# EDGAR Filing Document

**Accession Number:** 0000882381
**File Stem:** 0001752724-25-157603
**Filing Date:** 2025-6
**Character Count:** 223658
**Document Hash:** 0e2238cb3abd474f4deb27e8cce9e932
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-157603.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-157603

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY INCOME OPPORTUNITIES FUND
- **CENTRAL INDEX KEY:** 0000882381

**ORGANIZATION NAME:**
- **EIN:** 133647664
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06515
- **FILM NUMBER:** 251076556

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 800-548-7786

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY GLOBAL FIXED INCOME OPPORTUNITIES FUND
- **DATE OF NAME CHANGE:** 20120307

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY FIXED INCOME OPPORTUNITIES FUND
- **DATE OF NAME CHANGE:** 20111220

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY FLEXIBLE INCOME TRUST
- **DATE OF NAME CHANGE:** 20030711

## Series and Classes Contracts Data

### Income Opportunities Fund (Series ID: S000002382)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006295 | A            | DINAX           |
| C000006297 | L            | DINCX           |
| C000006298 | I            | DINDX           |
| C000126926 | CLASS R6     | MGFOX           |
| C000155980 | Class C      | MSIPX           |
| C000198830 | Class IR     | MFIRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY GLOBAL FIXED INCOME OPPORTUNITIES FUND

- **b. Investment Company Act file number:** 811-06515

- **c. CIK number of Registrant:** 0000882381

- **d. LEI of Registrant:** KN4O2R884TUHPY814X62

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

  - **Street Address 1:** 1585 Broadway

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-869-6397

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

- **a. Name of Series:** Global Fixed Income Opportunities Fund

- **b. EDGAR series identifier (if any):** S000002382

- **c. LEI of Series:** KN4O2R884TUHPY814X62

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $930562866.23

**Total Liabilities:** $97682148.53

**Net Assets:** $832880717.70

**Delayed Delivery Securities:** $2422929.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -545.21000000 | **1-Year:** -16004.50000000 | **5-Year:** -58485.94000000 | **10-Year:** -41059.59000000 | **30-Year:** -16504.49000000

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

- **3-Month:** -1151.59000000 | **1-Year:** -19363.06000000 | **5-Year:** -38715.98000000 | **10-Year:** -17211.13000000 | **30-Year:** -9995.49000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000126926 | 1.40%                | -0.34%               | 0.58%                |
| Class ID C000198830 | 1.21%                | -0.34%               | 0.58%                |
| Class ID C000006295 | 1.20%                | -0.19%               | 0.56%                |
| Class ID C000006298 | 1.20%                | -0.16%               | 0.57%                |
| Class ID C000155980 | 1.14%                | -0.44%               | 0.50%                |
| Class ID C000006297 | 1.17%                | -0.41%               | 0.72%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-850670.68              | $6145158.43                                |
| Month 2  | $-6026.26                | $1327394.90                                |
| Month 3  | $-12086620.04            | $11239409.96                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BNP Paribas SA                                            | PURCHASED MXN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |          1 | NC      | $532102.68    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOAN TRUST                     | Harvest Commercial Capital Loan Trust 2019-1                                                                              | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1441654.20   | 0.17%             | 2046-09-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| AFRICAN EXPORT-IMPORT BA                                  | African Export-Import Bank/The                                                                                            | CUSIP: 00831TAC5<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | XX        |    1800000 | PA      | $1593063.00   | 0.19%             | 2031-05-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                    | Volkswagen International Finance NV                                                                                       | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $668841.74    | 0.08%             | 2027-06-14      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                                    | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $2068.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                | Progress Residential 2021-SFR9 Trust                                                                                      | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2409461.50   | 0.29%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                            | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-6822850.67  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| Mansard Mortgages Plc                                     | Mansard Mortgages 2007-2 PLC                                                                                              | CUSIP: 000000000<br>LEI: 213800HN3U8VNBEANB34 | Long             | ABS-MBS          | CORP              | GB        |     513152 | PA      | $682705.14    | 0.08%             | 2049-12-15      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                                                                                          | CUSIP: 3132DVCK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     840832 | PA      | $853898.98    | 0.10%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Transurban Finance Co. Pty. Ltd.                          | Transurban Finance Co. Pty. Ltd.                                                                                          | CUSIP: 000000000<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    1405000 | PA      | $1670754.25   | 0.20%             | 2033-04-26      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| IBERDROLA INTL BV                                         | Iberdrola International BV                                                                                                | CUSIP: 000000000<br>LEI: 549300ZMLFJKWC63XN87 | Long             | DBT              | CORP              | NL        |    1200000 | PA      | $1319525.02   | 0.16%             | 2026-11-09      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | Petroleos Mexicanos                                                                                                       | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1400000 | PA      | $1247903.86   | 0.15%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| EDP SA                                                    | EDP SA                                                                                                                    | CUSIP: 000000000<br>LEI: 529900CLC3WDMGI9VH80 | Long             | DBT              | CORP              | PT        |    1800000 | PA      | $2032248.86   | 0.24%             | 2080-07-20      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                            | RMF Proprietary Issuance Trust 2022-1                                                                                     | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2684022 | PA      | $2461025.58   | 0.30%             | 2062-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                               | Long: SMIE9PC95 IRS MXN R F  8.58500 II7588750241211 CCPOIS / Short: SMIE9PC95 IRS MXN P V 00MTIEF II5884110241211 CCPOIS | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  165765000 | OU      | $216513.49    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-14160.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENGIE SA                                                  | Engie SA                                                                                                                  | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    3200000 | PA      | $3702383.86   | 0.44%             | 2030-03-14      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| ChaseFlex Trust                                           | ChaseFlex Trust Series 2005-1                                                                                             | CUSIP: 16165TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52196 | PA      | $35437.15     | 0.00%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CALDERYS FINANCING LLC                                    | Calderys Financing LLC                                                                                                    | CUSIP: 128786AA8<br>LEI: 254900ZIKDM74XNEFV84 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1692470.40   | 0.20%             | 2028-06-01      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                                       | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   11512518 | NS      | $11512517.50  | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                    | BP Capital Markets PLC                                                                                                    | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    2175000 | PA      | $2071096.51   | 0.25%             | 2030-03-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Chicago Mercantile Exchange                               | Long: SMIE9GQ17 IRS MXN R F  8.63500 II2738460241210 CCPOIS / Short: SMIE9GQ17 IRS MXN P V 00MTIEF II5941750241210 CCPOIS | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  218809800 | OU      | $298259.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                               | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $2541.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENGIE SA                                                  | Engie SA                                                                                                                  | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $1148602.80   | 0.14%             | 2036-03-06      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                      | FREMF 2016-KF21 Mortgage Trust                                                                                            | CUSIP: 30289XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188652 | PA      | $59902.49     | 0.01%             | 2026-07-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                                  | Banque Ouest Africaine de Developpement                                                                                   | CUSIP: 000000000<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |    1970000 | PA      | $1887287.60   | 0.23%             | 2033-01-22      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                    | BBVA Mexico SA Institucion De Banca Multiple Grupo Financiero BBVA Mexico/TX                                              | CUSIP: 07336UAA1<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |    1700000 | PA      | $1766622.41   | 0.21%             | 2038-06-29      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                            | PURCHASED USD / SOLD AUD                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-694326.61   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                            | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-144773.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                   | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |          1 | NC      | $20974.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                    | BBVA Mexico SA Institucion de Banca Multiple Grupo Financiero BBVA Mexico                                                 | CUSIP: 072912AA6<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |     510000 | PA      | $513825.00    | 0.06%             | 2035-02-11      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                           | Golub Capital Partners CLO 72 B Ltd                                                                                       | CUSIP: 381941AG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1500000 | PA      | $1504461.00   | 0.18%             | 2037-04-25      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2006-4CB                                                                                           | CUSIP: 12668BPM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40672 | PA      | $19535.30     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                            | Galaxy 33 CLO Ltd                                                                                                         | CUSIP: 36321EAL9<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $988895.00    | 0.12%             | 2037-04-20      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                         | ABFC 2004-OPT1 Trust                                                                                                      | CUSIP: 04542BFA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     570639 | PA      | $567188.55    | 0.07%             | 2033-08-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD CNH                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-60449.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                       | Banc of America Funding 2007-5 Trust                                                                                      | CUSIP: 059523AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40612 | PA      | $34586.81     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                    | Natixis Commercial Mortgage Securities Trust 2019-10K                                                                     | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1786299.40   | 0.21%             | 2039-05-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                                | Blackbird Capital Aircraft Lease Securitization Ltd 2016-1                                                                | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     843214 | PA      | $841799.73    | 0.10%             | 2041-12-16      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                    | GSAA Home Equity Trust 2006-18                                                                                            | CUSIP: 3622ELAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318724 | PA      | $115343.12    | 0.01%             | 2036-11-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN NATIONAL GROUP                                   | American National Group Inc                                                                                               | CUSIP: 025676AN7<br>LEI: 549300RK5RZQ740FPL83 | Long             | DBT              | CORP              | US        |    2075000 | PA      | $2110340.74   | 0.25%             | 2029-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                            | RMF Proprietary Issuance Trust 2022-3                                                                                     | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     996248 | PA      | $958141.99    | 0.12%             | 2062-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TRIVIUM PACKAGING FIN                                     | Trivium Packaging Finance BV                                                                                              | CUSIP: 89686QAB2<br>LEI: 724500GMZWW3PVYET548 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $989732.20    | 0.12%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| Countrywide Home Loans                                    | Reperforming Loan REMIC Trust 2005-R1                                                                                     | CUSIP: 12669GXF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85949 | PA      | $90678.77     | 0.01%             | 2035-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                      | Las Vegas Sands Corp                                                                                                      | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     700000 | PA      | $704247.88    | 0.08%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bonds                    | Nigeria Government International Bonds                                                                                    | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1400000 | PA      | $1145102.00   | 0.14%             | 2033-09-28      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| UPJOHN FINANCE BV                                         | Upjohn Finance BV                                                                                                         | CUSIP: 000000000<br>LEI: 254900OG32E8F3XO5O83 | Long             | DBT              | CORP              | NL        |    1500000 | PA      | $1648539.22   | 0.20%             | 2027-06-23      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P                                      | Conn's Receivables Funding 2023-A LLC                                                                                     | CUSIP: 20824CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1286186 | PA      | $1290432.47   | 0.15%             | 2028-01-17      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BANNA RMBS                                                | Banna RMBS DAC                                                                                                            | CUSIP: 000000000<br>LEI: 549300ITMSQX8FY8ZS10 | Long             | ABS-MBS          | CORP              | IE        |     800000 | PA      | $1063062.33   | 0.13%             | 2063-12-30      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| REPSOL INTL FINANCE                                       | Repsol International Finance BV                                                                                           | CUSIP: 000000000<br>LEI: 5493002YCY6HTK0OUR29 | Long             | DBT              | CORP              | NL        |    2050000 | PA      | $2272547.86   | 0.27%             | 2026-12-22      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                    | Merrill Lynch Mortgage Investors Trust Series 2006-A2                                                                     | CUSIP: 590215AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975441 | PA      | $9.80         | 0.00%             | 2036-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                                                                                         | CUSIP: 36209RPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        238 | PA      | $244.20       | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                    | CHL Mortgage Pass-Through Trust Resecuritization 2008-2R                                                                  | CUSIP: 12544NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640280 | PA      | $357358.73    | 0.04%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                | Vonovia SE                                                                                                                | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    2000000 | PA      | $2035977.07   | 0.24%             | 2029-12-14      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| ELDORADO GOLD CORP                                        | Eldorado Gold Corp                                                                                                        | CUSIP: 284902AF0<br>LEI: 5493004PWQ01YDD1IH62 | Long             | DBT              | CORP              | CA        |    2670000 | PA      | $2634540.53   | 0.32%             | 2029-09-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                             | MASTR Alternative Loan Trust 2003-3                                                                                       | CUSIP: 576434DZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377588 | PA      | $362821.47    | 0.04%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                        | Realkredit Danmark A/S                                                                                                    | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   26004796 | PA      | $3926822.86   | 0.47%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| NEWCASTLE COAL INFRASTRU                                  | Newcastle Coal Infrastructure Group Pty Ltd                                                                               | CUSIP: 65106WAB1<br>LEI: 549300YAJ8XYYGW2TZ32 | Long             | DBT              | CORP              | AU        |    1880686 | PA      | $1781143.21   | 0.21%             | 2031-05-12      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                              | Ecopetrol SA                                                                                                              | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1800000 | PA      | $1802948.40   | 0.22%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| OSD CLO 2023-27, Ltd.                                     | OCP CLO Ltd                                                                                                               | CUSIP: 67570KAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001397.00   | 0.12%             | 2035-07-16      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                                          | Allied Universal Holdco LLC / Allied Universal Finance Corp                                                               | CUSIP: 019576AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1108515.92   | 0.13%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| JAPAN (30 YEAR ISSUE)                                     | Japan Government Thirty Year Bond                                                                                         | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1579850000 | PA      | $10504117.24  | 1.26%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                    | Treasury Corp of Victoria                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    7370000 | PA      | $3568777.28   | 0.43%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                | Bear Stearns Asset Backed Securities Trust 2006-SD3                                                                       | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      18437 | PA      | $18326.22     | 0.00%             | 2036-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                      | PRET 2021-RN3 LLC                                                                                                         | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2270310 | PA      | $2263191.21   | 0.27%             | 2051-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2006-HY10                                                                                          | CUSIP: 12668BUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38647 | PA      | $36241.22     | 0.00%             | 2036-05-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE                                   | Wintershall Dea Finance BV                                                                                                | CUSIP: 000000000<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |    2400000 | PA      | $2540490.68   | 0.31%             | 2028-09-25      | Fixed         | 1.33%                 | Yes           |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                       | Intesa Sanpaolo SpA                                                                                                       | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    2825000 | PA      | $3134219.02   | 0.38%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                            | Finance of America HECM Buyout 2024-HB1                                                                                   | CUSIP: 31737DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $5432088.60   | 0.65%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Jol Air                                                   | JOL Air Ltd                                                                                                               | CUSIP: 46651NAB0<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |     167638 | PA      | $164790.12    | 0.02%             | 2044-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                       | Banc of America Funding 2007-5 Trust                                                                                      | CUSIP: 059523AR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3560 | PA      | $3414.76      | 0.00%             | 2037-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                         | INEOS Finance PLC                                                                                                         | CUSIP: 000000000<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    1440000 | PA      | $1566501.16   | 0.19%             | 2030-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                                    | HAT Holdings I LLC / HAT Holdings II LLC                                                                                  | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3573000 | PA      | $3674370.40   | 0.44%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates                                                              | CUSIP: 3137FXYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $886847.85    | 0.11%             | 2049-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| ReadyCap lending                                          | ReadyCap Lending Small Business Loan Trust 2023-3                                                                         | CUSIP: 75576AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2053951 | PA      | $2087516.69   | 0.25%             | 2048-04-25      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| MCGRAW-HILL EDUCATION                                     | McGraw-Hill Education Inc                                                                                                 | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2255468.09   | 0.27%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Pool                                                                                                          | CUSIP: 3132DTS76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2194043 | PA      | $2231259.70   | 0.27%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities            | CSFB Mortgage-Backed Pass-Through Certificates Series 2003-29                                                             | CUSIP: 22541Q3U4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148576 | PA      | $150072.24    | 0.02%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust                                      | STAR 2022-SFR3 Trust                                                                                                      | CUSIP: 78474PAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3017294.40   | 0.36%             | 2039-05-17      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                              | New Zealand Government Bonds                                                                                              | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    5740000 | PA      | $3386091.30   | 0.41%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                  | Telefonica Emisiones SA                                                                                                   | CUSIP: 000000000<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    1800000 | PA      | $2074413.49   | 0.25%             | 2036-01-24      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust               | Bear Stearns ARM Trust 2007-3                                                                                             | CUSIP: 073881AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42336 | PA      | $35747.26     | 0.00%             | 2047-05-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                       | Citigroup Commercial Mortgage Trust 2020-555                                                                              | CUSIP: 17328EAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $734062.95    | 0.09%             | 2041-12-10      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                    | PNC Financial Services Group Inc/The                                                                                      | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    3025000 | PA      | $3326449.30   | 0.40%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MASTERBRAND INC                                           | Masterbrand Inc                                                                                                           | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1746307.50   | 0.21%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                               | Ivory Coast Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     650000 | PA      | $637707.33    | 0.08%             | 2032-01-30      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                              | CSMC 2021-BPNY                                                                                                            | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4330189 | PA      | $3996571.90   | 0.48%             | 2026-08-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                        | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-1                                                             | CUSIP: 35563PPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3250000 | PA      | $3117378.55   | 0.37%             | 2059-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SUPERIOR PLUS/GEN PRTNR                                   | Superior Plus LP / Superior General Partner Inc                                                                           | CUSIP: 86828LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    2000000 | PA      | $1869598.80   | 0.22%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ludgate Funding Plc                                       | Ludgate Funding PLC                                                                                                       | CUSIP: 000000000<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |     453552 | PA      | $489680.05    | 0.06%             | 2061-01-01      | Floating      | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | Petroleos Mexicanos                                                                                                       | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1400000 | PA      | $1368761.24   | 0.16%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                                                                                         | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30865 | PA      | $595.88       | 0.00%             | 2041-08-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                               | Onity Loan Investment Trust 2024-HB2                                                                                      | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1352927.55   | 0.16%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                  | Virgin Media Secured Finance PLC                                                                                          | CUSIP: 000000000<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    2350000 | PA      | $2823986.21   | 0.34%             | 2030-01-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| SOCIETE GENERALE                                          | Societe Generale SA                                                                                                       | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $4478160.34   | 0.54%             | 2030-11-24      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PETSMART INC/PETSMART FI                                  | PetSmart Inc / PetSmart Finance Corp                                                                                      | CUSIP: 71677KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2581000 | PA      | $2469712.70   | 0.30%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                            | JPN 10Y BOND(OSE) JUN25                                                                                                   | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -30 | NC      | $-57721.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UZBEKISTAN INTL BOND                                      | Republic of Uzbekistan International Bond                                                                                 | CUSIP: 000000000<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |    3440000 | PA      | $3971553.07   | 0.48%             | 2029-02-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                            | BAHA Trust 2024-MAR                                                                                                       | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1164524 | PA      | $1193369.26   | 0.14%             | 2041-12-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC                               | Raptor Aircraft Finance I LLC                                                                                             | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | KY        |    3032765 | PA      | $2704453.11   | 0.32%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                      | Telefonica Europe BV                                                                                                      | CUSIP: 000000000<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |    1800000 | PA      | $2001289.75   | 0.24%             | 2027-02-05      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| RCO Mortgage LLC                                          | RCO VII Mortgage LLC 2024-1                                                                                               | CUSIP: 754921AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2522357 | PA      | $2536654.64   | 0.30%             | 2029-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                 | Structured Asset Mortgage Investments II Trust 2005-AR1                                                                   | CUSIP: 86359LGT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     334564 | PA      | $296626.16    | 0.04%             | 2035-04-19      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                 | RMF Buyout Issuance Trust 2021-HB1                                                                                        | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2454610 | PA      | $2107340.35   | 0.25%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS                                  | Focus Financial Partners LLC                                                                                              | CUSIP: 34417VAA5<br>LEI: 5493007L0E0VKRC2CP39 | Long             | DBT              | CORP              | US        |    1219000 | PA      | $1227426.95   | 0.15%             | 2031-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ALBANIA                                       | Albania Government International Bond                                                                                     | CUSIP: 000000000<br>LEI: 254900EDM43U3SGRND29 | Long             | DBT              | NUSS              | AL        |    2500000 | PA      | $2705300.83   | 0.32%             | 2035-02-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                               | PURCHASED PEN / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $630.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                               | McAfee Corp                                                                                                               | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |    2580000 | PA      | $2231240.58   | 0.27%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                        | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                                                             | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $5228067.90   | 0.63%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                                                | Start Ltd/Bermuda                                                                                                         | CUSIP: 85572RAA7<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | BM        |     949178 | PA      | $936438.94    | 0.11%             | 2043-05-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                        | EFMT 2024-RM1                                                                                                             | CUSIP: 26843HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2690884 | PA      | $2523316.20   | 0.30%             | 2054-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                  | Occidental Petroleum Corp                                                                                                 | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $3979141.85   | 0.48%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                     | FMC GMSR Issuer Trust                                                                                                     | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3050518.80   | 0.37%             | 2027-07-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD AUD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-33403.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                            | Apidos CLO XXXV                                                                                                           | CUSIP: 03768TAA0<br>LEI: 549300KJKTO0Q1OATW69 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492501.50    | 0.06%             | 2034-04-20      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| WE SODA INV HOLDING PLC                                   | WE Soda Investments Holding PLC                                                                                           | CUSIP: 000000000<br>LEI: 984500SE38C07DB47A90 | Long             | DBT              | CORP              | GB        |    1920000 | PA      | $1966982.40   | 0.24%             | 2028-10-06      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2007-OA7                                                                                           | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |      71979 | PA      | $65539.41     | 0.01%             | 2047-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $-14562.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                    | Treasury Corp of Victoria                                                                                                 | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |    7630000 | PA      | $4730561.10   | 0.57%             | 2036-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                   | NYMT Loan Trust Series 2024-BPL1                                                                                          | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1630000 | PA      | $1641806.25   | 0.20%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                    | US 10YR ULTRA FUT JUN25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        128 | NC      | $77204.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                               | PURCHASED KRW / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $11157.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Champs Trust                                              | Champs Trust 2025-1                                                                                                       | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3939623 | PA      | $4107584.47   | 0.49%             | 2060-04-25      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | Cascade Funding Mortgage Trust 2022-AB2                                                                                   | CUSIP: 12530JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1065798 | PA      | $978157.19    | 0.12%             | 2052-02-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD CNH                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-60673.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                    | PURCHASED USD / SOLD GBP                                                                                                  | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-330551.95   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| AXA SA                                                    | AXA SA                                                                                                                    | CUSIP: 000000000<br>LEI: F5WCUMTUM4RKZ1MAIE39 | Long             | DBT              | CORP              | FR        |    2200000 | PA      | $2475024.61   | 0.30%             | 2049-05-28      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                    | GSAA Home Equity Trust 2005-3                                                                                             | CUSIP: 36242DWW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37270 | PA      | $37247.16     | 0.00%             | 2034-12-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                   | Bryant Park Funding 2023-19 Ltd                                                                                           | CUSIP: 11765AAY5<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1470811.50   | 0.18%             | 2038-04-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                               | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $30806.