             | 2030-10-22      | Variable      | 11.57%                | No            |                  2 | On Loan: No      |
| OZLM LTD OZLM_17-21A                                             | OZLM_17-21A                        | CUSIP: 67112AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   20000000 | PA      | $19002440.00  | 0.56%             | 2031-01-20      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_18-1                                         | OMIR_18-1A                         | CUSIP: 67400CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1962255 | PA      | $1957913.14   | 0.06%             | 2028-07-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_19-1                                         | OMIR_19-1A                         | CUSIP: 67400KAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11518724 | PA      | $11336156.66  | 0.34%             | 2029-07-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_21-1A                                        | OMIR_21-1A                         | CUSIP: 67401FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4100000 | PA      | $4014374.78   | 0.12%             | 2033-10-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION   | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   11432000 | PA      | $11662883.76  | 0.35%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION   | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1074000 | PA      | $1051313.02   | 0.03%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION   | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    5510000 | PA      | $5670619.53   | 0.17%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION   | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1880000 | PA      | $1942576.12   | 0.06%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION   | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    5569000 | PA      | $5635785.29   | 0.17%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| OCT22_14-1A                                                      | OCT22_14-1A                        | CUSIP: 67572YBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   45625000 | PA      | $44413200.00  | 1.32%             | 2030-01-22      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 55 OCT55_21-1                        | OCT55_21-1A                        | CUSIP: 67577AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5653368.00   | 0.17%             | 2034-07-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 35 LTD OCT35_18-1A                   | OCT35_18-1A                        | CUSIP: 67591TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   20375000 | PA      | $19699833.63  | 0.58%             | 2031-01-20      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORP                                    | OLYMPUS WATER US HOLDINGS CORP     | CUSIP: 681639AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     188000 | PA      | $142859.43    | 0.00%             | 2029-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST ONYP_20-1NYP                            | ONYP_20-1NYP                       | CUSIP: 68249DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6600000 | PA      | $6159642.06   | 0.18%             | 2036-01-15      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST ONYP_20-1NYP                            | ONYP_20-1NYP                       | CUSIP: 68249DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4150000 | PA      | $3776354.34   | 0.11%             | 2036-01-15      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| 1375209 BC LTD                                                   | 1375209 BC LTD                     | CUSIP: 68251PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     207000 | PA      | $201656.40    | 0.01%             | 2028-01-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_19-3A                                      | BMIR_19-3A                         | CUSIP: 07877GAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    3778224 | PA      | $3773370.00   | 0.11%             | 2029-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BELLEMEAD RE LTD BMIR_20-3A                                      | BMIR_20-3A                         | CUSIP: 07877KAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12732328 | PA      | $12798768.99  | 0.38%             | 2030-10-25      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| BERK HATH FIN                                                    | BERKSHIRE HATHAWAY FINANCE CORP    | CUSIP: 084664DB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11012000 | PA      | $8887676.40   | 0.26%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                          | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3264000 | PA      | $2871693.51   | 0.09%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                          | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    6580000 | PA      | $4416849.81   | 0.13%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                          | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4933000 | PA      | $4529836.17   | 0.13%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                   | BOMBARDIER INC                     | CUSIP: 097751BR1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     534000 | PA      | $534991.77    | 0.02%             | 2024-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BOYD GAMING CORP                                                 | BOYD GAMING CORPORATION            | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |     589000 | PA      | $512647.22    | 0.02%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME                       | BHR_18-PRME                        | CUSIP: 10482TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6950000 | PA      | $6655596.61   | 0.20%             | 2035-06-15      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME                       | BHR_18-PRME                        | CUSIP: 10482TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6310000 | PA      | $5845070.37   | 0.17%             | 2035-06-15      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                             | ONEMAIN FINANCE CORP               | CUSIP: 682691AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      22000 | PA      | $16444.61     | 0.00%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING LLC OPTN_21-B                                    | OPTN_21-B                          | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27500000 | PA      | $24576433.75  | 0.73%             | 2031-05-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING LLC OPTN_21-B                                    | OPTN_21-B                          | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3065000 | PA      | $2671891.07   | 0.08%             | 2031-05-08      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO                                                     | ORGANON FINANCE 1 LLC              | CUSIP: 68622TAA9<br>LEI: 549300AMCKY57OK2CO56 | Long             | DBT              | CORP              | US        |     857000 | PA      | $758803.97    | 0.02%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO                                                     | ORGANON FINANCE 1 LLC              | CUSIP: 68622TAB7<br>LEI: 549300AMCKY57OK2CO56 | Long             | DBT              | CORP              | US        |     951000 | PA      | $823779.57    | 0.02%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAPITAL LLC                                       | OUTFRONT MEDIA CAP LLC/CAP CORP    | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     318000 | PA      | $287372.64    | 0.01%             | 2027-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                       | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5592000 | PA      | $4433615.58   | 0.13%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                       | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    7592000 | PA      | $5479444.77   | 0.16%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| BROADSTREET PARTNERS INC                                         | BROADSTREET PARTNERS INC           | CUSIP: 11135RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     994000 | PA      | $854467.01    | 0.03%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST BHLD_19-3                      | BHLD_19-3                          | CUSIP: 12062BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3186616 | PA      | $3002772.93   | 0.09%             | 2059-11-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| BWAY HOLDING CO                                                  | BWAY HOLDING CO                    | CUSIP: 12429TAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     187000 | PA      | $181942.78    | 0.01%             | 2024-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP          | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     626000 | PA      | $540668.69    | 0.02%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP          | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1435000 | PA      | $1188208.44   | 0.04%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP          | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     459000 | PA      | $368519.72    | 0.01%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAPITAL LLC                                       | OUTFRONT MEDIA CAP LLC/CAP CORP    | CUSIP: 69007TAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     177000 | PA      | $146786.40    | 0.00%             | 2030-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAPITAL LLC                                       | OUTFRONT MEDIA CAP LLC/CAP CORP    | CUSIP: 69007TAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     245000 | PA      | $203221.76    | 0.01%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CCO HOLDINGS CAP  | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     558000 | PA      | $444168.79    | 0.01%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CORP                       | CCO HOLDINGS LLC/CAP CORP          | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     552000 | PA      | $447511.43    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OWENS & MINOR INC                                                | OWENS & MINOR INC                  | CUSIP: 690732AG7<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |     376000 | PA      | $323317.45    | 0.01%             | 2030-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST PMTCR_19-2R                       | PMTCR_19-2R                        | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5359922 | PA      | $5086599.21   | 0.15%             | 2023-05-27      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| CD&R SMOKEY BUYER INC                                            | CD&R SMOKEY BUYER INC              | CUSIP: 12510CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     864000 | PA      | $745179.69    | 0.02%             | 2025-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                 | CHS/COMMUNITY HEALTH SYSTEMS INC   | CUSIP: 12543DBJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     489000 | PA      | $253543.44    | 0.01%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                 | CHS/COMMUNITY HEALTH SYSTEMS INC   | CUSIP: 12543DBM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1032000 | PA      | $779453.94    | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-5                                  | CHNGE_22-5                         | CUSIP: 12546GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12700000 | PA      | $12361268.14  | 0.37%             | 2058-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT1                             | PNMSR_18-GT1                       | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   54900000 | PA      | $53655938.55  | 1.59%             | 2023-02-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT2                             | PNMSR_18-GT2                       | CUSIP: 69354WAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   73650000 | PA      | $72288704.96  | 2.14%             | 2025-08-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-2                                  | CHNGE_22-2                         | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14890833 | PA      | $14000602.52  | 0.42%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_18-R6                                              | CIM_18-R6                          | CUSIP: 12554EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     865903 | PA      | $845641.49    | 0.03%             | 2058-09-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_20-1                                               | PRPM_21-1                          | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24137408 | PA      | $21925960.08  | 0.65%             | 2026-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                        | PRPM_21-3                          | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11860128 | PA      | $10713411.76  | 0.32%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR                         | CLNY_19-IKPR                       | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400000 | PA      | $4191280.28   | 0.12%             | 2038-11-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR                         | CLNY_19-IKPR                       | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14900000 | PA      | $13690988.67  | 0.41%             | 2038-11-15      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_21-RPL1                                            | PRPM_21-RPL1                       | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6747759 | PA      | $5939794.38   | 0.18%             | 2051-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_21-7                  | PRPM_21-7                          | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9560572 | PA      | $8589245.84   | 0.25%             | 2026-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-5                               | COLT_21-5                          | CUSIP: 12598RAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8381000 | PA      | $5304687.74   | 0.16%             | 2066-11-26      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                   | CUSIP: 126307AS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     789000 | PA      | $636000.21    | 0.02%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_21-8                  | PRPM_21-8                          | CUSIP: 69360MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10595645 | PA      | $9424412.76   | 0.28%             | 2026-09-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_22-NPL1                                            | PRET_22-NPL1                       | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8155296 | PA      | $7282655.46   | 0.22%             | 2052-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                   | CUSIP: 126307BA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     722000 | PA      | $408236.06    | 0.01%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                   | CUSIP: 126307BB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1466000 | PA      | $1034748.54   | 0.03%             | 2030-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                 | PACIFIC GAS & ELECTRIC COMPANY     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8490000 | PA      | $6651539.49   | 0.20%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-1                         | PAID_22-1                          | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12803215 | PA      | $12307392.17  | 0.36%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                   | CUSIP: 126307BD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     284000 | PA      | $156282.19    | 0.00%             | 2030-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                   | CUSIP: 126307BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     258000 | PA      | $144189.30    | 0.00%             | 2031-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-1                         | PAID_22-1                          | CUSIP: 69546MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10198651 | PA      | $9189312.13   | 0.27%             | 2029-10-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-3                         | PAID_21-3                          | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13039859 | PA      | $12723240.85  | 0.38%             | 2029-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                        | CUSIP: 12649AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15735000 | PA      | $14136298.82  | 0.42%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                        | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19065000 | PA      | $10567773.35  | 0.31%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-3                         | PAID_21-3                          | CUSIP: 69546RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9049507 | PA      | $8254812.26   | 0.24%             | 2029-05-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | PAID_20-3                          | CUSIP: 69546TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3726597 | PA      | $3713345.28   | 0.11%             | 2027-05-17      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                        | CUSIP: 12649AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16000000 | PA      | $8046078.40   | 0.24%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                               | CNX RESOURCES CORP                 | CUSIP: 12653CAC2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      50000 | PA      | $49846.89     | 0.00%             | 2027-03-14      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | PAID_21-5                          | CUSIP: 69547EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9318263 | PA      | $8986971.80   | 0.27%             | 2029-08-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | PAID_21-5                          | CUSIP: 69547EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10998704 | PA      | $9923292.41   | 0.29%             | 2029-08-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                         | PAID_21-1                          | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2906075 | PA      | $2863585.22   | 0.08%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                         | PAID_22-3                          | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $8916992.10   | 0.26%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                               | CNX RESOURCES CORP                 | CUSIP: 12653CAJ7<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |     337000 | PA      | $311046.42    | 0.01%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                               | CNX RESOURCES CORP                 | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      50000 | PA      | $47974.90     | 0.00%             | 2031-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                | PANTHER BF AGGREGATOR 2 LP         | CUSIP: 69867DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     665000 | PA      | $650582.68    | 0.02%             | 2027-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FUNDING TRUST                                  | PEACHTREE CORNERS FUNDING TRUST    | CUSIP: 70466WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4984000 | PA      | $4817098.65   | 0.14%             | 2025-02-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| CNX MIDSTREAM PARTNERS LP                                        | CNX MIDSTREAM PARTNERS LP          | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     602000 | PA      | $496933.99    | 0.01%             | 2030-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | CAESARS ENTERTAINMENT INC          | CUSIP: 12769GAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1045000 | PA      | $849792.97    | 0.03%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC/CRC FINCO INC                      | CAESARS RESORT                     | CUSIP: 12770RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     924000 | PA      | $905522.55    | 0.03%             | 2025-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CALLON PETRO CO                                                  | CALLON PETROLEUM COMPANY           | CUSIP: 13123XAZ5<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |    1124000 | PA      | $1057244.34   | 0.03%             | 2026-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CALLON PETRO CO                                                  | CALLON PETROLEUM COMPANY           | CUSIP: 13123XBD3<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |     213000 | PA      | $202164.50    | 0.01%             | 2028-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CANPACK SA                                                       | CANPACK SA/EASTERN PA LAND INVEST  | CUSIP: 13805AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | PL        |     261000 | PA      | $228362.65    | 0.01%             | 2025-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CANPACK SA/CANPACK US LLC                                        | CANPACK SA/CANPACK US LLC          | CUSIP: 13806CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | PL        |     837000 | PA      | $662722.21    | 0.02%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CGMS_18-C17A                    | CGMS_18-C17A                       | CUSIP: 14307PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   21000000 | PA      | $20195532.00  | 0.60%             | 2031-04-30      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CGMS_17-5A                      | CGMS_17-5A                         | CUSIP: 14316AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   12000000 | PA      | $11460708.00  | 0.34%             | 2030-01-20      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORP                      | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     704000 | PA      | $562270.58    | 0.02%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORPORATION               | CUSIP: 143658BN1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1080000 | PA      | $770569.59    | 0.02%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                    | CARNIVAL CORP                      | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     510000 | PA      | $415492.38    | 0.01%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL HOLDINGS (BERMUDA) LTD                                  | CARNIVAL HOLDINGS BERMUDA LTD      | CUSIP: 14366RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     297000 | PA      | $304866.30    | 0.01%             | 2028-05-01      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                              | CARRIER GLOBAL CORP                | CUSIP: 14448CAQ7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    9344000 | PA      | $7874525.56   | 0.23%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| GCAT LLC GCAT_21-CM2                                             | GCAT_21-CM2                        | CUSIP: 36167AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5923851 | PA      | $5336861.85   | 0.16%             | 2066-08-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_21-NQM6                                          | GCAT_21-NQM6                       | CUSIP: 36167KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $3547368.50   | 0.11%             | 2066-08-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_21-NQM6                                          | GCAT_21-NQM6                       | CUSIP: 36167KAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8003000 | PA      | $5162093.46   | 0.15%             | 2066-08-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| GCAT_19-NQM3                                                     | GCAT_19-NQM3                       | CUSIP: 36167VAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4111820 | PA      | $3740331.08   | 0.11%             | 2059-11-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| GCAT LLC GCAT_21-CM1                                             | GCAT_21-CM1                        | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10127076 | PA      | $9496273.59   | 0.28%             | 2065-04-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GCAT_20-3                                                        | GCAT_20-3                          | CUSIP: 36168CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8589096 | PA      | $8293016.53   | 0.25%             | 2025-09-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                            | GFL ENVIRONMENTAL INC              | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     481000 | PA      | $462303.44    | 0.01%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                            | GFL ENVIRONMENTAL INC              | CUSIP: 36168QAK0<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     735000 | PA      | $694120.86    | 0.02%             | 2025-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                            | GFL ENVIRONMENTAL INC              | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     612000 | PA      | $532429.91    | 0.02%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                            | GFL ENVIRONMENTAL INC              | CUSIP: 36168QAN4<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     402000 | PA      | $351220.42    | 0.01%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                         | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8370190 | PA      | $8237606.87   | 0.24%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                   | GE HEALTHCARE HOLDING LLC          | CUSIP: 36267VAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11235000 | PA      | $11399802.73  | 0.34%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                 | GALAXY PIPELINE ASSETS BID CO LTD  | CUSIP: 36321PAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    2775000 | PA      | $2145254.57   | 0.06%             | 2040-09-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                      | GARTNER INC                        | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     252000 | PA      | $235155.55    | 0.01%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                      | GARTNER INC                        | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     402000 | PA      | $348559.84    | 0.01%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GATES GLOBAL LLC                                                 | GATES GLOBAL LLC/GATES GLOBAL CO   | CUSIP: 36740LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1054000 | PA      | $1016453.18   | 0.03%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                              | GENERAL ELECTRIC CO                | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4951.27      | 0.00%             | 2049-12-31      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                            | GEORGIA POWER COMPANY              | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    2282000 | PA      | $1956087.61   | 0.06%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN OPPORTUNITIES XI                                 | GLD11_15-11A                       | CUSIP: 38137HBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   10000000 | PA      | $9692570.00   | 0.29%             | 2031-01-18      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC            | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   13579000 | PA      | $10526369.24  | 0.31%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC            | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   18433000 | PA      | $14549548.65  | 0.43%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO                                        | GOODYEAR TIRE & RUBBER COMPANY (TH | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |     357000 | PA      | $297791.27    | 0.01%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-37              | GNMA_17-37                         | CUSIP: 38376MKF3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8076246 | PA      | $782928.23    | 0.02%             | 2047-03-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_14-184                        | CUSIP: 38379HFE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3363874 | PA      | $425366.29    | 0.01%             | 2041-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-130             | GNMA_17-130                        | CUSIP: 38380GHB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10874749 | PA      | $1074474.14   | 0.03%             | 2047-08-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-149             | GNMA_17-149                        | CUSIP: 38380HSR4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13699490 | PA      | $1523946.28   | 0.05%             | 2047-10-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-163             | GNMA_17-163                        | CUSIP: 38380KMR3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5570276 | PA      | $531322.40    | 0.02%             | 2047-11-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97              | GNMA_18-97                         | CUSIP: 38380XK55<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10085541 | PA      | $789835.06    | 0.02%             | 2048-07-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-89              | GNMA_18-89                         | CUSIP: 38380XKJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10196803 | PA      | $898206.83    | 0.03%             | 2048-06-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18                 | GNMA_18-91                         | CUSIP: 38380XTX5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10223494 | PA      | $1014639.89   | 0.03%             | 2048-07-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-125             | GNMA_18-125                        | CUSIP: 38380Y4S1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12742736 | PA      | $1065560.36   | 0.03%             | 2048-09-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-112             | GNMA_18-112                        | CUSIP: 38380YAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9698642 | PA      | $1006196.33   | 0.03%             | 2048-08-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-103             | GNMA_18-103                        | CUSIP: 38380YHL2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7840320 | PA      | $824541.34    | 0.02%             | 2048-08-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-151             | GNMA_18-151                        | CUSIP: 38381AC53<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16476270 | PA      | $1658175.07   | 0.05%             | 2048-11-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-148             | GNMA_18-148                        | CUSIP: 38381AHR0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19370195 | PA      | $2137003.25   | 0.06%             | 2048-01-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139             | GNMA_18-139                        | CUSIP: 38381ALT1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6944596 | PA      | $676137.69    | 0.02%             | 2048-10-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-134             | GNMA_18-134                        | CUSIP: 38381ASA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9849795 | PA      | $1009211.97   | 0.03%             | 2048-10-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA_19-5                                                        | GNMA_19-5                          | CUSIP: 38381BC44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11550163 | PA      | $1184819.20   | 0.04%             | 2049-01-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA_19-20                                                       | GNMA_19-20                         | CUSIP: 38381RAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16133774 | PA      | $1614661.60   | 0.05%             | 2049-02-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-59              | GNMA_19-59                         | CUSIP: 38381VH60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12080374 | PA      | $1216499.69   | 0.04%             | 2049-05-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-56              | GNMA_19-56                         | CUSIP: 38381VWH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12381453 | PA      | $1261054.72   | 0.04%             | 2049-05-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-90              | GNMA_19-90                         | CUSIP: 38381XJJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16121088 | PA      | $1726876.41   | 0.05%             | 2049-07-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-85              | GNMA_19-85                         | CUSIP: 38381XRV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10983360 | PA      | $1064219.48   | 0.03%             | 2049-07-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-147             | GNMA_19-147                        | CUSIP: 38382AS55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  125222542 | PA      | $4945301.14   | 0.15%             | 2061-06-16      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSSOCIATION GNMA_20-21             | GNMA_20-21                         | CUSIP: 38382DMU0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8056886 | PA      | $871165.30    | 0.03%             | 2050-02-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-62              | GNMA_20-62                         | CUSIP: 38382FKW3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12182064 | PA      | $1222540.75   | 0.04%             | 2050-05-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                    | AEP TEXAS INC                      | CUSIP: 00108WAK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5325000 | PA      | $3770663.12   | 0.11%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                           | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   10058000 | PA      | $9572024.80   | 0.28%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                           | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    9111000 | PA      | $6314724.77   | 0.19%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| APX GROUP INC                                                    | APX GROUP INC                      | CUSIP: 00213MAW4<br>LEI: 549300OMQVKPRU98OE64 | Long             | DBT              | CORP              | US        |     171000 | PA      | $141775.53    | 0.00%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                  | AMERICAN AIRLINES/AADVANTAGE       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1446165 | PA      | $1390722.92   | 0.04%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-188             | GNMA_20-188                        | CUSIP: 38382L2K6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19547606 | PA      | $2569315.81   | 0.08%             | 2050-12-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | GNMA_20-175                        | CUSIP: 38382LNR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   59271414 | PA      | $8310006.39   | 0.25%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                  | AMERICAN AIRLINES/AADVANTAGE       | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     207779 | PA      | $190088.73    | 0.01%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                         | CUSIP: 00287YDA4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    7435000 | PA      | $6809488.91   | 0.20%             | 2044-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GNMA_20-191                        | CUSIP: 38382MRT8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   35498015 | PA      | $5903117.59   | 0.18%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-16              | GNMA_21-16                         | CUSIP: 38382NBY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   40694585 | PA      | $5844015.10   | 0.17%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                         | ACADIA HEALTHCARE COMPANY INC      | CUSIP: 00404AAN9<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     233000 | PA      | $221194.70    | 0.01%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                                         | ACADIA HEALTHCARE CO INC           | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |     243000 | PA      | $224121.46    | 0.01%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | GNMA_21-119                        | CUSIP: 38382UY62<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   33338727 | PA      | $4931417.80   | 0.15%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-179             | GNMA_21-179                        | CUSIP: 38383CYF1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   40888709 | PA      | $5955608.14   | 0.18%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                                  | ADAPTHEALTH LLC                    | CUSIP: 00653VAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     121000 | PA      | $101422.27    | 0.00%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                                  | ADAPTHEALTH LLC                    | CUSIP: 00653VAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     920000 | PA      | $783028.99    | 0.02%             | 2030-03-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                                        | AETNA INC                          | CUSIP: 00817YAM0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    1339000 | PA      | $1099285.70   | 0.03%             | 2042-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AG TTMT ESCROW ISSUER LLC                                        | AG TTMT ESCROW ISSUER LLC          | CUSIP: 00840KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     357000 | PA      | $360337.29    | 0.01%             | 2027-09-30      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                       | AIR CANADA                         | CUSIP: 008911BK4<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |     358000 | PA      | $318045.17    | 0.01%             | 2026-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                          | ALLEGHENY TECHNOLOGIES INC         | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     129000 | PA      | $113951.68    | 0.00%             | 2029-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                          | ALLEGHENY TECHNOLOGIES INC         | CUSIP: 01741RAM4<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     625000 | PA      | $548382.17    | 0.02%             | 2031-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     983000 | PA      | $885723.08    | 0.03%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-18              | GNMA_22-18                         | CUSIP: 38383GD24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   32071858 | PA      | $4289726.46   | 0.13%             | 2052-01-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-63              | GNMA_22-63                         | CUSIP: 38383RFM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28844970 | PA      | $3184115.44   | 0.09%             | 2052-04-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS | CUSIP: 01883LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     346000 | PA      | $311662.50    | 0.01%             | 2027-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS | CUSIP: 01883LAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     641000 | PA      | $527791.23    | 0.02%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER SAU                                        | GRIFOLS ESCROW ISSUER SAU          | CUSIP: 39843UAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |     394000 | PA      | $340890.18    | 0.01%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GTCR (AP) FINANCE INC                                            | GTCR AP FINANCE INC                | CUSIP: 40060QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     167000 | PA      | $160101.79    | 0.00%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  15YR TBA(REG B)              | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   66000000 | PA      | $61811876.94  | 1.83%             | 2038-01-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  15YR TBA(REG B)              | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8000000 | PA      | $7652688.80   | 0.23%             | 2038-01-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  163260000 | PA      | $157097961.91 | 4.66%             | 2053-01-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)              | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  142500000 | PA      | $140394050.93 | 4.16%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES INC                                       | H&E EQUIPMENT SERVICES INC         | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |     651000 | PA      | $554222.24    | 0.02%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HB FULLER CO                                                     | H.B. FULLER CO                     | CUSIP: 40410KAA3<br>LEI: JSMX3Z5FOYM8V0Q52357 | Long             | DBT              | CORP              | US        |     600000 | PA      | $528199.31    | 0.02%             | 2028-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRUST AFLOW_21-WL1               | AFLOW_21-WL1                       | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4335401 | PA      | $4120345.20   | 0.12%             | 2026-01-25      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA (FRANCE)                                        | ALTICE FRANCE SA                   | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     160000 | PA      | $146061.35    | 0.00%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA (FRANCE)                                        | ALTICE FRANCE SA                   | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     771000 | PA      | $605337.97    | 0.02%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA (FRANCE)                                        | ALTICE FRANCE SA                   | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     484000 | PA      | $362001.06    | 0.01%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA (FRANCE)                                        | ALTICE FRANCE SA                   | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     261000 | PA      | $199831.47    | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                         | ALTICE FRANCE HOLDING SA           | CUSIP: 02156TAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     715000 | PA      | $422161.90    | 0.01%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                            | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   17648000 | PA      | $13820901.49  | 0.41%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                  | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    9154000 | PA      | $7066190.37   | 0.21%             | 2032-05-24      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES                                                | AMERICAN AIRLINES INC              | CUSIP: 023771S58<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $645502.49    | 0.02%             | 2025-07-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| AMERICAN BUILDERS & CONTRACTORS SUPPLY C                         | ABC SUPPLY CO INC                  | CUSIP: 024747AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     408000 | PA      | $363730.98    | 0.01%             | 2028-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                  | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   21713000 | PA      | $16627268.23  | 0.49%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECTUAL PROPERTY LTD                         | HAWAIIAN BRAND/HAWAIIAN MILES      | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     802736 | PA      | $726311.05    | 0.02%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_21-3           | ACAR_21-3                          | CUSIP: 025286AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3684029 | PA      | $3672422.30   | 0.11%             | 2026-02-13      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LLC AH4R_14-SFR3                           | AH4R_14-SFR3                       | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2136711 | PA      | $2048129.21   | 0.06%             | 2036-12-17      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                 | HEALTHEQUITY INC                   | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |     774000 | PA      | $687643.75    | 0.02%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HELIOS SOFTWARE HOLDINGS INC                                     | HELIOS SOFTWARE HOLDINGS INC       | CUSIP: 42329HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     754000 | PA      | $573894.28    | 0.02%             | 2028-05-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION         | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   10707000 | PA      | $9736645.90   | 0.29%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION         | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2362431.71   | 0.07%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                | HERC HOLDINGS INC                  | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     162000 | PA      | $151032.16    | 0.00%             | 2027-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HERENS HOLDCO SARL                                               | LONZA SPECIALTY INGREDIENTS        | CUSIP: 427169AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     544000 | PA      | $435063.98    | 0.01%             | 2028-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | AMGEN INC                          | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3887000 | PA      | $3118223.15   | 0.09%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | AMGEN INC                          | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    6388000 | PA      | $5688437.92   | 0.17%             | 2053-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_18-3                               | AOMT_18-3                          | CUSIP: 03464NAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10544000 | PA      | $10179973.67  | 0.30%             | 2048-09-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_20-R1                              | AOMT_20-R1                         | CUSIP: 034651AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3918000 | PA      | $3219015.09   | 0.10%             | 2053-04-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                            | HIGHTOWER HOLDINGS LLC             | CUSIP: 43118DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     364000 | PA      | $304700.14    | 0.01%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP                                              | HILCORP ENERGY I LP/HILCORP FIN    | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     571000 | PA      | $510227.51    | 0.02%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COMPANIES LLC / ANHEUSER-BUSCH INBEV WORLDWIDE IN | ANHEUSER-BUSCH COS LLC / INBEV     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3739000 | PA      | $3421555.83   | 0.10%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                      | APACHE CORPORATION                 | CUSIP: 037411AY1<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     398000 | PA      | $326360.00    | 0.01%             | 2042-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                                      | APACHE CORPORATION                 | CUSIP: 037411BA2<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     434000 | PA      | $327338.98    | 0.01%             | 2043-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EGYPT (ARAB REPUBLIC OF)                                         | EGYPT (ARAB REPUBLIC OF)           | CUSIP: 038461AM1<br>LEI: N/A                  | Long             | DBT              | NUSS              | EG        |    2105000 | PA      | $1399723.88   | 0.04%             | 2047-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| EGYPT (ARAB REPUBLIC OF)                                         | EGYPT (ARAB REPUBLIC OF)           | CUSIP: 03846JAB6<br>LEI: N/A                  | Long             | DBT              | NUSS              | EG        |     909000 | PA      | $631914.57    | 0.02%             | 2031-02-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP                                              | HILCORP ENERGY I LP/HILCORP FIN    | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     334000 | PA      | $298899.63    | 0.01%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I LP                                              | HILCORP ENERGY I LP/HILCORP FIN    | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     231000 | PA      | $198454.71    | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                            | HILTON DOMESTIC OPERATING CO       | CUSIP: 432833AN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     535000 | PA      | $428219.00    | 0.01%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                      | HILT_16-SFP                        | CUSIP: 43289VAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10901000 | PA      | $10173417.12  | 0.30%             | 2035-11-05      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST HILT_16-HHV                                     | HILT_16-HHV                        | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3784520.25   | 0.11%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD COLLATERALIZED NOTES NZES_20-PLS1              | NZES_20-PLS1                       | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5931072 | PA      | $5405200.33   | 0.16%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY                                                     | HOLLY ENERGY PARTNERS LP / FIN     | CUSIP: 435765AH5<br>LEI: 529900NVV7ODCT0QCG29 | Long             | DBT              | CORP              | US        |     695000 | PA      | $636896.90    | 0.02%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOLLY ENERGY                                                     | HOLLY ENERGY PARTNERS LP / FIN     | CUSIP: 435765AJ1<br>LEI: 529900NVV7ODCT0QCG29 | Long             | DBT              | CORP              | US        |     225000 | PA      | $222044.57    | 0.01%             | 2027-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HOME RE 2022-1 LTD HMIR_22-1                                     | HMIR_22-1                          | CUSIP: 43730GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9750000 | PA      | $9711559.65   | 0.29%             | 2034-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| HOME RE LTD HMIR_21-2                                            | HMIR_21-2                          | CUSIP: 43730VAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15662000 | PA      | $15278218.35  | 0.45%             | 2034-01-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-BPL1                  | HOF_20-BPL1                        | CUSIP: 43789YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7106842 | PA      | $7089285.94   | 0.21%             | 2025-08-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                         | HOSPITALITY PROPERTIES TRUST       | CUSIP: 44106MAS1<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     262000 | PA      | $251496.07    | 0.01%             | 2024-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD                                            | HUB INTERNATIONAL LIMITED          | CUSIP: 44332PAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     662000 | PA      | $580548.82    | 0.02%             | 2029-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Hudbay                                                           | HUDBAY MINERALS INC                | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |     776000 | PA      | $707243.10    | 0.02%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| IAA INC                                                          | IAA SPINCO INC                     | CUSIP: 449253AB9<br>LEI: 549300PZCOPC5178W747 | Long             | DBT              | CORP              | US        |     727000 | PA      | $706522.08    | 0.02%             | 2027-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                | ILIAD HOLDING SAS                  | CUSIP: 449691AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     859000 | PA      | $797818.81    | 0.02%             | 2026-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ILIAD HOLDING SAS                                                | ILIAD HOLDING SAS                  | CUSIP: 449691AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     840000 | PA      | $761860.34    | 0.02%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IRB HOLDING CORP                                                 | IRB HOLDING CORP                   | CUSIP: 44988MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     554000 | PA      | $552494.79    | 0.02%             | 2025-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC           | CUSIP: 45174HBC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     566350 | PA      | $520954.75    | 0.02%             | 2026-05-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC           | CUSIP: 45174HBD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     441774 | PA      | $376260.47    | 0.01%             | 2027-05-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC           | CUSIP: 45174HBE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     439000 | PA      | $371602.51    | 0.01%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                         | IHEARTCOMMUNICATIONS INC           | CUSIP: 45174HBG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     313000 | PA      | $254571.77    | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LUMMUS TECHNOLOGY HOLDINGS V LLC                                 | ILLUMINATE BUYER LLC/HOLDINGS IV   | CUSIP: 45232TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     845000 | PA      | $711154.03    | 0.02%             | 2028-07-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM4                       | IMPRL_21-NQM4                      | CUSIP: 45276JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4591006 | PA      | $3680043.73   | 0.11%             | 2057-01-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| INNOPHOS HOLDINGS INC                                            | IRIS MERGER SUB 2019               | CUSIP: 45774NAB4<br>LEI: XQ0331QX53IRX25OY417 | Long             | DBT              | CORP              | US        |     535000 | PA      | $524535.08    | 0.02%             | 2028-02-15      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL GAME TECHNOLOGY PL                                 | INTERNATIONAL GAME TECHNOLOGY PLC  | CUSIP: 460599AF0<br>LEI: 549300UQ6KHRCZDRGZ76 | Long             | DBT              | CORP              | GB        |     244000 | PA      | $228318.87    | 0.01%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ION TRADING TECHNOLOGIES SARL                                    | ION TRADING TECHNOLOGIES SARL      | CUSIP: 46205YAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     434000 | PA      | $362270.00    | 0.01%             | 2028-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IRIS HOLDINGS INC                                                | IRIS HOLDINGS INC PIK              | CUSIP: 46272EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     323000 | PA      | $281241.98    | 0.01%             | 2026-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER              | CUSIP: 3132DNPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   28304938 | PA      | $26734168.22  | 0.79%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                    | CUSIP: 3132QTET9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2951751 | PA      | $2806799.29   | 0.08%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                    | CUSIP: 3132QTKF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2804201 | PA      | $2662832.52   | 0.08%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT              | CUSIP: 31335AEK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13681084 | PA      | $12758535.77  | 0.38%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                    | CUSIP: 3133B4ZR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   24814481 | PA      | $21841165.61  | 0.65%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-131                                           | FNMA_12-131                        | CUSIP: 3136AACA1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     811278 | PA      | $35430.03     | 0.00%             | 2040-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                           | FNMA_13-101                        | CUSIP: 3136AGA93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1849413 | PA      | $182150.55    | 0.01%             | 2043-10-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                            | FNMA_14-93                         | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2495253 | PA      | $282037.47    | 0.01%             | 2045-01-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-53                                            | FNMA_16-53                         | CUSIP: 3136AS5H5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8837092 | PA      | $942079.96    | 0.03%             | 2046-08-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-31                                            | FNMA_16-31                         | CUSIP: 3136ASJN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1375598 | PA      | $131793.46    | 0.00%             | 2046-06-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-57                                            | FNMA_16-57                         | CUSIP: 3136ATEJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21417961 | PA      | $2287530.33   | 0.07%             | 2046-08-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-20                                            | FNMA_17-20                         | CUSIP: 3136AV5R6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8992762 | PA      | $1032566.04   | 0.03%             | 2047-04-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-54                                            | FNMA_17-54                         | CUSIP: 3136AXCZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15793289 | PA      | $2126687.91   | 0.06%             | 2047-07-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-54                                            | FNMA_17-54                         | CUSIP: 3136AXDG7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7938629 | PA      | $1034167.59   | 0.03%             | 2047-07-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                            | FNMA_17-72                         | CUSIP: 3136AXV44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12026326 | PA      | $10852785.51  | 0.32%             | 2047-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE ACES FNMA_17-M15                                      | FNMA_17-M15                        | CUSIP: 3136AY6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   44980986 | PA      | $42630220.96  | 1.26%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-109                                           | FNMA_17-109                        | CUSIP: 3136B0RF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10240642 | PA      | $1252519.63   | 0.04%             | 2048-01-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-66                                            | FNMA_18-66                         | CUSIP: 3136B26E7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10618486 | PA      | $1189877.79   | 0.04%             | 2048-09-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-67                                            | FNR_18-67 MS                       | CUSIP: 3136B2S37<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8157713 | PA      | $949426.50    | 0.03%             | 2048-09-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-74                                            | FNMA_18-74                         | CUSIP: 3136B3HT0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15182306 | PA      | $1678570.93   | 0.05%             | 2048-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                            | FNMA_19-33                         | CUSIP: 3136B45D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   32937359 | PA      | $3506675.91   | 0.10%             | 2049-07-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-67                                            | FNMA_19-67                         | CUSIP: 3136B64Z3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18393564 | PA      | $2558416.01   | 0.08%             | 2049-11-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-60                                            | FNMA_19-60                         | CUSIP: 3136B6VW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24424503 | PA      | $2712641.43   | 0.08%             | 2049-10-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-76                 | FNMA_20-76                         | CUSIP: 3136BCLY4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   27367415 | PA      | $4261188.64   | 0.13%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_21-3                                             | FNMA_21-3                          | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   57690485 | PA      | $9418519.77   | 0.28%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3922                                           | FHLMC_3922                         | CUSIP: 3137AFJS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     336560 | PA      | $25976.67     | 0.00%             | 2041-09-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-20

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer