# EDGAR Filing Document

**Accession Number:** 0001190935
**File Stem:** 0001190935-23-000009
**Filing Date:** 2023-3
**Character Count:** 299958
**Document Hash:** 1a1cc9589dca38949448c0e22eebe2df
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001190935-23-000009.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001190935-23-000009

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO CORPORATE & INCOME OPPORTUNITY FUND
- **CENTRAL INDEX KEY:** 0001190935
- **IRS NUMBER:** 466121513
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21238
- **FILM NUMBER:** 23688741

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO CORPORATE OPPORTUNITY FUND
- **DATE OF NAME CHANGE:** 20021022

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO CORPORATE ADVANTAGE FUND
- **DATE OF NAME CHANGE:** 20020919

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-21238

- **c. CIK number of Registrant:** 0001190935

- **d. LEI of Registrant:** HDLWHPN6NOUBN66AS151

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2492543627.90

**Total Liabilities:** $1070368517.25

**Net Assets:** $1422175110.65

**Cash Not Reported:** $183367822.48

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 27683.438800 | **1-Year:** 18939.711200 | **5-Year:** 307350.212800 | **10-Year:** 76312.300900 | **30-Year:** -131881.078300

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

- **3-Month:** 194967.608400 | **1-Year:** 112187.147600 | **5-Year:** 186046.363600 | **10-Year:** 52677.713600 | **30-Year:** 5126.078200

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 3.94%                | 10.24%               | -6.94%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10804969.88            | $4882046.66                                |
| Month 2  | $15209486.43             | $25868163.90                               |
| Month 3  | $-916713.72              | $-14100612.13                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANC OF AMERICA FUNDING CORP 2005-8                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2005 8 3A4              | CUSIP: 05946XZ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50723 | PA      | $50725.31     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 3.50000 06/17/15-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-149740.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR -0.15000 03/18/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $5001642.29   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.25000 09/21/22-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $4575303.08   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.50000 09/21/22-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3565554.72   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.83000 12/09/42-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $706805.16    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 1.75000 03/15/23-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $253636.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 4.50000 03/05/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-141280.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 4.55000 03/01/21-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-63425.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-5                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 5 2A3              | CUSIP: 059523AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312971 | PA      | $245335.00    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 7.49500 01/26/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $7060.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 7.49750 01/27/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $28941.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 8.41000 04/06/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2928.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 8.66000 04/07/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $14306.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 8.67500 04/06/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $34292.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 8.70100 04/13/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $472.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 8.73000 04/12/22-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $1106.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 8.73200 04/12/22-10Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $21.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 8.75000 04/08/22-2Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $10403.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R8                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R8 A2 144A         | CUSIP: 05969MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4628778 | PA      | $3719212.10   | 0.26%             | 2036-06-26      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875      | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    500000 | PA      | $460365.54    | 0.03%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 0.25000 06/16/21-3Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $685369.89    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 0.50000 06/16/21-5Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4240916.19   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625      | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |  19170000 | PA      | $18621383.98  | 1.31%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 0.75000 06/16/21-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4446145.77   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.00000 12/16/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $316561.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.00000 12/16/20-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $395167.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.16000 04/12/21-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1202455.76   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.25000 12/16/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6993109.25   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625      | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   9609000 | PA      | $9789158.40   | 0.69%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.35000 02/09/22-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $24749462.08  | 1.74%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.36000 02/15/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1305533.58   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.38000 08/24/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9272069.69   | 0.65%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.42000 02/24/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $613157.39    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.42000 08/17/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6057253.60   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.45000 02/17/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2082824.33   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR        | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   8500000 | PA      | $7356687.69   | 0.52%             | 2028-01-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.60000 11/15/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4729804.53  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.65000 11/24/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1844579.37  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.70000 02/01/22-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $48110956.60  | 3.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.70000 11/17/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7461609.03  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.75000 01/22/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8967203.06   | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR        | CUSIP: ACI1J42S1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   3909000 | PA      | $3671590.43   | 0.26%             | 2030-01-22      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.75000 12/15/21-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $15641734.41  | 1.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.87500 02/07/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8655290.39   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.00000 01/15/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5406823.69   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5       | CUSIP: ACI1DBG64<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   6159000 | PA      | $6123154.41   | 0.43%             | 2029-07-23      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.25000 03/12/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2220482.00   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.25000 06/15/16-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2873580.09  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.25000 12/11/19-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $510243.35    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.50000 12/20/17-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4928039.25  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.50000 12/20/17-10Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-186885.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.75000 06/17/15-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-359798.02   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 3.00000 06/19/19-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14169703.04 | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 3.50000 06/19/13-31Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5236400.86  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR        | CUSIP: ACI1R35P7<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   4500000 | PA      | $4248999.40   | 0.30%             | 2030-09-10      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS USD FEDL01/0.10000 01/13/22-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $181508.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/0.75000 09/21/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $4643283.27   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $2337083.36   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $1362761.44   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                            | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65       | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |   1600000 | PA      | $393599.79    | 0.03%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9129256.40  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6641899.57  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-38716918.18 | -2.72%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $109652.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $435663.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $866376.84    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.14 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-13637.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.16 03/29/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-9180.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.22 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-19171.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.245 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-9405.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.26 03/25/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-9296.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.35 03/28/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-9682.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.7 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-3314.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.715 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-13958.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.87 03/22/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-27068.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12 03/23/22-01/02/25 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-14032.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.08 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-20931.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.14 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-9523.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.145 03/22/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-9225.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.16 03/21/22-01/02/25 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-18418.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.67 03/29/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $3989.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.69 03/29/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2547.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.74 03/25/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $5701.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.75 03/28/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2719.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.76 03/25/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $5405.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.9 03/21/22-01/02/23 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $6049.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.93 03/24/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $712.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.9385 03/21/22-01/02/23 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2422.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.946 03/22/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $6063.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.96 03/21/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $4206.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.97 03/22/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2061.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.97 03/23/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2664.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.97 03/24/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $2365.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 6.17 03/18/21-01/02/23 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1952691.66   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CZK SOLD USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $88218.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20230214                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $33760.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $-521194.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | WINDSTREAM HOLDINGS II, LLC 8725909B2                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |   1181266 | NC      | $23913389.43  | 1.68%             |  |  |  | No            |                  3 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                      | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |   1167686 | NS      | $1226070.30   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                            | BARCLAYS PLC SR UNSECURED 11/33 VAR                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4670000 | PA      | $4907516.29   | 0.35%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                | BCAP LLC TRUST BCAP 2009 RR14 5A2 144A                      | CUSIP: 05532LAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2088487 | PA      | $1397242.68   | 0.10%             | 2036-12-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                | BCAP LLC TRUST BCAP 2010 RR11 6A2 144A                      | CUSIP: 05533JBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2420592 | PA      | $1746387.77   | 0.12%             | 2036-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                 | BCAP LLC TRUST BCAP 2011 R11 32A7 144A                      | CUSIP: 05533FLT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450880 | PA      | $1306765.51   | 0.09%             | 2036-02-26      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                 | BCAP LLC TRUST BCAP 2011 RR5 12A2 144A                      | CUSIP: 05534AAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235923 | PA      | $1675503.16   | 0.12%             | 2037-03-26      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                                   | COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR                 | CUSIP: 20453QAA0<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |   4400000 | NS      | $4374700.00   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                         | BEAR STEARNS ALT A TRUST BALTA 2005 7 24A1                  | CUSIP: 07386HVV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469672 | PA      | $279360.74    | 0.02%             | 2035-09-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                         | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2072732 | PA      | $1103045.86   | 0.08%             | 2036-08-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                         | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1                  | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499266 | PA      | $267400.66    | 0.02%             | 2036-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                         | BEAR STEARNS ALT A TRUST BALTA 2006 8 2A1                   | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2635534 | PA      | $1872158.71   | 0.13%             | 2046-08-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-11                                        | BEAR STEARNS ALT A TRUST BALTA 2004 11 2A2                  | CUSIP: 07386HMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181339 | PA      | $166921.33    | 0.01%             | 2034-11-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04              | CUSIP: 717158901<br>LEI: 549300506SI9CRFV9Z86 | Long             | EC               | CORP              | CH        |     92485 | NS      | $276459.78    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AC3                     | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC3 A1            | CUSIP: 07386VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7998265 | PA      | $6596798.38   | 0.46%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AC1                            | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AC1 A1              | CUSIP: 07400XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177685 | PA      | $178091.35    | 0.01%             | 2036-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2006-1A                                         | BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A                | CUSIP: 078452AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        | 324259966 | PA      | $2394659.85   | 0.17%             | 2046-07-05      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B23                                      | BENCHMARK MORTGAGE TRUST BMARK 2021 B23 360C 144A           | CUSIP: 08162RBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8388000 | PA      | $4921086.10   | 0.35%             | 2054-02-15      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                     | BFLD TRUST BFLD 2020 EYP E 144A                             | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $3852684.94   | 0.27%             | 2035-10-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                             | BNP PARIBAS SR UNSECURED 144A 01/33 VAR                     | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4119000 | PA      | $3262472.82   | 0.23%             | 2033-01-20      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 02/33 6.125                          | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3988000 | PA      | $4065955.11   | 0.29%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 05/40 5.705                          | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   7570000 | PA      | $7250928.36   | 0.51%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 05/60 5.93                           | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1804000 | PA      | $1653045.66   | 0.12%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BOI FINANCE BV                                                          | BOI FINANCE BV 02/27 7.5                                    | CUSIP: ACI23L5Y2<br>LEI: 724500ZH3H2YACBUNF38 | Long             | DBT              | MUN               | NL        |   7100000 | PA      | $6137914.57   | 0.43%             | 2027-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2020-1 CLASS A PASS THROUGH TRUST                       | BRITISH AIR 20 1 A PTT PASS THRU CE 144A 05/34 4.25         | CUSIP: 11044MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     53720 | PA      | $48206.64     | 0.00%             | 2034-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BROOKS AUTOMATION (ALTAR BIDCO INC)                                     | ALTAR BIDCO, INC. 2ND LIEN TL                               | CUSIP: 02090CAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3450000 | PA      | $2960531.25   | 0.21%             | 2030-02-01      | Floating      | 10.51%                | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                        | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A        | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $1800743.46   | 0.13%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                                    | CARNIVAL CORPORATION EUR TERM LOAN B                        | CUSIP: P2121YAP3<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |  23575309 | PA      | $24325404.32  | 1.71%             | 2025-06-30      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                                    | CARNIVAL CORPORATION USD TERM LOAN B                        | CUSIP: P2121YAN8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |   1777215 | PA      | $1708979.01   | 0.12%             | 2025-06-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                              | CARVANA CO COMPANY GUAR 144A 05/30 10.25                    | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |   5800000 | PA      | $2736170.07   | 0.19%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CASINO GUICHARD PERRACHON SA                                            | CASINO GUICHARD PERRACHON SA 2021 EUR TERM LOAN             | CUSIP: 944WEWII6<br>LEI: 969500VHL8F83GBL6L29 | Long             | LON              | CORP              | FR        |   5600000 | PA      | $5100584.79   | 0.36%             | 2025-08-31      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                              | CDW LLC/CDW FINANCE COMPANY GUAR 12/31 3.569                | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2300000 | PA      | $1899595.78   | 0.13%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                    | CENGAGE LEARNING INC 2021 TERM LOAN B                       | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |   3095067 | PA      | $2790883.85   | 0.20%             | 2026-07-14      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                  | CGG SA SR SECURED 144A 04/27 7.75                           | CUSIP: ACI1WM066<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |  13419000 | PA      | $11787754.36  | 0.83%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                  | CGG SA SR SECURED 144A 04/27 8.75                           | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   8648000 | PA      | $6927096.52   | 0.49%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                  | CGG SA SR SECURED REGS 04/27 7.75                           | CUSIP: ACI1WLTT7<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |   3100000 | PA      | $2723156.61   | 0.19%             | 2027-04-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CHAMPION PATH HOLDINGS LIMITED                                          | CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/26 4.5          | CUSIP: ACI1V8V80<br>LEI: 549300QWJFPV5413KI88 | Long             | DBT              | CORP              | VG        |   3300000 | PA      | $2881395.00   | 0.20%             | 2026-01-27      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHAMPION PATH HOLDINGS LIMITED                                          | CHAMPION PATH HOLDINGS COMPANY GUAR REGS 01/28 4.85         | CUSIP: ACI1V8M31<br>LEI: 549300QWJFPV5413KI88 | Long             | DBT              | CORP              | VG        |   2800000 | PA      | $2362360.00   | 0.17%             | 2028-01-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2            | CUSIP: 16162WPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7640 | PA      | $7030.52      | 0.00%             | 2035-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S1                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S1 A5             | CUSIP: 16163FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1193265 | PA      | $491750.28    | 0.03%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A8            | CUSIP: 16163EAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288802 | PA      | $156866.65    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S5                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A10           | CUSIP: 161631AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000097 | PA      | $489481.53    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                        | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |  29415000 | PA      | $26841187.50  | 1.89%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-2RA                                               | CIFC FUNDING LTD CIFC 2014 2RA INC 144A                     | CUSIP: 125475AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4100000 | PA      | $941709.89    | 0.07%             | 2030-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-3A                                                | CIFC FUNDING LTD CIFC 2014 3A INC 144A                      | CUSIP: 12549TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $629720.94    | 0.04%             | 2026-07-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                               | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR         | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |   1000000 | NS      | $930000.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                                 | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ              | CUSIP: 17311QBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327883 | PA      | $161810.02    | 0.01%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-6 2009-6                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 6 17A2 144A        | CUSIP: 17315JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9341233 | PA      | $5544372.81   | 0.39%             | 2036-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-6                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 6 3A3 144A         | CUSIP: 17322WAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10844807 | PA      | $6262047.57   | 0.44%             | 2035-11-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 1A1A           | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251580 | PA      | $219683.00    | 0.02%             | 2037-03-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A           | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750024 | PA      | $1463291.14   | 0.10%             | 2037-04-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603688 | PA      | $532344.23    | 0.04%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                             | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A13            | CUSIP: 12566VAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137041 | PA      | $122391.09    | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                             | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A5             | CUSIP: 12566VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1104574 | PA      | $986447.36    | 0.07%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                         | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M89<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     20000 | PA      | $20000.00     | 0.00%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                         | CHICAGO IL CHI 01/29 FIXED 7.045                            | CUSIP: 167486M97<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |    125000 | PA      | $126983.99    | 0.01%             | 2029-01-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                         | CHICAGO IL CHI 01/40 FIXED 7.517                            | CUSIP: 167486MK2<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |   5000000 | PA      | $5277743.00   | 0.37%             | 2040-01-01      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO                                                         | CHICAGO IL CHI 01/42 FIXED 7.75                             | CUSIP: 167486D22<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |     51000 | PA      | $51854.48     | 0.00%             | 2042-01-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                          | COMEXPOSIUM 2019 EUR TERM LOAN B                            | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |  24800000 | PA      | $22255402.83  | 1.56%             | 2026-03-28      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1                                 | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM             | CUSIP: 20173WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    928420 | PA      | $148663.30    | 0.01%             | 2049-12-10      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| CORK STREET CLO DESIGNATED ACTIVITY CO 1A                               | CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A            | CUSIP: ACI0QPJC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    799634 | PA      | $250812.21    | 0.02%             | 2028-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                           | CORSAIR INTERNATIONAL SECURED 144A 01/29 VAR                | CUSIP: ACI236434<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |   1100000 | PA      | $1165719.50   | 0.08%             | 2029-01-28      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                           | CORSAIR INTERNATIONAL UNSECURED 144A 01/27 VAR              | CUSIP: ACI236343<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |   1300000 | PA      | $1381147.46   | 0.10%             | 2027-01-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COSAINT RE PTE LTD                                                      | COSAINT RE PTE LTD BONDS 144A 04/28 VAR                     | CUSIP: 22112CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |   1900000 | PA      | $1539000.00   | 0.11%             | 2028-04-03      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| COTY INC                                                                | COTY INC TERM LOAN B                                        | CUSIP: 22207EBK9<br>LEI: 549300BO9IWPF3S48F93 | Long             | LON              | CORP              | US        |   6045060 | PA      | $6256581.79   | 0.44%             | 2025-04-07      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                 | COUNTRY GARDEN HLDGS SR SECURED REGS 01/24 8                | CUSIP: G24524AV5<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    300000 | PA      | $232546.02    | 0.02%             | 2024-01-27      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                 | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7              | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    300000 | PA      | $171755.83    | 0.01%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                 | COUNTRY GARDEN HLDGS SR SECURED REGS 08/30 4.8              | CUSIP: ACI1PP9T8<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $106877.71    | 0.01%             | 2030-08-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                 | COUNTRY GARDEN HLDGS SR SECURED REGS 09/25 6.15             | CUSIP: ACI1FGXS4<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $131354.52    | 0.01%             | 2025-09-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                 | COUNTRY GARDEN HLDGS SR SECURED REGS 10/25 3.125            | CUSIP: ACI1S6K23<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $122720.02    | 0.01%             | 2025-10-22      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A2           | CUSIP: 12667F2R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380722 | PA      | $173637.62    | 0.01%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2004-35T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 35T2 A5           | CUSIP: 12667FQ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456811 | PA      | $348534.61    | 0.02%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7          | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2366265 | PA      | $1093892.00   | 0.08%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-28CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 28CB 5A1          | CUSIP: 12667FYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245107 | PA      | $230638.54    | 0.02%             | 2035-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-30CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 30CB 2A4          | CUSIP: 12667FJ55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366077 | PA      | $256813.86    | 0.02%             | 2035-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 37T1 A4           | CUSIP: 12667G2W2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3070547 | PA      | $2098295.02   | 0.15%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 2A6          | CUSIP: 12668BEL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924773 | PA      | $748060.41    | 0.05%             | 2036-02-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 2A1           | CUSIP: 12668ASY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226812 | PA      | $124941.48    | 0.01%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A3           | CUSIP: 12668BZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1394029 | PA      | $710246.14    | 0.05%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-26CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 26CB A18          | CUSIP: 02147WAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321022 | PA      | $184511.50    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-29T1                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 29T1 2A8          | CUSIP: 02147PAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1432569 | PA      | $909247.34    | 0.06%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A11         | CUSIP: 02149JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496848 | PA      | $192426.84    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 2A2          | CUSIP: 02149JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1486208 | PA      | $840474.75    | 0.06%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4            | CUSIP: 12668BMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240951 | PA      | $613284.27    | 0.04%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 1A2            | CUSIP: 02151AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6438427 | PA      | $3387539.95   | 0.24%             | 2037-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A5           | CUSIP: 02149VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13610614 | PA      | $1142988.02   | 0.08%             | 2037-04-25      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A8           | CUSIP: 02149VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3718717 | PA      | $1877593.61   | 0.13%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9           | CUSIP: 02149VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375168 | PA      | $189581.15    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 4A1           | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915090 | PA      | $783072.40    | 0.06%             | 2037-06-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 5A1            | CUSIP: 021482AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1425791 | PA      | $853834.16    | 0.06%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A3          | CUSIP: 02147RAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659145 | PA      | $236721.72    | 0.02%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1           | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2640144 | PA      | $2060797.98   | 0.14%             | 2046-03-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J2                                          | COUNTRYWIDE HOME LOANS CWHL 2006 J2 1A6                     | CUSIP: 126694H68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247904 | PA      | $152736.22    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                          | COUNTRYWIDE HOME LOANS CWHL 2007 10 A2                      | CUSIP: 12545CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410037 | PA      | $191101.18    | 0.01%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                      | CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR              | CUSIP: F22797RT7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $397622.40    | 0.03%             | 2024-01-23      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR          | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1100000 | PA      | $963600.00    | 0.07%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR          | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $480971.81    | 0.03%             | 2023-07-17      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR          | CUSIP: 225401AK4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $143801.69    | 0.01%             | 2025-09-12      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG JR SUBORDINA 144A VAR                | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1300000 | PA      | $934917.69    | 0.07%             | 2026-08-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/49 VAR          | CUSIP: ACI07D348<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2736000 | PA      | $2396736.00   | 0.17%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR          | CUSIP: H3698DBW3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    700000 | PA      | $561133.78    | 0.04%             | 2023-07-17      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR          | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1200000 | PA      | $1127686.36   | 0.08%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   4000000 | PA      | $3648654.12   | 0.26%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2300000 | PA      | $2023756.15   | 0.14%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 2A11               | CUSIP: 225470P23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    904075 | PA      | $501121.88    | 0.04%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    275106 | NS      | $1686399.78   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB8                                   | CREDIT BASED ASSET SERVICING A CBASS 2005 CB8 AF5           | CUSIP: 12489WQG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1309 | PA      | $1272.21      | 0.00%             | 2035-12-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS B COMMON STOCK                      | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    213502 | NS      | $1177890.53   | 0.08%             |  |  |  | No            |                  3 | On Loan: No      |
| CROWN CITY CLO 2020-2A                                                  | CROWN CITY CLO CCITY 2020 2A SUB 144A                       | CUSIP: 22823JAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1081156.80   | 0.08%             | 2035-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                  | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507        | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1371268 | PA      | $1427719.56   | 0.10%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                             | INTELSAT EMERGENCE SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |    459445 | NS      | $11026680.00  | 0.78%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                                | DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN           | CUSIP: 25277BAE8<br>LEI: 5493002K6DHWNZH8YA34 | Long             | LON              | CORP              | US        |  30952370 | PA      | $29411251.55  | 2.07%             | 2026-05-25      | Floating      | 12.32%                | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                                   | DIRECTV FINANCING LLC TERM LOAN                             | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  23091310 | PA      | $22530884.29  | 1.58%             | 2027-08-02      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                    | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10002000 | PA      | $8443788.42   | 0.59%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                    | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17500000 | PA      | $14000000.00  | 0.98%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORPORATION                                                | DISH NETWORK CORP SR UNSECURED 08/26 3.375                  | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   5900000 | PA      | $3711100.00   | 0.26%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DORIC NIMROD AIR ALPHA 2013-1 CLASS A PASS THROUGH TRUST                | DORIC NIMROD 2013 1 CL A PASS THRU CE 144A 05/25 5.25       | CUSIP: 233283AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GG        |     12700 | PA      | $12606.65     | 0.00%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DRYDEN 57 CLO LTD 2018-58A                                              | DRYDEN SENIOR LOAN FUND DRSLF 2018 58A SUB 144A             | CUSIP: 26245TAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14311000 | PA      | $6855125.71   | 0.48%             | 2031-07-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)                                  | DTEK ENERGY BV COMPANY GUAR REGS 12/27 7                    | CUSIP: ACI1XVP76<br>LEI: 9845009A70B44Q680820 | Long             | DBT              | CORP              | NL        |   8825283 | PA      | $2432468.63   | 0.17%             | 2027-12-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DUFRY ONE BV                                                            | DUFRY ONE BV COMPANY GUAR REGS 04/26 3.625                  | CUSIP: ACI1X5JS4<br>LEI: 7245003K5MN9U7XW0808 | Long             | DBT              | CORP              | NL        |   9345000 | PA      | $8898240.99   | 0.63%             | 2026-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                              | ENCINA PRIVATE CREDIT LLC NOTE                              | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  27443840 | PA      | $26855221.47  | 1.89%             | 2025-11-30      | Floating      | 4.08%                 | No            |                  3 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                             | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $10532659.76  | 0.74%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                                  | ESKOM HOLDINGS SOC LTD SR UNSECURED 144A 02/25 7.125        | CUSIP: 29646AAB2<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   1800000 | PA      | $1643578.20   | 0.12%             | 2025-02-11      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                                  | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 02/25 7.125        | CUSIP: S25221AL6<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   8800000 | PA      | $8035271.20   | 0.56%             | 2025-02-11      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ESKOM HOLDINGS SOC LTD                                                  | ESKOM HOLDINGS SOC LTD SR UNSECURED REGS 08/23 6.75         | CUSIP: S25221AC6<br>LEI: 3789001900ED06F65111 | Long             | DBT              | CORP              | ZA        |   3900000 | PA      | $3765161.40   | 0.26%             | 2023-08-06      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPERTIES LP                                                 | ESSENTIAL PROPER COMPANY GUAR 07/31 2.95                    | CUSIP: 29670VAA7<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              | CORP              | US        |    500000 | PA      | $364731.34    | 0.03%             | 2031-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                    | EUROSAIL PLC ESAIL 2007 3X D1A REGS                         | CUSIP: ACI01VU93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   4487014 | PA      | $3863408.19   | 0.27%             | 2045-06-13      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                    | EUROSAIL PLC ESAIL 2007 3X E1C REGS                         | CUSIP: G3299SAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1394472 | PA      | $1384706.67   | 0.10%             | 2045-06-13      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                              | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5         | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    158000 | PA      | $27650.00     | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01                      | FANNIE MAE   CAS CAS 2017 C01 1B1                           | CUSIP: 30711XEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2010000 | PA      | $2194303.73   | 0.15%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 368                                           | FANNIEMAE STRIP FNS 368 18                                  | CUSIP: 3136FCJ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    234871 | PA      | $34306.43     | 0.00%             | 2036-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-32                                               | FANNIE MAE FNR 2013 32 HI                                   | CUSIP: 3136ADJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    973057 | PA      | $93161.11     | 0.01%             | 2033-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-53                                               | FANNIE MAE FNR 2013 53 MI                                   | CUSIP: 3136AEFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141028 | PA      | $9363.29      | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-47                                               | FANNIE MAE FNR 2020 47 IN                                   | CUSIP: 3136BAQ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4855825 | PA      | $998368.75    | 0.07%             | 2050-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                             | MCDERMOTT INTERNATIONAL LTD COMMON STOCK                    | CUSIP: G5924V106<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |     57729 | NS      | $18473.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF13                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF13 A2C            | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2917891 | PA      | $1991790.42   | 0.14%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A1           | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980589 | PA      | $365558.05    | 0.03%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NMG PARENT                                                              | NEIMAN MARCUS USD COMMON STOCK EQUITY                       | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    152491 | NS      | $26846674.61  | 1.89%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOBLE CORPORATION PLC                                                   | NOBLE CORP PLC COMMON STOCK                                 | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |     29083 | NS      | $1096719.93   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                              | FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN        | CUSIP: 943UMZII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     12971 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                              | FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN               | CUSIP: 962XCSII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    935327 | PA      | $0.01         | 0.00%             | 2023-06-30      | Fixed         | 5.30%                 | No            |                  3 | On Loan: No      |
| FORD MOTOR COMPANY                                                      | FORD MOTOR COMPANY SR UNSECURED 05/97 7.7                   | CUSIP: 345370BS8<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |  26551000 | PA      | $25175923.71  | 1.77%             | 2097-05-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2750                                                        | FREDDIE MAC FHR 2750 SG                                     | CUSIP: 31394RFB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    992782 | PA      | $88298.83     | 0.01%             | 2034-02-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4520                                                        | FREDDIE MAC FHR 4520 AI                                     | CUSIP: 3137BLTL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    980103 | PA      | $105436.43    | 0.01%             | 2035-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                  | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 D1 144A        | CUSIP: 35563CAH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13653828 | PA      | $8392227.48   | 0.59%             | 2055-11-25      | Floating      | 5.99%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4102                                                 | FREDDIE MAC FHR 4102 NS                                     | CUSIP: 3137AUN54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    711492 | PA      | $412794.96    | 0.03%             | 2042-09-15      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                                 | FREDDIE MAC FHR 4182 HS                                     | CUSIP: 3137B0WN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68775 | PA      | $43894.14     | 0.00%             | 2043-03-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4246                                                 | FREDDIE MAC FHR 4246 SN                                     | CUSIP: 3137B4PY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5227745 | PA      | $4308610.67   | 0.30%             | 2036-02-15      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4300                                                 | FREDDIE MAC FHR 4300 SC                                     | CUSIP: 3137B82L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2207387 | PA      | $1566359.60   | 0.11%             | 2039-07-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4319                                                 | FREDDIE MAC FHR 4319 ES                                     | CUSIP: 3137B8LB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1821656 | PA      | $1210556.47   | 0.09%             | 2044-03-15      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                 | FREDDIE MAC FHR 5060 PI                                     | CUSIP: 3137F8A29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7730121 | PA      | $1242965.64   | 0.09%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                 | FREDDIE MAC   STACR STACR 2021 DNA5 B2 144A                 | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $3946146.00   | 0.28%             | 2034-01-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                 | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                 | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8800000 | PA      | $7529270.32   | 0.53%             | 2041-11-25      | Floating      | 11.73%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2          | FREDDIE MAC   STACR STACR 2015 DNA2 B                       | CUSIP: 3137G0FZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4170429 | PA      | $4188593.99   | 0.29%             | 2027-12-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                          | FREMONT HOME LOAN TRUST FHLT 2006 2 M1                      | CUSIP: 35729PPZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12459666 | PA      | $8086361.64   | 0.57%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                          | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                     | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5450225 | PA      | $2489679.24   | 0.18%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| AXIS ENERGY SERVICES HOLDINGS LLC                                       | AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES | CUSIP: 942WZK900<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      6085 | NS      | $212472.85    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                 | GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN             | CUSIP: 943ZHKII3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |   9245326 | PA      | $6742806.27   | 0.47%             | 2027-10-18      | Fixed         | 12.56%                | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                 | GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN                 | CUSIP: 943ZERII1<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |  15434793 | PA      | $15241858.09  | 1.07%             | 2027-10-15      | Fixed         | 12.14%                | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                              | REPUBLIC OF GHANA BANK GUARANT 144A 10/30 10.75             | CUSIP: 374422AD5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    800000 | PA      | $565808.00    | 0.04%             | 2030-10-14      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                              | REPUBLIC OF GHANA SR UNSECURED 144A 02/27 6.375             | CUSIP: 37443GAG6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1100000 | PA      | $426283.00    | 0.03%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                              | REPUBLIC OF GHANA SR UNSECURED 144A 02/35 7.875             | CUSIP: 37443GAH4<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |   1300000 | PA      | $471263.00    | 0.03%             | 2035-02-11      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                              | REPUBLIC OF GHANA SR UNSECURED 144A 03/61 8.75              | CUSIP: 37443GAJ0<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    400000 | PA      | $141696.00    | 0.01%             | 2061-03-11      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GIP II BLUE HOLDING LP                                                  | GIP II BLUE HOLDING L P TERM LOAN B                         | CUSIP: 31575AAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1074 | PA      | $1066.31      | 0.00%             | 2028-09-29      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| GLACIER FUNDING CDO III LTD 2005-3A                                     | GLACIER FUNDING CDO GLCR 2005 3A A1 144A                    | CUSIP: 37638XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7163741 | PA      | $929731.83    | 0.07%             | 2035-08-04      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                   | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25             | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $320331.92    | 0.02%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| STEARNS HOLDINGS LLC                                                    | STEARNS HOLDING LLC CLASS B STEARNS HOLDING LLC CLASSB      | CUSIP: 9353MP906<br>LEI: 549300B7MV13XJXKBZ36 | Long             | EC               | CORP              | US        |     42113 | NS      | $0.04         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                      | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR           | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |  25700000 | NS      | $26456815.28  | 1.86%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                   | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |   2152500 | NS      | $4434552.72   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNIVERSE CORPORATION                                                   | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |   4987151 | NS      | $4792652.49   | 0.34%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                     | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85      | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $886080.50    | 0.06%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                     | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 4.214     | CUSIP: 38122ND66<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2400000 | PA      | $1879166.88   | 0.13%             | 2050-06-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-143                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 143 IJ              | CUSIP: 38378GRT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    255018 | PA      | $30811.02     | 0.00%             | 2041-09-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI               | CUSIP: 38378HFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    141340 | PA      | $25180.37     | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-97                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 97 WS               | CUSIP: 38375GYG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    873767 | PA      | $80957.28     | 0.01%             | 2042-01-20      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| GREENE KING FINANCE PLC                                                 | GREENE KING FINANCE PLC SECURED 12/34 VAR                   | CUSIP: B06FKZII2<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $326658.32    | 0.02%             | 2034-12-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO BV 2015-1A                                          | GROSVENOR PLACE CLO BV GROSV 2015 1A SUB 144A               | CUSIP: 39927WAV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |    750000 | PA      | $141288.95    | 0.01%             | 2029-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                 | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A           | CUSIP: 36255MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7800000 | PA      | $7362924.66   | 0.52%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                 | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A           | CUSIP: 36255MAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1310121.40   | 0.09%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2022-GTWY                                | GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A          | CUSIP: 36266DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2623715.64   | 0.18%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                    | GSAMP TRUST GSAMP 2007 FM1 A1                               | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338523 | PA      | $725509.08    | 0.05%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)               | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |    572252 | NS      | $3164553.56   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                 | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422       | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4940252 | PA      | $4746601.22   | 0.33%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1                    | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530790 | PA      | $437197.79    | 0.03%             | 2035-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                        | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 1A1                    | CUSIP: 362290AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1345405 | PA      | $822162.99    | 0.06%             | 2037-03-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| HAMPTON ROADS PPV LLC                                                   | HAMPTON ROADS PPV LLC BONDS 144A 06/53 6.171                | CUSIP: 409322AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1559662.65   | 0.11%             | 2053-06-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC COMPANY GUAR 11/95 7.5                              | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $5167545.26   | 0.36%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                           | HESTIA RE LTD UNSECURED 144A 04/25 VAR                      | CUSIP: 42815KAA0<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |   1878000 | PA      | $1549350.00   | 0.11%             | 2025-04-22      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORPORATION                                                 | HF SINCLAIR CORP SR UNSECURED 10/30 4.5                     | CUSIP: 403949AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10345000 | PA      | $9105533.69   | 0.64%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                          | HOMEBANC MORTGAGE TRUST HMBT 2005 1 M6                      | CUSIP: 43739EAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79902 | PA      | $61477.77     | 0.00%             | 2035-03-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                     | VICI PROPERTIES INC REIT USD.01                             | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |    210228 | NS      | $6811387.20   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                             | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 04/27 4.75        | CUSIP: G463PSAE4<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $174750.00    | 0.01%             | 2027-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO LTD                                             | HUARONG FINANCE 2017 CO COMPANY GUAR REGS 11/27 4.25        | CUSIP: ACI0YNJ23<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $171160.56    | 0.01%             | 2027-11-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                             | HUARONG FINANCE 2019 COMPANY GUAR REGS 02/30 3.375          | CUSIP: ACI1K6N02<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    300000 | PA      | $228967.16    | 0.02%             | 2030-02-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                             | HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5            | CUSIP: ACI1C6PX7<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |   1300000 | PA      | $1080181.57   | 0.08%             | 2029-05-29      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                             | HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875          | CUSIP: ACI1GS152<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    700000 | PA      | $553856.65    | 0.04%             | 2029-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HUDSON RIVER TRADING LLC                                                | HUDSON RIVER TRADING LLC 2021 TERM LOAN                     | CUSIP: 44413EAF5<br>LEI: 549300SMOBUC8O5UOE10 | Long             | LON              | CORP              | US        |   4751637 | PA      | $4505146.06   | 0.32%             | 2028-03-20      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                           | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9      | CUSIP: 942UCF009<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | EC               | CORP              | US        |      2841 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-F2                                      | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F2 2A1             | CUSIP: 45670JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6454644 | PA      | $2095583.29   | 0.15%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     45070 | NS      | $338025.00    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                 | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2             | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2559996 | PA      | $1384455.60   | 0.10%             | 2037-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                     | POSEIDON BIDCO SASU EUR TERM LOAN B                         | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |  15800000 | PA      | $14572396.50  | 1.02%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                            | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5             | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |  33857000 | PA      | $30352461.93  | 2.13%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                            | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B        | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |   8808633 | PA      | $8522352.25   | 0.60%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| INTER MEDIA AND COMMUNICATION SPA                                       | INTER MEDIA COMMUNICATIO SR SECURED 144A 02/27 6.75         | CUSIP: ACI239TV9<br>LEI: 81560082CE2ED97AFD36 | Long             | DBT              | CORP              | IT        |   7000000 | PA      | $7122235.70   | 0.50%             | 2027-02-09      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                     | INTESA SANPAOLO SPA JR SUBORDINA REGS 12/49 VAR             | CUSIP: ACI0RSP49<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   2400000 | PA      | $2485005.68   | 0.17%             | 2027-01-11      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                     | INTESA SANPAOLO SPA SR UNSECURED 144A 11/33 VAR             | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |  14304000 | PA      | $14551961.84  | 1.02%             | 2033-11-21      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| JACKSON PARK TRUST 2019-LIC                                             | JACKSON PARK TRUST JAX 2019 LIC E 144A                      | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4368000 | PA      | $3157712.81   | 0.22%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 2A1            | CUSIP: 466287AP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4330401 | PA      | $3859540.20   | 0.27%             | 2037-03-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2                  | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947483 | PA      | $704021.73    | 0.05%             | 2036-02-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 3A1                  | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334007 | PA      | $240340.25    | 0.02%             | 2036-06-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                        | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 3A3M                 | CUSIP: 46629DBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441196 | PA      | $359084.06    | 0.03%             | 2037-01-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3A           | CUSIP: 46628SAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100498 | PA      | $30418.34     | 0.00%             | 2036-07-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                            | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 3A1                  | CUSIP: 466247WT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10985 | PA      | $10285.40     | 0.00%             | 2035-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| AA BOND CO LIMITED                                                      | AA BOND CO LTD SR SECURED REGS 07/50 5.5                    | CUSIP: ACI1JGR32<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |   3541000 | PA      | $3713647.57   | 0.26%             | 2050-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                               | AMERICAN AIRLINES, INC. 2021 TERM LOAN                      | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |  12003000 | PA      | $11971132.04  | 0.84%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    189425 | PA      | $123126.13    | 0.01%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2110566 | PA      | $1132920.37   | 0.08%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-6                                            | LEHMAN MORTGAGE TRUST LMT 2007 6 1A11                       | CUSIP: 52521NAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64634 | PA      | $57580.18     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-11                                                 | LEHMAN XS TRUST LXS 2006 11 2A2                             | CUSIP: 52522WAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373176 | PA      | $401914.17    | 0.03%             | 2046-06-24      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-7N                                                 | LEHMAN XS TRUST LXS 2007 7N 1A1A                            | CUSIP: 52524GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1598781 | PA      | $1426475.19   | 0.10%             | 2047-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                    | REGIONALCARE HOSPITAL PARTNERS 2018 TERM LOAN B             | CUSIP: 75915TAD4<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |   2278971 | PA      | $2153912.91   | 0.15%             | 2025-11-16      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| LNR CDO LTD 2005-1A                                                     | LNR CDO LTD LNR 2005 1A A 144A                              | CUSIP: 53944PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3230769 | PA      | $51566.30     | 0.00%             | 2043-02-28      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL2                                    | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL2 2A4           | CUSIP: 542514SD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4251103 | PA      | $3855870.20   | 0.27%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-3                                           | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A                | CUSIP: 57109M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14553 | PA      | $1174153.62   | 0.08%             | 2029-09-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ALT LN TR 2006-3                                                  | MASTR ALTERNATIVE LOANS TRUST MALT 2006 3 2A2               | CUSIP: 57645DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2814877 | PA      | $1044921.23   | 0.07%             | 2036-07-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                           | MELCO RESORTS FINANCE SR UNSECURED 144A 06/25 4.875         | CUSIP: 58547DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   4300000 | PA      | $3956247.21   | 0.28%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                           | MELCO RESORTS FINANCE SR UNSECURED 144A 07/28 5.75          | CUSIP: 58547DAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   4100000 | PA      | $3434648.64   | 0.24%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                           | MELCO RESORTS FINANCE SR UNSECURED 144A 12/29 5.375         | CUSIP: 58547DAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    200000 | PA      | $160818.00    | 0.01%             | 2029-12-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE LIMITED                                           | MELCO RESORTS FINANCE SR UNSECURED REGS 07/28 5.75          | CUSIP: G5975LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    200000 | PA      | $167543.84    | 0.01%             | 2028-07-21      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                        | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A2D           | CUSIP: 59020U6M2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6068695 | PA      | $1419867.00   | 0.10%             | 2037-03-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1             | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035206 | PA      | $1117782.51   | 0.08%             | 2036-03-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                                  | ADAGIO CLO ADAGI VI A SUB 144A                              | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   1800000 | PA      | $502987.98    | 0.04%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                              | MGM CHINA HOLDINGS LTD SR UNSECURED 144A 06/25 5.25         | CUSIP: 55300RAE1<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |   2400000 | PA      | $2260842.84   | 0.16%             | 2025-06-18      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                    | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1              | CUSIP: 007036AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2514821 | PA      | $2182983.93   | 0.15%             | 2035-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-2                                    | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 2 6A1              | CUSIP: 007034AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474170 | PA      | $565581.78    | 0.04%             | 2036-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C                | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5765019 | PA      | $2853208.73   | 0.20%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS D 144A         | CUSIP: 61692AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8125000 | PA      | $6421315.06   | 0.45%             | 2036-12-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| ADLER REAL ESTATE AG                                                    | ADLER REAL ESTATE AG SR UNSECURED REGS 04/26 3              | CUSIP: BD5N5GII7<br>LEI: 529900Y6QFNN3D363B76 | Long             | DBT              | CORP              | DE        |    400000 | PA      | $299190.63    | 0.02%             | 2026-04-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A2             | CUSIP: 61751MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772781 | PA      | $365324.26    | 0.03%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                                       | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75           | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |   1800000 | PA      | $1554692.15   | 0.11%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN STATES TELEPHONE & TELEGRAPH COMPANY                           | MOUNTAIN STATES TEL + TE SR UNSECURED 05/30 7.375           | CUSIP: 624284BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6900000 | PA      | $6713513.70   | 0.47%             | 2030-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP                           | MPT OPER PARTNERSP/FINL COMPANY GUAR 04/30 3.375            | CUSIP: ACI1WKS78<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1664436.68   | 0.12%             | 2030-04-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                            | MPH ACQUISITION HOLDINGS LLC 2021 TERM LOAN B               | CUSIP: 55328HAK7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |  15741000 | PA      | $13517583.75  | 0.95%             | 2028-09-01      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| N-STAR REL CDO VIII LTD 2006-8A                                         | N STAR REAL ESTATE CDO LTD NSTAR 2006 8A B 144A             | CUSIP: 62940FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    468218 | PA      | $466169.15    | 0.03%             | 2041-02-01      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                                | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/31 3               | CUSIP: 63633DAF1<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |    800000 | PA      | $578554.93    | 0.04%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH                  | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH E 144A        | CUSIP: 63874LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4327235.10   | 0.30%             | 2034-11-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)                    | SUNSHINE LUXEMBOURG VII SARL 2021 TERM LOAN B3              | CUSIP: L8908YAE8<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |    486338 | PA      | $466952.09    | 0.03%             | 2026-10-01      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL (ENDURANCE INTERNATIONAL GROUP HOLDINGS INC)            | ENDURANCE INTERNATIONAL GROUP TERM LOAN B                   | CUSIP: 29279UAB2<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |   7000000 | PA      | $6317500.00   | 0.44%             | 2028-02-10      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL (ENDURANCE INTERNATIONAL GROUP HOLDINGS INC)            | ENDURANCE INTERNATIONAL SR UNSECURED 144A 02/29 6           | CUSIP: 29279XAA8<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $688700.00    | 0.05%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                         | NGD HOLDINGS BV SR SECURED 12/26 6.75                       | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |   1260719 | PA      | $587022.28    | 0.04%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                     | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81                | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |  21100000 | PA      | $17953244.96  | 1.26%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                   | NOBLE FINANCE CO SECURED 02/28 11                           | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     61021 | PA      | $67885.86     | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                   | NOBLE FINANCE CO SECURED 144A 02/28 11                      | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     43594 | PA      | $48498.33     | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                           | NPC UKRENERGO GOVT GUARANT 144A 11/28 6.875                 | CUSIP: 63718LAA2<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |    400000 | PA      | $71190.00     | 0.01%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                           | NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875                 | CUSIP: ACI21LG55<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |    600000 | PA      | $106785.00    | 0.01%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2020-2 CLASS A PASS THROUGH TRUST                            | AIR CANADA 2020 2A PTT PASS THRU CE 144A 10/30 5.25         | CUSIP: 00909DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   1197750 | PA      | $1133373.58   | 0.08%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NUUDAY A/S                                                              | NUUDAY A S EUR TERM LOAN B                                  | CUSIP: 950BKAII4<br>LEI: 5493003B50SM3XIJDQ79 | Long             | LON              | CORP              | DK        |   6600000 | PA      | $6579285.52   | 0.46%             | 2027-12-31      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                                    | ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/26 7.35          | CUSIP: G67106AC1<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |    355170 | PA      | $196231.43    | 0.01%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED                             | ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72         | CUSIP: G6711KAD7<br>LEI: 549300L7LF2PIRAWID66 | Long             | DBT              | CORP              | KY        |   9760817 | PA      | $2611018.55   | 0.18%             | 2026-12-01      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                     | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000      | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    743517 | PA      | $1821.62      | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                     | ODEBRECHT OIL + FINANCE COMPANY GUAR REGS 12/99 0.0000      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    535966 | PA      | $1313.12      | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                         | OI SA COMPANY GUAR 07/25 VAR                                | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |  64484000 | PA      | $11142918.38  | 0.78%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                      | ORACLE CORP SR UNSECURED 03/61 4.1                          | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $1816684.48   | 0.13%             | 2061-03-25      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                      | ORACLE CORP SR UNSECURED 04/60 3.85                         | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    200000 | PA      | $133769.36    | 0.01%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORIENT POINT CDO LTD                                                    | ORIENT POINT CDO LTD ORPT 2005 1A A1VB 144A                 | CUSIP: 68619MAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  57300084 | PA      | $19166362.26  | 1.35%             | 2045-10-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ORIENT POINT CDO LTD                                                    | ORIENT POINT CDO LTD ORPT 2005 1A A1VF 144A                 | CUSIP: 68619MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  57124854 | PA      | $19107749.53  | 1.34%             | 2045-10-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75              | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  15063000 | PA      | $11582234.73  | 0.81%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3               | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3862000 | PA      | $3441037.25   | 0.24%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $3758822.76   | 0.26%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    257000 | PA      | $183164.58    | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2491000 | PA      | $1863093.23   | 0.13%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6               | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1036000 | PA      | $786503.89    | 0.06%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   8191000 | PA      | $6381838.92   | 0.45%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75              | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     46000 | PA      | $31020.50     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5               | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     65000 | PA      | $46121.01     | 0.00%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                 | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $677206.77    | 0.05%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                            | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                  | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |  18496000 | PA      | $15474396.52  | 1.09%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                             | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                  | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   7494000 | PA      | $5899291.79   | 0.41%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                      | ALLY FINANCIAL INC SR UNSECURED 11/31 8                     | CUSIP: 370425RZ5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   3550000 | PA      | $3700778.94   | 0.26%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                           | PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25         | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10800000 | PA      | $9143113.03   | 0.64%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                                     | ALTICE FINANCING SA SR SECURED 144A 08/29 5.75              | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |   6551000 | PA      | $5165056.49   | 0.36%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                   | PROMOTORA DE INFORMACIONES SA 2022 EUR PIK JUNIOR TERM LOAN | CUSIP: 945BECII5<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |   8037079 | PA      | $7527876.43   | 0.53%             | 2027-06-30      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                   | PROMOTORA DE INFORMACIONES SA 2022 EUR SENIOR TERM LOAN     | CUSIP: 945BEBII7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |  24591159 | PA      | $22638290.70  | 1.59%             | 2026-12-31      | Floating      | 6.71%                 | No            |                  3 | On Loan: No      |
| PROSUS NV                                                               | PROSUS NV SR UNSECURED 144A 01/34 2.778                     | CUSIP: ACI22XT05<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   1600000 | PA      | $1237425.91   | 0.09%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                               | PROSUS NV SR UNSECURED 144A 07/33 1.985                     | CUSIP: ACI1Z3X77<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   1100000 | PA      | $799671.80    | 0.06%             | 2033-07-13      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                               | PROSUS NV SR UNSECURED REGS 02/51 3.832                     | CUSIP: N7163RAQ6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   1900000 | PA      | $1154518.96   | 0.08%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                      | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: ACI11ZNP4<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |  51870000 | PA      | $169560.14    | 0.01%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                      | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR      | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        | 805235000 | PA      | $2632268.36   | 0.19%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                | ALTICE FRANCE HOLDING SA SR SECURED 144A 05/27 10.5         | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |  12200000 | PA      | $9328730.00   | 0.66%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                        | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |  10867746 | PA      | $4768223.46   | 0.34%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                        | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4G9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |  11792935 | PA      | $3980115.52   | 0.28%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| QVC INC                                                                 | QVC INC SR SECURED 03/43 5.95                               | CUSIP: 747262AM5<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |   3261000 | PA      | $1616983.16   | 0.11%             | 2043-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                     | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 3A2 144A          | CUSIP: 74930PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3609000 | PA      | $1122920.50   | 0.08%             | 2036-10-27      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                     | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 4A2 144A          | CUSIP: 74930PAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $3966192.00   | 0.28%             | 2037-08-27      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3              | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11496276 | PA      | $3476503.70   | 0.24%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF3              | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7970715 | PA      | $3740511.53   | 0.26%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 1A1            | CUSIP: 751152AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350345 | PA      | $335124.74    | 0.02%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                     | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7                | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1842340 | PA      | $1593634.80   | 0.11%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS7                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS7 1A3            | CUSIP: 74923WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1056229 | PA      | $842557.92    | 0.06%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                                | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A15           | CUSIP: 751155AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313614 | PA      | $262306.48    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A2             | CUSIP: 74922TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165062 | PA      | $137840.96    | 0.01%             | 2037-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                     | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375              | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    438059 | PA      | $366168.81    | 0.03%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE HOLDINGS LLC                                                | BRIGHTHOUSE HLDGS LLC JR SUBORDINA 144A VAR                 | CUSIP: 10924BAA5<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    110000 | NS      | $98450.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A9                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A9 A5              | CUSIP: 761143AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4633182 | PA      | $1867226.63   | 0.13%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A1            | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    294668 | PA      | $113605.44    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16                         | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3            | CUSIP: 76114GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459922 | PA      | $681004.45    | 0.05%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA1                                   | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA1 2A2            | CUSIP: 74958WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469581 | PA      | $1020792.05   | 0.07%             | 2037-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                     | RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25            | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |   1614075 | PA      | $1638391.08   | 0.12%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-1                                     | RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25            | CUSIP: U76673AA7<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |   1696452 | PA      | $1722009.13   | 0.12%             | 2024-07-06      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                    | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1134675 | PA      | $982271.12    | 0.07%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                                     | REDSTONE HOLDCO 2 LP 2021 TERM LOAN                         | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  21123771 | PA      | $14726225.97  | 1.04%             | 2028-04-27      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625            | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   4200000 | PA      | $2667000.00   | 0.19%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625            | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   9200000 | PA      | $5842000.00   | 0.41%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 06/28 12.75            | CUSIP: X7435HAE6<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    100000 | PA      | $78187.50     | 0.01%             | 2028-06-24      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875            | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    200000 | PA      | $119423.50    | 0.01%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                      | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487         | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |   1500000 | PA      | $979816.28    | 0.07%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                      | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                 | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3241000 | PA      | $3078139.75   | 0.22%             | 2029-04-09      | Floating      | 11.75%                | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                         | SANDS CHINA LTD SR UNSECURED 03/27 2.8                      | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1800000 | PA      | $1544022.00   | 0.11%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                         | SANDS CHINA LTD SR UNSECURED 03/29 3.35                     | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1600000 | PA      | $1309299.33   | 0.09%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                         | SANDS CHINA LTD SR UNSECURED 08/28 5.9                      | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |  11531000 | PA      | $10812192.05  | 0.76%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                         | SANDS CHINA LTD SR UNSECURED 08/31 3.75                     | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    330000 | PA      | $260124.51    | 0.02%             | 2031-08-08      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)                                  | IHO VERWALTUNGS GMBH SR SECURED REGS 05/27 3.875            | CUSIP: ACI1C6196<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |    256000 | PA      | $232559.86    | 0.02%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SEAZEN GROUP LIMITED                                                    | SEAZEN GROUP LTD SR SECURED REGS 08/24 6                    | CUSIP: ACI1Q0RZ8<br>LEI: 5493006M8GRAQRCSCD67 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $157190.00    | 0.01%             | 2024-08-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES TRUST LLC 2006-NC2                 | SECURITIZED ASSET BACKED RECEI SABR 2006 NC2 M1             | CUSIP: 81376EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11074413 | PA      | $10172731.33  | 0.72%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-M1                                          | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A                | CUSIP: 78447T103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8350 | PA      | $4688033.61   | 0.33%             | 2029-10-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SLM STUDENT LOAN TRUST-2007-4                                           | SLM STUDENT LOAN TRUST SLMA 2007 4 R                        | CUSIP: 78444A107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7000 | PA      | $2393777.86   | 0.17%             | 2042-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A            | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3150 | PA      | $1019866.71   | 0.07%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-C                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A            | CUSIP: 78448R106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2737 | PA      | $900019.99    | 0.06%             | 2046-09-18      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B                               | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A           | CUSIP: 83403Y104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $760489.50    | 0.05%             | 2040-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C                               | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A          | CUSIP: 83405D108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38200 | PA      | $457337.55    | 0.03%             | 2040-07-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                               | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A          | CUSIP: 78471C109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3226000 | PA      | $441340.87    | 0.03%             | 2040-09-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOLENIS (OLYMPUS WATER US HOLDING CORPORATION)                          | OLYMPUS WTR US HLDG CORP SR UNSECURED REGS 10/29 5.375      | CUSIP: ACI20N2N8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |   6300000 | PA      | $4918020.13   | 0.35%             | 2029-10-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 3A                                                  | SOUTH COAST FUNDING SCF 3A A1A 144A                         | CUSIP: 83743SAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  18692914 | PA      | $1468291.04   | 0.10%             | 2038-08-10      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                               | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR            | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1009455.66   | 0.07%             | 2067-01-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| STATE AGENCY OF ROADS OF UKRAINE                                        | STATE AGE ROADS GOVT GUARANT REGS 06/30 6.25                | CUSIP: ACI1YPKX6<br>LEI: 254900FGEO8P5USHG994 | Long             | DBT              | NUSS              | UA        |   1300000 | PA      | $232297.00    | 0.02%             | 2030-06-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                               | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2     | CUSIP: 935YNTII0<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |  57140076 | PA      | $39349948.99  | 2.77%             | 2023-06-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1             | CUSIP: 863579UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    911697 | PA      | $775556.03    | 0.05%             | 2035-07-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1             | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3970605 | PA      | $2500106.84   | 0.18%             | 2036-01-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-10                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 10 2A1             | CUSIP: 86361QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2134392 | PA      | $1791338.80   | 0.13%             | 2036-11-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2003-2                                   | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 2 M1               | CUSIP: 03072SES0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37392 | PA      | $35634.98     | 0.00%             | 2033-03-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                     | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M5               | CUSIP: 86358ETK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6268519 | PA      | $4806970.83   | 0.34%             | 2035-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG           | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74478 | PA      | $62626.18     | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                       | PUG LLC 2021 INCREMENTAL TERM LOAN B                        | CUSIP: 74530DAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   9949561 | PA      | $8283009.73   | 0.58%             | 2027-02-12      | Floating      | 8.63%                 | No            |                  3 | On Loan: No      |
| STUBHUB (PUG LLC)                                                       | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  18985315 | PA      | $15805274.50  | 1.11%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                             | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/28 6.5         | CUSIP: 86389QAF9<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |   4200000 | PA      | $3268018.36   | 0.23%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                             | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 01/29 5           | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |   1200000 | PA      | $887694.00    | 0.06%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                             | STUDIO CITY FINANCE LTD COMPANY GUAR 144A 07/25 6           | CUSIP: 86389QAE2<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |   4400000 | PA      | $3821861.08   | 0.27%             | 2025-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STUDIO CITY FINANCE LIMITED                                             | STUDIO CITY FINANCE LTD COMPANY GUAR REGS 01/29 5           | CUSIP: G85381AG9<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    200000 | PA      | $147949.00    | 0.01%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                         | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1             | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180992 | PA      | $157193.80    | 0.01%             | 2037-02-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                         | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2             | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517820 | PA      | $1314757.54   | 0.09%             | 2037-02-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-2                                         | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 2 3A3             | CUSIP: 78473TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214633 | PA      | $130114.82    | 0.01%             | 2037-04-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| SURGERY PARTNERS (SURGERY CENTER HOLDINGS INC)                          | SURGERY CENTER HOLDINGS, INC. 2021 TERM LOAN                | CUSIP: 86880NAX1<br>LEI: 54930054EVI5HWPPW113 | Long             | LON              | CORP              | US        |   5522218 | PA      | $5466388.38   | 0.38%             | 2026-08-31      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                           | SYMPHONY CLO LTD SYMP 2014 14A E 144A                       | CUSIP: 87159QAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $3427253.57   | 0.24%             | 2026-07-14      | Floating      | 8.61%                 | No            |                  2 | On Loan: No      |