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                                      | Elmwood CLO VIII Ltd                                                                                                      | CUSIP: 29003EAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000500.00   | 0.12%             | 2037-04-20      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                         | Hellenic Republic Government Bond                                                                                         | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    2200000 | PA      | $2679713.26   | 0.32%             | 2038-07-18      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                        | Banco Santander SA                                                                                                        | CUSIP: 000000000<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4000000 | PA      | $4833533.28   | 0.58%             | 2033-08-23      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                                    | PURCHASED CAD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CA        |          1 | NC      | $46920.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                                      | Garda World Security Corp                                                                                                 | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    1370000 | PA      | $1283687.12   | 0.15%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                          | Empower CLO 2024-1 Ltd                                                                                                    | CUSIP: 29244RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1503076.50   | 0.18%             | 2037-04-25      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                       | Brean Asset Backed Securities Trust 2023-SRM1                                                                             | CUSIP: 10638RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2129832 | PA      | $1988936.61   | 0.24%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                 | BPR Trust 2021-WILL                                                                                                       | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1755204 | PA      | $1738979.68   | 0.21%             | 2038-06-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust              | STARM Mortgage Loan Trust 2007-4                                                                                          | CUSIP: 78473WAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41742 | PA      | $36500.41     | 0.00%             | 2037-10-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                 | RMF Buyout Issuance Trust 2021-HB1                                                                                        | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1868942.40   | 0.22%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                               | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-44292.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                         | EURO-BOBL FUTURE JUN25                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        539 | NC      | $846852.18    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                         | Citigroup Mortgage Loan Trust 2006-AR7                                                                                    | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52472 | PA      | $45971.61     | 0.01%             | 2036-11-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust                     | Harvest Commercial Capital Loan Trust 2024-1                                                                              | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2944291 | PA      | $3056317.38   | 0.37%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                            | RMF Proprietary Issuance Trust 2022-2                                                                                     | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2609950.80   | 0.31%             | 2062-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                    | Velocity Commercial Capital Loan Trust 2022-5                                                                             | CUSIP: 91824FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199798 | PA      | $199645.79    | 0.02%             | 2047-05-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                                                | Start II LTD                                                                                                              | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     788210 | PA      | $776777.72    | 0.09%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                              | CaixaBank SA                                                                                                              | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2301823.44   | 0.28%             | 2036-08-08      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                         | Magnetite XXII Ltd                                                                                                        | CUSIP: 55954HBE1<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001989.00   | 0.12%             | 2036-07-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                 | RMF Buyout Issuance Trust 2021-HB1                                                                                        | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1132814.04   | 0.14%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Orange SA                                                 | Orange SA                                                                                                                 | CUSIP: 000000000<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |    3500000 | PA      | $4063109.97   | 0.49%             | 2026-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| NORTEGAS ENERGIA DISTRI                                   | NorteGas Energia Distribucion SA                                                                                          | CUSIP: 000000000<br>LEI: 959800K24LB8NMVR7K61 | Long             | DBT              | CORP              | ES        |    1000000 | PA      | $963424.22    | 0.12%             | 2031-01-22      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Bills                                                                                                       | CUSIP: 912797LN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   29040000 | PA      | $28897812.51  | 3.47%             | 2025-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                        | Wells Fargo Alternative Loan 2007-PA4 Trust                                                                               | CUSIP: 94984UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194688 | PA      | $192157.77    | 0.02%             | 2037-07-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                                                                                  | CUSIP: 38378GM47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     488043 | PA      | $56782.55     | 0.01%             | 2042-12-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                       | Artera Services LLC                                                                                                       | CUSIP: 04302XAA2<br>LEI: 549300J2G34D0WX8Z443 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1614915.34   | 0.19%             | 2031-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                | ATLX 2024-RPL1 Trust                                                                                                      | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2339283.50   | 0.28%             | 2064-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                                                                                           | CUSIP: 31388UJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2395 | PA      | $2504.15      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                  | Bayer AG                                                                                                                  | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | DBT              | CORP              | DE        |    2580000 | PA      | $3075102.89   | 0.37%             | 2033-05-26      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                        | Ally Financial Inc                                                                                                        | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    2080000 | PA      | $2159956.47   | 0.26%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                   | PNMAC GMSR Issuer Trust                                                                                                   | CUSIP: 69354WAJ5<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4055208.80   | 0.49%             | 2029-03-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                                  | Engie SA                                                                                                                  | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $348481.36    | 0.04%             | 2033-03-14      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                                                                                         | CUSIP: 3136AJFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174468 | PA      | $9923.31      | 0.00%             | 2044-03-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                     | FMC GMSR Issuer Trust                                                                                                     | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4034062.40   | 0.48%             | 2027-04-25      | Fixed         | 7.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                                                                                     | CUSIP: 31287YYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        497 | PA      | $524.41       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | CFMT 2024-NR1 LLC                                                                                                         | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2361879 | PA      | $2370873.88   | 0.28%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                    | Sequoia Mortgage Trust 2003-4                                                                                             | CUSIP: 81743PBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124959 | PA      | $115804.61    | 0.01%             | 2033-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                      | Las Vegas Sands Corp                                                                                                      | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1725000 | PA      | $1729603.63   | 0.21%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                      | PURCHASED USD / SOLD MXN                                                                                                  | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-122461.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                    | Reperforming Loan REMIC Trust 2004-R1                                                                                     | CUSIP: 12669F7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66723 | PA      | $56022.76     | 0.01%             | 2034-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                                   | Bryant Park Funding 2024-22 Ltd                                                                                           | CUSIP: 11766CAJ3<br>LEI: 5493000N8L82QL1KEO96 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1505574.00   | 0.18%             | 2037-04-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-16370.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                    | BP Capital Markets PLC                                                                                                    | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    3700000 | PA      | $4116038.27   | 0.49%             | 2029-03-22      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                   | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                                                         | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4046341.20   | 0.49%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| JT INTL FIN SERVICES BV                                   | JT International Financial Services BV                                                                                    | CUSIP: 000000000<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |    1000000 | PA      | $1120979.66   | 0.13%             | 2034-04-11      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                              | UBS Group AG                                                                                                              | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3000000 | PA      | $3296295.92   | 0.40%             | 2032-04-02      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                              | Champs Trust 2024-1                                                                                                       | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2880219 | PA      | $2965118.30   | 0.36%             | 2059-07-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                 | RMF Buyout Issuance Trust 2020-HB1                                                                                        | CUSIP: 76971EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9127067 | PA      | $6521585.91   | 0.78%             | 2050-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                               | OCP CLO 2022-24 Ltd                                                                                                       | CUSIP: 67118YAY9<br>LEI: 254900KJTZSIMELS6Y52 | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $984718.00    | 0.12%             | 2037-10-20      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED AUD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |          1 | NC      | $476118.73    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                     | FMC GMSR Issuer Trust                                                                                                     | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3770137.20   | 0.45%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| WEST TECHNOLOGY GRP LLC                                   | West Technology Group LLC                                                                                                 | CUSIP: 956187AA6<br>LEI: 5493005Z5DB0O5S30R71 | Long             | DBT              | CORP              | US        |     776000 | PA      | $508280.00    | 0.06%             | 2027-04-10      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                             | RFMSI Series 2006-S6 Trust                                                                                                | CUSIP: 74957VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     196880 | PA      | $173096.80    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                         | EURO-BUXL 30Y BND JUN25                                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -94 | NC      | $67671.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Champs Trust                                              | Champs Trust 2024-2                                                                                                       | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2446537 | PA      | $2547163.76   | 0.31%             | 2059-11-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                    | NRZ Excess Spread-Collateralized Notes                                                                                    | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     997652 | PA      | $968168.19    | 0.12%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                               | Ocwen Loan Investment Trust 2023-HB1                                                                                      | CUSIP: 67578KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2895078.30   | 0.35%             | 2036-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | CFMT 2024-HB14 LLC                                                                                                        | CUSIP: 12530XAF8<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3371866.40   | 0.40%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                 | ONEOK Inc                                                                                                                 | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    4050000 | PA      | $3842775.07   | 0.46%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD MXN                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1305140.15  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| VERISURE HOLDING AB                                       | Verisure Holding AB                                                                                                       | CUSIP: 000000000<br>LEI: 549300VQQCWGISM3N408 | Long             | DBT              | CORP              | SE        |    1770000 | PA      | $1984071.33   | 0.24%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Harvest US CLO Ltd                                        | Harvest US CLO 2024-2 Ltd                                                                                                 | CUSIP: 41756YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1475748.00   | 0.18%             | 2037-10-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| MORTGAGE SUBORDINATE TR                                   | MORTGAGE SUBORDINATE TR                                                                                                   | CUSIP: 61914PAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1810000 | PA      | $1521975.97   | 0.18%             | 2031-12-29      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                               | PURCHASED HUF / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | HU        |          1 | NC      | $788.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sydney Airport Finance Co. Pty. Ltd.                      | Sydney Airport Finance Co. Pty. Ltd.                                                                                      | CUSIP: 000000000<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |    1200000 | PA      | $1431509.33   | 0.17%             | 2033-05-03      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618FCDP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1578612 | PA      | $1626193.73   | 0.20%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition Trust                       | Bayview Financial Revolving Asset Trust 2005-A                                                                            | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1147237 | PA      | $1100004.57   | 0.13%             | 2040-02-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| NGG Finance PLC                                           | NGG Finance PLC                                                                                                           | CUSIP: 000000000<br>LEI: 549300MLDJ2T68G21W86 | Long             | DBT              | CORP              | GB        |     850000 | PA      | $1132149.94   | 0.14%             | 2073-06-18      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                             | PURCHASED CZK / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CZ        |          1 | NC      | $91.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                       | Banc of America Funding 2005-5 Trust                                                                                      | CUSIP: 05946XE74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281247 | PA      | $263755.47    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                                      | Boston Lending Trust 2022-2                                                                                               | CUSIP: 10085BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3638904.40   | 0.44%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MV24 CAPITAL BV                                           | MV24 Capital BV                                                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    1955460 | PA      | $1865432.97   | 0.22%             | 2034-06-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust            | Finance of America Structured Securities Trust                                                                            | CUSIP: 31741AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3930628 | PA      | $3747028.31   | 0.45%             | 2074-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                    | Volkswagen International Finance NV                                                                                       | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $2274894.11   | 0.27%             | 2026-03-24      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                   | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                                                                         | CUSIP: 79581PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2511180.00   | 0.30%             | 2050-05-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $122780.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                      | PURCHASED USD / SOLD NZD                                                                                                  | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-40225.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                              | TICP CLO VI 2016-2 Ltd                                                                                                    | CUSIP: 87246VAF9<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1002616.00   | 0.12%             | 2034-01-15      | Floating      | 10.77%                | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                    | US 10YR NOTE (CBT)JUN25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        882 | NC      | $875266.74    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                               | PURCHASED KRW / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $11080.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                    | Cascade MH Asset Trust 2019-MH1                                                                                           | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     873689 | PA      | $831969.58    | 0.10%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED EUR / SOLD CZK                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-100.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                               | Long: SMIE9GVZ6 IRS MXN R F  8.60500 II5424210241210 CCPOIS / Short: SMIE9GVZ6 IRS MXN P V 00MTIEF II3457690241210 CCPOIS | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  112720200 | OU      | $149539.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CALDERYS FINANCING II                                     | Calderys Financing II LLC                                                                                                 | CUSIP: 12878AAA9<br>LEI: 254900CB1N9CREDQAK86 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $983220.90    | 0.12%             | 2028-06-01      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                           | Benefit Street Partners CLO XV Ltd                                                                                        | CUSIP: 08179MAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $989512.00    | 0.12%             | 2037-07-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                          | Duke Energy Corp                                                                                                          | CUSIP: 000000000<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $2020044.66   | 0.24%             | 2034-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| IBERDROLA FINANZAS SAU                                    | Iberdrola Finanzas SA                                                                                                     | CUSIP: 000000000<br>LEI: 5493004PZNZWWBOUV388 | Long             | DBT              | CORP              | ES        |    5600000 | PA      | $6569157.69   | 0.79%             | 2028-04-25      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Bills                                                                                                       | CUSIP: 912797QB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   15300000 | PA      | $15154181.82  | 1.82%             | 2025-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                    | Harvest SBA Loan Trust 2023-1                                                                                             | CUSIP: 41757BAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    1424395 | PA      | $1447707.09   | 0.17%             | 2050-10-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Logicor Financing Sarl                                    | Logicor Financing Sarl                                                                                                    | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    1550000 | PA      | $1751307.90   | 0.21%             | 2028-11-13      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                 | RMF Buyout Issuance Trust 2022-HB1                                                                                        | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3337134.40   | 0.40%             | 2032-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO MERCANTIL DE NORTE                                  | Banco Mercantil del Norte SA/Grand Cayman                                                                                 | CUSIP: 05971PAD0<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |    1800000 | PA      | $1774218.06   | 0.21%             | 2031-05-20      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| ENGIE SA                                                  | Engie SA                                                                                                                  | CUSIP: 000000000<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |    1200000 | PA      | $1190293.74   | 0.14%             | 2031-01-02      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                                                                                           | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1578 | PA      | $1626.32      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                          | Vmed O2 UK Financing I PLC                                                                                                | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1231940.28   | 0.15%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                            | RMF Proprietary Issuance Trust 2020-1                                                                                     | CUSIP: 74969MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2645474 | PA      | $2319926.18   | 0.28%             | 2060-04-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | Cascade Funding Mortgage Trust                                                                                            | CUSIP: 12529GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4407883.65   | 0.53%             | 2035-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| VineBrook Homes                                           | VINE 2023-SFR1 Trust                                                                                                      | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2346667.00   | 0.28%             | 2040-12-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                                  | Great Hall Mortgages No 1 PLC                                                                                             | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |    1400000 | PA      | $1807501.51   | 0.22%             | 2038-06-18      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED USD / SOLD PEN                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-82739.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                          | RALI Series 2007-QS2 Trust                                                                                                | CUSIP: 74923CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25667 | PA      | $20560.16     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                       | Petroleos Mexicanos                                                                                                       | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2140000 | PA      | $2244808.55   | 0.27%             | 2027-04-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                          | Trinitas CLO VI Ltd                                                                                                       | CUSIP: 89641BAE3<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $924701.00    | 0.11%             | 2034-01-25      | Floating      | 11.36%                | No            |                  2 | On Loan: No      |
| METAL Cayman                                              | METAL 2017-1 LLC                                                                                                          | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     853328 | PA      | $567496.93    | 0.07%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | CFMT 2024-HB13 LLC                                                                                                        | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1714451.80   | 0.21%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                            | Barings Clo Ltd 2019-IV                                                                                                   | CUSIP: 06761VAY3<br>LEI: 549300QO1I8V07FLPQ13 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1500928.50   | 0.18%             | 2037-07-15      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                         | Ghana Government International Bond                                                                                       | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     800000 | PA      | $683010.00    | 0.08%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/VM HOLDS                                   | VistaJet Malta Finance PLC / Vista Management Holding Inc                                                                 | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    2100000 | PA      | $1815566.97   | 0.22%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| LHOME Mortgage Trust                                      | LHOME Mortgage Trust 2023-RTL3                                                                                            | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2222833.36   | 0.27%             | 2028-08-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                      | Sonic Automotive Inc                                                                                                      | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |    1870000 | PA      | $1756182.26   | 0.21%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| PIRAEUS FINANCIAL HLDGS                                   | Piraeus Financial Holdings SA                                                                                             | CUSIP: 000000000<br>LEI: M6AD1Y1KW32H8THQ6F76 | Long             | DBT              | CORP              | GR        |    3310000 | PA      | $4151133.10   | 0.50%             | 2034-04-17      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                        | VICI Properties LP                                                                                                        | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    1275000 | PA      | $1262552.49   | 0.15%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2005-43                                                                                            | CUSIP: 12667G5X7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99768 | PA      | $93181.27     | 0.01%             | 2035-10-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                         | Imperial Fund Mortgage Trust 2022-NQM7                                                                                    | CUSIP: 452763AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2355313 | PA      | $2370028.76   | 0.28%             | 2067-11-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                   | GSR Mortgage Loan Trust 2007-AR1                                                                                          | CUSIP: 362290AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76362 | PA      | $39681.05     | 0.00%             | 2037-03-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                            | Barings CLO Ltd 2025-I                                                                                                    | CUSIP: 067927AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $974434.00    | 0.12%             | 2038-04-20      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                                  | ECAF I Ltd                                                                                                                | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |    1123130 | PA      | $943402.35    | 0.11%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $27888.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                          | MortgageIT Trust 2005-4                                                                                                   | CUSIP: 61913PBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52193 | PA      | $51729.33     | 0.01%             | 2035-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                       | Newgate Funding PLC                                                                                                       | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |     566557 | PA      | $730532.81    | 0.09%             | 2050-12-15      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO 32 Ltd                                        | Elmwood CLO 32 Ltd                                                                                                        | CUSIP: 29003TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1499790.00   | 0.18%             | 2037-10-18      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                      | LifePoint Health Inc                                                                                                      | CUSIP: 53219LAV1<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |    2640000 | PA      | $2811528.72   | 0.34%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                      | Westpac Banking Corp                                                                                                      | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    4000000 | PA      | $3480881.16   | 0.42%             | 2035-11-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                                     | KKR Clo 16 Ltd                                                                                                            | CUSIP: 48251DAG1<br>LEI: 254900VCKMCY079T6M57 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $483096.50    | 0.06%             | 2034-10-20      | Floating      | 11.64%                | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED DKK / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | DK        |          1 | NC      | $-310.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                   | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                                                         | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4016871.20   | 0.48%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                     | FMC GMSR Issuer Trust                                                                                                     | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1948400.40   | 0.23%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                              | UBS Group AG                                                                                                              | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1550000 | PA      | $1894862.97   | 0.23%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| BATTALION CLO LTD                                         | BATTALION CLO LTD                                                                                                         | CUSIP: 07134FAG5<br>LEI: 5493006S0D1X0TK7V334 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1501993.50   | 0.18%             | 2037-03-13      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                              | Centene Corp                                                                                                              | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3225428.52   | 0.39%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                | AMSR 2019-SFR1 Trust                                                                                                      | CUSIP: 00178XAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2649000 | PA      | $2555229.11   | 0.31%             | 2039-01-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | CFMT 2023-H12 LLC                                                                                                         | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5500000 | PA      | $5059255.85   | 0.61%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| PRPM Fundido                                              | Prpm Fundido 2025-1 DAC                                                                                                   | CUSIP: 000000000<br>LEI: 894500EWWG2B1D664659 | Long             | ABS-MBS          | CORP              | IE        |    3000000 | PA      | $3321752.77   | 0.40%             | 2075-04-29      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| ALLIANDER NV                                              | Alliander NV                                                                                                              | CUSIP: 000000000<br>LEI: 724500XBZ9QOPTI11U82 | Long             | DBT              | CORP              | NL        |    2350000 | PA      | $2695603.97   | 0.32%             | 2032-03-27      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                        | Seagate HDD Cayman                                                                                                        | CUSIP: 81180WBM2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    1520000 | PA      | $1716996.53   | 0.21%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                  | American Airlines Inc/AAdvantage Loyalty IP Ltd                                                                           | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    2720000 | PA      | $2641155.63   | 0.32%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                   | BPCE SA                                                                                                                   | CUSIP: 000000000<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2100000 | PA      | $2540931.40   | 0.31%             | 2033-06-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| RiverView HECM Trust                                      | RiverView HECM Trust                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962091 | PA      | $844034.07    | 0.10%             | 2047-05-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| ALLIED UNIVERSAL HOLDCO                                   | Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl                                              | CUSIP: 049362AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    1980000 | PA      | $1905093.23   | 0.23%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                     | Lehman Mortgage Trust 2007-8                                                                                              | CUSIP: 52521YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338082 | PA      | $123732.82    | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                        | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                                                             | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4217033 | PA      | $4121741.47   | 0.49%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                               | Taurus 2018-1 IT SRL                                                                                                      | CUSIP: 000000000<br>LEI: 8156000571844ED04411 | Long             | ABS-MBS          | CORP              | IT        |     315960 | PA      | $360352.23    | 0.04%             | 2032-05-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates                                                              | CUSIP: 3137H9MB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9925941 | PA      | $2540644.85   | 0.31%             | 2055-11-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities            | Credit Suisse First Boston Mortgage Securities Corp                                                                       | CUSIP: 225458M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6322799 | PA      | $7014461.15   | 0.84%             | 2045-03-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                   | SG Commercial Mortgage Securities Trust 2019-PREZ                                                                         | CUSIP: 78430EAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2501220.90   | 0.30%             | 2039-09-15      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                                   | Australia & New Zealand Banking Group Ltd                                                                                 | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    2630000 | PA      | $3124021.25   | 0.38%             | 2033-02-03      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                                  | Saudi Government International Bond                                                                                       | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    1500000 | PA      | $1524259.50   | 0.18%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| IAMGOLD CORP                                              | IAMGOLD Corp                                                                                                              | CUSIP: 450913AF5<br>LEI: 254900E7II30XAB9LA72 | Long             | DBT              | CORP              | CA        |    2130000 | PA      | $2112113.96   | 0.25%             | 2028-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Nomura Asset Acceptance Corporation                       | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1                                                       | CUSIP: 65536PAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95674 | PA      | $78192.60     | 0.01%             | 2036-06-25      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                         | Ghana Government International Bond                                                                                       | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     700000 | PA      | $476332.50    | 0.06%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2005-J10                                                                                           | CUSIP: 12667G4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149143 | PA      | $87471.54     | 0.01%             | 2035-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust            | Finance of America Structured Securities Trust 2022-S3                                                                    | CUSIP: 31739PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3588152 | PA      | $3565364.61   | 0.43%             | 2052-06-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Eurohome Italy Mortgages                                  | Eurohome Italy Mortgages Srl                                                                                              | CUSIP: 000000000<br>LEI: 8156005F4093CD5E0195 | Long             | ABS-MBS          | CORP              | IT        |    2044920 | PA      | $2172481.09   | 0.26%             | 2054-11-02      | Floating      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                                                                                           | CUSIP: 31390MJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1757 | PA      | $1852.54      | 0.00%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                                                                                           | CUSIP: 31384WKY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        700 | PA      | $728.14       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                          | TotalEnergies SE                                                                                                          | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |    6480000 | PA      | $6648012.36   | 0.80%             | 2030-06-04      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                    | CCO Holdings LLC / CCO Holdings Capital Corp                                                                              | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1859018.40   | 0.22%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ZEGONA FINANCE PLC                                        | Zegona Finance PLC                                                                                                        | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |    1340000 | PA      | $1428888.90   | 0.17%             | 2029-07-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED CAD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |          1 | NC      | $352567.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                                | Allianz SE                                                                                                                | CUSIP: 000000000<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $316748.40    | 0.04%             | 2050-07-08      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                         | HSBC Holdings PLC                                                                                                         | CUSIP: 000000000<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2100000 | PA      | $2555475.92   | 0.31%             | 2033-05-23      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD                           | Shenton Aircraft Investment I Ltd                                                                                         | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    1715761 | PA      | $1667697.08   | 0.20%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                          | TotalEnergies SE                                                                                                          | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |    1330000 | PA      | $1291061.07   | 0.16%             | 2036-07-17      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                                      | Garda World Security Corp                                                                                                 | CUSIP: 36485MAP4<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    2200000 | PA      | $2172299.36   | 0.26%             | 2032-11-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                         | PRPM 2024-RCF3 LLC                                                                                                        | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1555000 | PA      | $1385288.54   | 0.17%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                             | PURCHASED EUR / SOLD HUF                                                                                                  | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |          1 | NC      | $-411.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                        | JP Morgan Alternative Loan Trust 2005-S1                                                                                  | CUSIP: 46627MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109289 | PA      | $73182.12     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen                                                                 | CUSIP: 000000000<br>LEI: 529900MUF4C20K50JS49 | Long             | DBT              | CORP              | DE        |    1900000 | PA      | $2133322.30   | 0.26%             | 2049-05-26      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| CHOBANI LLC/FINANCE CORP                                  | Chobani LLC / Chobani Finance Corp Inc                                                                                    | CUSIP: 17027NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1782698.20   | 0.21%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Business Loan Express                                     | Business Loan Express Business Loan Trust 2007-A                                                                          | CUSIP: 12328RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     287569 | PA      | $266270.27    | 0.03%             | 2040-10-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                  | Warnermedia Holdings Inc                                                                                                  | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $1927439.17   | 0.23%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                  | Ford Motor Credit Co LLC                                                                                                  | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5650000 | PA      | $5846085.00   | 0.70%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                              | Comcast Corp                                                                                                              | CUSIP: 000000000<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1682915.14   | 0.20%             | 2032-09-26      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                                                                                           | CUSIP: 31380PJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2086 | PA      | $2150.38      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Angola Government International Bonds                     | Angola Government International Bonds                                                                                     | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |     970000 | PA      | $751005.53    | 0.09%             | 2032-04-14      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                                    | PURCHASED USD / SOLD GBP                                                                                                  | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-182459.45   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROBANK ERG SVCS HLDGS                                   | Eurobank Ergasias Services and Holdings SA                                                                                | CUSIP: 000000000<br>LEI: JEUVK5RWVJEN8W0C9M24 | Long             | DBT              | CORP              | GR        |    1900000 | PA      | $2131775.38   | 0.26%             | 2035-04-30      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                         | EURO-OAT FUTURE JUN25                                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -42 | NC      | $-12519.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RMF Buyout Issuance Trust                                 | RMF Buyout Issuance Trust 2020-HB1                                                                                        | CUSIP: 76971EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3156029.10   | 0.38%             | 2050-10-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                   | GSR Mortgage Loan Trust 2005-3F                                                                                           | CUSIP: 36242DD26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     799037 | PA      | $697773.87    | 0.08%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                   | Structured Asset Securities Corp                                                                                          | CUSIP: 86359DRT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     947960 | PA      | $26179.24     | 0.00%             | 2035-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates                                                              | CUSIP: 3137H4RJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6430000 | PA      | $1550967.12   | 0.19%             | 2036-11-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                      | Las Vegas Sands Corp                                                                                                      | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    3138000 | PA      | $3174966.49   | 0.38%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brookhaven Park CLO Ltd                                   | Brookhaven Park CLO LTD                                                                                                   | CUSIP: 113520AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $751864.50    | 0.09%             | 2037-04-19      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages Plc                                     | Mansard Mortgages 2007-2 PLC                                                                                              | CUSIP: 000000000<br>LEI: 213800HN3U8VNBEANB34 | Long             | ABS-MBS          | CORP              | GB        |     239471 | PA      | $317287.23    | 0.04%             | 2049-12-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust            | Finance Of America Structured Securities Trust Series 2024-S2                                                             | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |    2789340 | PA      | $2692676.82   | 0.32%             | 2074-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                  | Enel SpA                                                                                                                  | CUSIP: 000000000<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |    4850000 | PA      | $5890259.79   | 0.71%             | 2028-04-16      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                       | Brean Asset Backed Securities Trust 2023-SRM1                                                                             | CUSIP: 10638RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3194747 | PA      | $3089206.98   | 0.37%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                          | Societe Generale SA                                                                                                       | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    1850000 | PA      | $1879567.51   | 0.23%             | 2029-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED USD / SOLD CAD                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-396081.51   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                                 | EMF-NL Prime 2008-A BV                                                                                                    | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |      58670 | PA      | $65913.29     | 0.01%             | 2041-04-17      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                                                                                           | CUSIP: 31379NGP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.17        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                            | HarborView Mortgage Loan Trust 2003-1                                                                                     | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140008 | PA      | $129936.92    | 0.02%             | 2033-05-19      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                              | Vontier Corp                                                                                                              | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1555262.21   | 0.19%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities PLC                         | Lansdowne Mortgage Securities No 2 PLC                                                                                    | CUSIP: 000000000<br>LEI: 549300FRHPJ8SK8UYU55 | Long             | ABS-MBS          | CORP              | IE        |     657100 | PA      | $688540.31    | 0.08%             | 2048-09-16      | Floating      | 2.84%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $102993.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASPAN CORP                                              | Seaspan Corp                                                                                                              | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |    2280000 | PA      | $2083504.81   | 0.25%             | 2029-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $33374.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                                                                                         | CUSIP: 36211PHU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        971 | PA      | $1000.59      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                              | CSMC 2021-BRIT                                                                                                            | CUSIP: 12658RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2447122 | PA      | $2391746.58   | 0.29%             | 2025-05-09      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                   | GSR Mortgage Loan Trust 2005-AR3                                                                                          | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8749 | PA      | $6527.62      | 0.00%             | 2035-05-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                                       | RMAC Securities No 1 PLC                                                                                                  | CUSIP: 000000000<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |     380073 | PA      | $493243.69    | 0.06%             | 2044-06-12      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                         | Magnetite XXII Ltd                                                                                                        | CUSIP: 55954HBC5<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $993602.00    | 0.12%             | 2036-07-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                                    | Global Atlantic Fin Co                                                                                                    | CUSIP: 37959GAG2<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |     925000 | PA      | $941667.58    | 0.11%             | 2054-10-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                    | VICI Properties LP / VICI Note Co Inc                                                                                     | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              |  | US        |    3825000 | PA      | $3869201.70   | 0.46%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                  | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                                       | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   46734183 | NS      | $46734183.37  | 5.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                         | PURCHASED USD / SOLD NZD                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-473707.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                     | Palmer Square CLO 2018-1 Ltd                                                                                              | CUSIP: 69703PAS8<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1501779.00   | 0.18%             | 2037-04-18      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                  | Electricite de France SA                                                                                                  | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    2400000 | PA      | $2643733.24   | 0.32%             | 2027-12-01      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| UMBS, TBA                                                 | Uniform Mortgage-Backed Security, TBA                                                                                     | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   61300000 | PA      | $61173090.61  | 7.34%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2006-5T2                                                                                           | CUSIP: 12668BMY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292390 | PA      | $136138.14    | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                              | ING Groep NV                                                                                                              | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    3300000 | PA      | $3693702.82   | 0.44%             | 2030-11-13      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                        | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-3                                                             | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2396983.50   | 0.29%             | 2060-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                           | Oakwood Mortgage Investors Inc                                                                                            | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2828359 | PA      | $228092.45    | 0.03%             | 2031-06-15      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| AES PANAMA GENERATION HL                                  | AES Panama Generation Holdings SRL                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |    1535082 | PA      | $1343465.83   | 0.16%             | 2030-05-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                                  | Banque Ouest Africaine de Developpement                                                                                   | CUSIP: 06675QAC7<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |    1840000 | PA      | $1667960.00   | 0.20%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD KRW                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-111524.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                          | Arches Buyer Inc                                                                                                          | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2070984.96   | 0.25%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                         | TenneT Holding BV                                                                                                         | CUSIP: 000000000<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | CORP              | NL        |    2360000 | PA      | $2727826.55   | 0.33%             | 2029-03-21      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                                                                                           | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3314 | PA      | $3460.03      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                | GITSIT Mortgage Loan Trust 2024-NPL1                                                                                      | CUSIP: 375925AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     797845 | PA      | $798235.25    | 0.10%             | 2054-06-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bonds                              | New Zealand Government Bonds                                                                                              | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |   26904000 | PA      | $16051510.13  | 1.93%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | COMM 2019-GC44 Mortgage Trust                                                                                             | CUSIP: 12655TAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1348019.10   | 0.16%             | 2057-08-15      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Akelius Residential Property Financing BV                 | Akelius Residential Property Financing BV                                                                                 | CUSIP: 000000000<br>LEI: 724500ABLEHD1CIBAA35 | Long             | DBT              | CORP              | NL        |    3025000 | PA      | $3149326.09   | 0.38%             | 2029-01-11      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| JAB HOLDINGS BV                                           | JAB Holdings BV                                                                                                           | CUSIP: 000000000<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |     900000 | PA      | $1079734.10   | 0.13%             | 2032-06-29      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                   | GSR Mortgage Loan Trust 2004-14                                                                                           | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240549 | PA      | $223909.93    | 0.03%             | 2034-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| ReadyCap lending                                          | ReadyCap Lending Small Business Loan Trust 2019-2                                                                         | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95825 | PA      | $95629.97     | 0.01%             | 2044-12-27      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                                                                                         | CUSIP: 3136AJ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341929 | PA      | $20259.95     | 0.00%             | 2039-10-25      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 40 Ltd                                        | Elmwood CLO 40 Ltd                                                                                                        | CUSIP: 29004GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1483905.00   | 0.18%             | 2038-03-22      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                    | Blackstone Property Partners Europe Holdings Sarl                                                                         | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |    1000000 | PA      | $1092843.90   | 0.13%             | 2027-04-26      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                            | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |          1 | NC      | $70302.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities            | CSFB Mortgage-Backed Pass-Through Certificates Series 2002-29                                                             | CUSIP: 22541NPT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     196847 | PA      | $197241.68    | 0.02%             | 2032-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                  | KGS-Alpha SBA COOF Trust 2015-2                                                                                           | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     364400 | PA      | $22054.01     | 0.00%             | 2041-07-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                               | PRKCM 2023-AFC1 Trust                                                                                                     | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1194602 | PA      | $1199980.67   | 0.14%             | 2058-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                | PURCHASED AUD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              |  | AU        |          1 | NC      | $976.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                    | NRM FNT1 Excess LLC                                                                                                       | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3114684 | PA      | $3144629.91   | 0.38%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                    | CHL Mortgage Pass-Through Trust 2004-5                                                                                    | CUSIP: 12669FVW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65712 | PA      | $64286.66     | 0.01%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                                    | XPLR Infrastructure Operating Partners LP                                                                                 | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1808343.90   | 0.22%             | 2031-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| Barclays Bank PLC                                         | PURCHASED GBP / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $-634.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurohome Mortgages PLC                                    | Eurohome Mortgages PLC                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     567164 | PA      | $597142.98    | 0.07%             | 2050-08-02      | Floating      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED EUR / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-44085.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                          | Trinitas CLO VI Ltd                                                                                                       | CUSIP: 89640YBG8<br>LEI: 549300IUAXGLQ814UD95 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $988997.00    | 0.12%             | 2034-01-25      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bonds                      | Egypt Government International Bonds                                                                                      | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    3000000 | PA      | $2553990.00   | 0.31%             | 2032-05-29      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd                                               | OCP CLO 2024-32 Ltd                                                                                                       | CUSIP: 67570CAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1500000 | PA      | $1503405.00   | 0.18%             | 2037-04-23      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | Cascade Funding Mortgage Trust                                                                                            | CUSIP: 12531BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2608690.20   | 0.31%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                             | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $48697.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                             | Boeing Co/The                                                                                                             | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3825000 | PA      | $4024661.79   | 0.48%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                          | Deutsche Bank AG                                                                                                          | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1000000 | PA      | $1160804.73   | 0.14%             | 2035-07-12      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-122259.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2005-86CB                                                                                          | CUSIP: 12668BFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16370 | PA      | $8106.23      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | U.S. Treasury Bills                                                                                                       | CUSIP: 912797QH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   25860000 | PA      | $25572092.09  | 3.07%             | 2025-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust            | Structured Adjustable Rate Mortgage Loan Trust Series 2005-1                                                              | CUSIP: 863579LA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243872 | PA      | $237398.48    | 0.03%             | 2035-02-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                    | Banc of America Alternative Loan Trust 2006-6                                                                             | CUSIP: 059487AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64318 | PA      | $49490.81     | 0.01%             | 2046-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSRNCES                                  | Credit Agricole Assurances SA                                                                                             | CUSIP: 000000000<br>LEI: 969500K2MUPSI57XK083 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $1961794.05   | 0.24%             | 2031-10-06      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| SWAP JP MORGAN BOC                                        | SWAP JP MORGAN BOC                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -300000 | NS      | $-300000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CONCENTRIX CORP                                           | Concentrix Corp                                                                                                           | CUSIP: 20602DAA9<br>LEI: 5493000EAJN1KMPVA737 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3668098.43   | 0.44%             | 2026-08-02      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                           | Oaktree CLO 2019-4 Ltd                                                                                                    | CUSIP: 67402CBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1250795.00   | 0.15%             | 2037-07-20      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                    | US 5YR NOTE (CBT) JUN25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        826 | NC      | $1749197.06   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| harvest commercial capital loan trust                     | Harvest Commercial Capital Loan Trust 2020-1                                                                              | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2302539.00   | 0.28%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                      | FirstKey Homes 2021-SFR1 Trust                                                                                            | CUSIP: 33767WAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2893000 | PA      | $2791703.92   | 0.34%             | 2038-08-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                  | Madison Park Funding LV Ltd                                                                                               | CUSIP: 55819FAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1491676.50   | 0.18%             | 2037-07-18      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                | JPMBB Commercial Mortgage Securities Trust 2014-C23                                                                       | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136000 | PA      | $117090.70    | 0.01%             | 2047-09-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                          | MASTR Asset Securitization Trust 2006-2                                                                                   | CUSIP: 55274QAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25216 | PA      | $15707.96     | 0.00%             | 2036-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                            | Bayview Commercial Asset Trust 2007-6                                                                                     | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |    2582349 | PA      | $2254897.57   | 0.27%             | 2037-12-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                            | Barings CLO Ltd 2025-I                                                                                                    | CUSIP: 067928AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1440808.50   | 0.17%             | 2038-04-20      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                               | Ocwen Loan Investment Trust 2024-HB1                                                                                      | CUSIP: 675952AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1765229.96   | 0.21%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                       | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-WF1                                                       | CUSIP: 65537BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1940252 | PA      | $525138.60    | 0.06%             | 2036-06-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                    | Harvest SBA Loan Trust 2024-1                                                                                             | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    2852354 | PA      | $2873554.29   | 0.35%             | 2051-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                               | Ivory Coast Government International Bond                                                                                 | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     709000 | PA      | $695591.53    | 0.08%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                   | PURCHASED USD / SOLD EUR                                                                                                  | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $64277.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                  | KGS-Alpha SBA COOF Trust 2014-2                                                                                           | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     165982 | PA      | $6844.27      | 0.00%             | 2040-04-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                          | RALI Series 2006-QS4 Trust                                                                                                | CUSIP: 749228AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46863 | PA      | $34602.59     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO ACTINVER SA                                         | Banco Actinver SA / Grupo GICSA SAB de CV                                                                                 | CUSIP: 89835RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    1503000 | PA      | $1157310.00   | 0.14%             | 2032-12-18      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GENERALI                                                  | Generali                                                                                                                  | CUSIP: 000000000<br>LEI: 549300X5UKJVE386ZB61 | Long             | DBT              | CORP              | IT        |    3000000 | PA      | $3566270.06   | 0.43%             | 2047-10-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                       | Brean Asset Backed Securities Trust 2023-RM7                                                                              | CUSIP: 10638BAA2<br>LEI: 98450003CE714EY3D313 | Long             | ABS-MBS          | CORP              | US        |    2554323 | PA      | $2493362.41   | 0.30%             | 2078-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| LoanMe Trust Prime 2018-1                                 | LoanMe Trust Prime 2018-1                                                                                                 | CUSIP: 53958AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     682361 | PA      | $673703.50    | 0.08%             | 2034-09-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                               | PRKCM 2023-AFC4 Trust                                                                                                     | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1527328 | PA      | $1555187.24   | 0.19%             | 2058-11-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                            | BCAP LLC 2010-RR1 Trust                                                                                                   | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60039 | PA      | $55725.84     | 0.01%             | 2037-03-26      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                                              | GAIA Aviation Ltd                                                                                                         | CUSIP: 87404LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2764077 | PA      | $2165145.11   | 0.26%             | 2044-12-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                    | NRM FHT1 Excess Owner LLC                                                                                                 | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3394364 | PA      | $3424072.51   | 0.41%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                                         | La Hipotecaria Panamanian Mortgage Trust 2021-1                                                                           | CUSIP: 50347JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    3297718 | PA      | $3010944.70   | 0.36%             | 2052-07-13      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                        | Alternative Loan Trust 2005-36                                                                                            | CUSIP: 12667GA29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30802 | PA      | $28577.73     | 0.00%             | 2035-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                     | FMC GMSR Issuer Trust                                                                                                     | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1497057.60   | 0.18%             | 2026-10-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                      | Bank of America Corp                                                                                                      | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2270000 | PA      | $2456114.86   | 0.29%             | 2033-04-27      | Fixed         | 2.82%                 | Yes           |                  2 | On Loan: No      |
| Bank of America NA                                        | PURCHASED USD / SOLD DKK                                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-118368.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                            | PURCHASED JPY / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |          1 | NC      | $258417.95    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                     | CWABS Asset-Backed Certificates Trust 2004-15                                                                             | CUSIP: 126673US9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1306173.60   | 0.16%             | 2035-03-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| LOXAM SAS                                                 | Loxam SAS                                                                                                                 | CUSIP: 000000000<br>LEI: 969500BNA2YRNE1R5K91 | Long             | DBT              | CORP              | FR        |    1450000 | PA      | $1641078.90   | 0.20%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages Plc                                     | Mansard Mortgages 2006-1 PLC                                                                                              | CUSIP: 000000000<br>LEI: 213800OR1ZCE1EMOXP13 | Long             | ABS-MBS          | CORP              | GB        |     347749 | PA      | $436000.59    | 0.05%             | 2048-10-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF MONTENEGRO                                    | Montenegro Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 747800V014106FYLL014 | Long             | DBT              | NUSS              | ME        |    2929000 | PA      | $3224930.57   | 0.39%             | 2032-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                   | NYMT Loan Trust Series 2025-R1                                                                                            | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2304502 | PA      | $2306529.60   | 0.28%             | 2030-02-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK GREECE SA                                   | National Bank of Greece SA                                                                                                | CUSIP: 000000000<br>LEI: 5UMCZOEYKCVFAW8ZLO05 | Long             | DBT              | CORP              | GR        |    3400000 | PA      | $4354761.20   | 0.52%             | 2034-01-03      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| PROSUS NV                                                 | Prosus NV                                                                                                                 | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $1950173.84   | 0.23%             | 2032-08-03      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                         | EURO-BUND FUTURE JUN25                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        111 | NC      | $143411.81    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                   | PMT Issuer Trust - FMSR                                                                                                   | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2996972.40   | 0.36%             | 2026-03-25      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                      | PRET 2024-NPL3 LLC                                                                                                        | CUSIP: 69391UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4394091 | PA      | $4411912.10   | 0.53%             | 2054-04-27      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE COAL INFRASTRU                                  | Newcastle Coal Infrastructure Group Pty Ltd                                                                               | CUSIP: 65106WAA3<br>LEI: 549300YAJ8XYYGW2TZ32 | Long             | DBT              | CORP              | AU        |     887260 | PA      | $872869.65    | 0.10%             | 2027-09-29      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CUENCA DPR                                                | CUENCA DPR TERM LOAN                                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    2625000 | PA      | $2625000.00   | 0.32%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Loan Acquisition Trust                      | Chase Funding Loan Acquisition Trust Series 2003-C2                                                                       | CUSIP: 161542DB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     436608 | PA      | $421746.22    | 0.05%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ETF Trust                                  | Eaton Vance Floating-Rate ETF                                                                                             | CUSIP: 61774R833<br>LEI: 254900BDISIY9SGE8S56 | Long             | EC               | RF                | US        |     138532 | NS      | $6815774.40   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                    | AthenaHealth Group Inc                                                                                                    | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1817941.57   | 0.22%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                                                                                        | CUSIP: 36202CHK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $52.90        | 0.00%             | 2025-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                               | Long: SMIE9PC61 IRS MXN R F  8.58500 II4261800241211 CCPOIS / Short: SMIE9PC61 IRS MXN P V 00MTIEF II9324550241211 CCPOIS | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  165765000 | OU      | $216513.49    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                     | Banque Federative du Credit Mutuel SA                                                                                     | CUSIP: 000000000<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    2000000 | PA      | $2427401.84   | 0.29%             | 2033-01-13      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Allianz SE                                                | Allianz SE                                                                                                                | CUSIP: 000000000<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    1900000 | PA      | $2390316.72   | 0.29%             | 2053-07-25      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                  | Charter Communications Operating LLC / Charter Communications Operating Capital                                           | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2161873.85   | 0.26%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                            | PURCHASED USD / SOLD AUD                                                                                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-14976.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                   | Saluda Grade Alternative Mortgage Trust 2025-NPL1                                                                         | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3127275 | PA      | $3132122.39   | 0.38%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust            | Structured Adjustable Rate Mortgage Loan Trust                                                                            | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249861 | PA      | $220212.76    | 0.03%             | 2034-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                    | Velocity Commercial Capital Loan Trust 2024-2                                                                             | CUSIP: 92259PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1785900 | PA      | $1805832.00   | 0.22%             | 2054-04-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Titulizacion De Activos                                   | TDA 27 FTA                                                                                                                | CUSIP: 000000000<br>LEI: 95980020140005710276 | Long             | ABS-MBS          | CORP              | ES        |    1607792 | PA      | $1655547.07   | 0.20%             | 2050-12-28      | Floating      | 2.56%                 | Yes           |                  2 | On Loan: No      |
| Horizon Aircraft Finance                                  | Horizon Aircraft Finance IV Ltd                                                                                           | CUSIP: 43990EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    2427000 | PA      | $2390779.94   | 0.29%             | 2049-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                  | Clear Channel Outdoor Holdings Inc                                                                                        | CUSIP: 18453HAC0<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1379086.50   | 0.17%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| Ludgate Funding Plc                                       | Ludgate Funding PLC                                                                                                       | CUSIP: 000000000<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |     793715 | PA      | $865902.92    | 0.10%             | 2061-01-01      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| Pastor IM FTH/FTA                                         | IM Pastor 4 FTA                                                                                                           | CUSIP: 000000000<br>LEI: 95980020140005262912 | Long             | ABS-MBS          | CORP              | ES        |     477784 | PA      | $478867.47    | 0.06%             | 2044-03-22      | Floating      | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                            | CFMT 2020-ABC1 LLC                                                                                                        | CUSIP: 12529HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2411416 | PA      | $2369976.47   | 0.28%             | 2050-09-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                    | Cloud Software Group Inc                                                                                                  | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |    1881000 | PA      | $1883461.98   | 0.23%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC                                           | Global Atlantic Fin Co                                                                                                    | CUSIP: 37959GAC1<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1121851.94   | 0.13%             | 2051-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                          | Newtek Small Business Loan Trust 2021-1                                                                                   | CUSIP: 65253MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     487223 | PA      | $478266.23    | 0.06%             | 2048-12-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                    | CHL Mortgage Pass-Through Trust 2004-20                                                                                   | CUSIP: 12669F2J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225168 | PA      | $204063.61    | 0.02%             | 2034-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage Trust                      | Sutherland Commercial Mortgage Trust 2021-SBC10                                                                           | CUSIP: 86935JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675053 | PA      | $583230.96    | 0.07%             | 2041-12-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Trust                              | Stanwich Mortgage Loan Co 2021-NPL-B-1 LLC                                                                                | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     178033 | PA      | $178364.15    | 0.02%             | 2026-10-16      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                                        | Peru Government Bond                                                                                                      | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   43100000 | PA      | $11997976.84  | 1.44%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR5 Trust                                      | STAR 2025-SFR5 Trust                                                                                                      | CUSIP: 85520CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $809183.52    | 0.10%             | 2042-02-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                    | PURCHASED USD / SOLD JPY                                                                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-270166.15   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                         | Hellenic Republic Government Bond                                                                                         | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    4880000 | PA      | $5611870.91   | 0.67%             | 2034-06-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                    | US ULTRA BOND CBT JUN25                                                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -115 | NC      | $-250795.87   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| COOF Securitization Trust                                 | COOF Securitization Trust 2015-1                                                                                          | CUSIP: 12592NAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    1542307 | PA      | $82252.79     | 0.01%             | 2040-10-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                                                                                        | CUSIP: 3618F4Y62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2088546 | PA      | $2151498.17   | 0.26%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                         | Citigroup Mortgage Loan Trust Inc                                                                                         | CUSIP: 17307GR83<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     104538 | PA      | $166681.78    | 0.02%             | 2044-07-25      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                | PURCHASED NZD / SOLD USD                                                                                                  | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              |  | NZ        |          1 | NC      | $-2331.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                              | CSMC Mortgage-Backed Trust Series 2006-4                                                                                  | CUSIP: 12637HAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1653070 | PA      | $414218.18    | 0.05%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE SA                                             | RCI Banque SA                                                                                                             | CUSIP: 000000000<br>LEI: 96950001WI712W7PQG45 | Long             | DBT              | CORP              | FR        |    1500000 | PA      | $1765717.45   | 0.21%             | 2034-10-09      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Hestia Financing                                          | Hestia Financing                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |     495403 | PA      | $531464.33    | 0.06%             | 2046-12-31      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Mortgage Funding PLC                                      | Mortgage Funding 2008-1 PLC                                                                                               | CUSIP: 000000000<br>LEI: 213800AHT9AB4TA6OJ88 | Long             | ABS-MBS          | CORP              | GB        |    2000000 | PA      | $2660343.89   | 0.32%             | 2046-03-13      | Floating      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                    | Volkswagen International Finance NV                                                                                       | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |    1700000 | PA      | $2063086.46   | 0.25%             | 2028-09-06      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| ASX Clear (Futures)                                       | AUST 10Y BOND FUT JUN25                                                                                                   | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -69 | NC      | $-71090.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-19

**Name of Applicant:** MORGAN STANLEY GLOBAL FIXED INCOME OPPORTUNITIES FUND

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Principal Financial Officer