| SYNGENTA FINANCE NV                                                     | SYNGENTA FINANCE NV COMPANY GUAR 144A 04/25 4.892           | CUSIP: 87164KAG9<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $193880.28    | 0.01%             | 2025-04-24      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                  | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |  41968559 | PA      | $36827410.28  | 2.59%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                   | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A         | CUSIP: 87331BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    468913 | PA      | $418504.52    | 0.03%             | 2036-08-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                   | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A        | CUSIP: 87331BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9083011 | PA      | $8106587.41   | 0.57%             | 2036-08-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-6A                                   | TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1 144A          | CUSIP: 87331AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     76678 | PA      | $67668.58     | 0.00%             | 2036-12-05      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-6A                                   | TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1BF 144A        | CUSIP: 87331AAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10222722 | PA      | $9021552.42   | 0.63%             | 2036-12-05      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                                | TEAM HEALTH HOLDINGS, INC. 2022 TERM LOAN B                 | CUSIP: 87817JAG3<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |   7080078 | PA      | $5356539.39   | 0.38%             | 2027-03-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                                | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |  32653112 | PA      | $28081676.39  | 1.97%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                          | TELEMAR NORTE LESTE SA TERM LOAN 2                          | CUSIP: 938VGTII1<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  17322788 | PA      | $6062975.89   | 0.43%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| TELEMAR NORTE LESTE SA-EM RECUPERACAO JUDICIAL                          | TELEMAR NORTE LESTE SA TERM LOAN 5                          | CUSIP: 945BALII9<br>LEI: N/A                  | Long             | LON              | CORP              | BR        |  17020788 | PA      | $5957275.71   | 0.42%             | 2035-02-26      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  44401694 | PA      | $36335238.55  | 2.55%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3446154 | PA      | $3372940.31   | 0.24%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  18953846 | PA      | $18551171.69  | 1.30%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                    | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0    | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  78700000 | PA      | $5860057.09   | 0.41%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3899556 | PA      | $3470370.87   | 0.24%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  31180698 | PA      | $29638500.68  | 2.08%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANCESTRY.COM                                                            | ARCHES BUYER INC 2021 TERM LOAN B                           | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |   2270000 | PA      | $2107558.80   | 0.15%             | 2027-12-06      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| ANCESTRY.COM                                                            | ARCHES BUYER INC SR SECURED 144A 06/28 4.25                 | CUSIP: 039524AA1<br>LEI: 2549009ADY4208OH2Y47 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2663700.73   | 0.19%             | 2028-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                           | TRANSDIGM INC 2020 TERM LOAN E                              | CUSIP: 89364MBQ6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     27466 | PA      | $27219.99     | 0.00%             | 2025-05-30      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                           | TRANSDIGM INC 2022 TERM LOAN H                              | CUSIP: 948CTJII9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |  11505039 | PA      | $11479900.12  | 0.81%             | 2027-02-22      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| TROPICANA (NAKED JUICE CO)                                              | NAKED JUICE LLC 2ND LIEN TERM LOAN                          | CUSIP: 62984CAB9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |   2200000 | PA      | $1778216.00   | 0.13%             | 2030-01-24      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                   | UBER TECHNOLOGIES, INC. 2021 TERM LOAN B                    | CUSIP: 90351JAF1<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |   1385263 | PA      | $1384522.04   | 0.10%             | 2027-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                            | UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375            | CUSIP: ACI1J9SD5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |   2495000 | PA      | $497431.19    | 0.03%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                            | UKRAINE GOVERNMENT SR UNSECURED REGS 01/32 4.375            | CUSIP: BL1G49II5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |  15028000 | PA      | $2996150.66   | 0.21%             | 2032-01-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                            | UKRAINE GOVERNMENT SR UNSECURED REGS 09/24 7.75             | CUSIP: ACI0HJH07<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |   9800000 | PA      | $2464259.00   | 0.17%             | 2024-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| UNIQUE PUB FINANCE CO PLC                                               | UNIQUE PUB FINANCE CO ASSET BACKED REGS 06/27 5.659         | CUSIP: 743541II7<br>LEI: 213800FOMWLKHQTI5562 | Long             | DBT              | CORP              | GB        |    711286 | PA      | $849288.74    | 0.06%             | 2027-06-30      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                      | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15            | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     77321 | PA      | $68608.70     | 0.00%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED GROUP BV                                                         | UNITED GROUP BV SR SECURED REGS 07/24 4.875                 | CUSIP: ACI0W96J3<br>LEI: 213800PC85O8BJ7DU398 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $200055.24    | 0.01%             | 2024-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2304000 | PA      | $2303535.35   | 0.16%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8189000 | PA      | $8163052.26   | 0.57%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 02/23 0.00000                                 | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    402000 | PA      | $400003.34    | 0.03%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2130000 | PA      | $2115470.76   | 0.15%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 2017-28A                                                     | APIDOS CLO APID 2017 28A SUB 144A                           | CUSIP: 03766YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8800000 | PA      | $2930672.27   | 0.21%             | 2031-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| APOLLO COMMERCIAL REAL ESTATE FINANCE INC                               | APOLLO CMMRL REAL EST FI SR SECURED 144A 06/29 4.625        | CUSIP: 03762UAD7<br>LEI: 549300E0AN7M2AQHSY29 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1651481.40   | 0.12%             | 2029-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC             | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  20566000 | PA      | $13040472.83  | 0.92%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC             | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875         | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  30470000 | PA      | $29559647.81  | 2.08%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UPFIELD BV (AKA: FLORA FOOD GROUP, SIGMA BIDCO BV)                      | SIGMA BIDCO B.V. 2018 EUR TERM LOAN B                       | CUSIP: 933XDNII8<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |  23000000 | PA      | $21450469.77  | 1.51%             | 2025-07-02      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST                            | US AIRWAYS 2013 1A PTT PASS THRU CE 05/27 3.95              | CUSIP: 90346WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    532597 | PA      | $484528.62    | 0.03%             | 2027-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | U.S. RENAL CARE, INC. 2019 TERM LOAN B                      | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  34695010 | PA      | $19580996.16  | 1.38%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | US RENAL CARE INC 2021 TERM LOAN B                          | CUSIP: 90290PAQ7<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |  18411654 | PA      | $10391077.34  | 0.73%             | 2026-06-26      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |   8644000 | PA      | $1901680.00   | 0.13%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                         | VALARIS LTD SR SECURED 04/28 8.25                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   7674000 | PA      | $7728680.78   | 0.54%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                         | VALARIS LTD SR SECURED 144A 04/28 8.25                      | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3859000 | PA      | $3886497.15   | 0.27%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                                 | VALE SA SUBORDINATED 12/49 VAR                              | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        | 250000000 | PA      | $18052464.61  | 1.27%             | 2049-12-29      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25               | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    598000 | PA      | $56810.00     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25          | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     70000 | PA      | $6125.00      | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC                                                          | VERITAS US INC 2021 TERM LOAN B                             | CUSIP: G9341JAN0<br>LEI: 549300RFUWCPWS8FQ104 | Long             | LON              | CORP              | US        |  31176930 | PA      | $22152300.12  | 1.56%             | 2025-09-01      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| VERITAS US INC / VERITAS BERMUDA LTD                                    | VERITAS US INC/BERMUDA L SR SECURED 144A 09/25 7.5          | CUSIP: 92346LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12780000 | PA      | $8829303.26   | 0.62%             | 2025-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VIAD CORP                                                               | VIAD CORP INITIAL TERM LOAN                                 | CUSIP: 92553BAL7<br>LEI: 549300PXU4ZW7LPO5Y40 | Long             | LON              | CORP              | US        |   4443750 | PA      | $4214630.25   | 0.30%             | 2028-07-30      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                   | VICI PROPERTIES / NOTE COMPANY GUAR 144A 01/28 4.5          | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2815674.63   | 0.20%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                   | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75         | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $585636.54    | 0.04%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                   | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875        | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3300000 | PA      | $2897001.43   | 0.20%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                   | VICI PROPERTIES / NOTE COMPANY GUAR 144A 09/26 4.5          | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4050000 | PA      | $3816993.21   | 0.27%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                      | VIKING CRUISES LTD SR SECURED 144A 05/25 13                 | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |  13655000 | PA      | $14428377.14  | 1.01%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHIP VII LTD                                       | VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625        | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    100000 | PA      | $80630.00     | 0.01%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                                                          | VOC ESCROW LTD SR SECURED 144A 02/28 5                      | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |  13238000 | PA      | $11406919.84  | 0.80%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                           | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |  20412000 | PA      | $16202025.00  | 1.14%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-AMN1                                      | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 AMN1 A3             | CUSIP: 92978EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2345716 | PA      | $924195.29    | 0.06%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2            | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531151 | PA      | $477177.39    | 0.03%             | 2037-02-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A1            | CUSIP: 93364FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422595 | PA      | $353586.88    | 0.02%             | 2037-07-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1            | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    864521 | PA      | $793947.71    | 0.06%             | 2037-07-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| CAYENNE AVIATION LLC                                                    | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5         | CUSIP: 942UCF900<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     17047 | NS      | $4575071.22   | 0.32%             |  |  |  | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3           | CUSIP: 93363NAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762903 | PA      | $657385.82    | 0.05%             | 2036-10-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-2 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 2 1A6             | CUSIP: 93934FLW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1153720 | PA      | $1063963.47   | 0.07%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-1                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 1 1A8             | CUSIP: 93935PAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2538009 | PA      | $1997555.39   | 0.14%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA5                                     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA5 A1B           | CUSIP: 93936RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117825 | PA      | $15291.71     | 0.00%             | 2047-05-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                             | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |  62396959 | PA      | $57561194.68  | 4.05%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WEST MARINE (RISING TIDE HOLDINGS INC)                                  | RISING TIDE HOLDINGS INC TERM LOAN                          | CUSIP: 76770EAB3<br>LEI: 254900T03WM6VU0KWL83 | Long             | LON              | CORP              | US        |   5135000 | PA      | $2439125.00   | 0.17%             | 2028-06-01      | Floating      | 9.48%                 | No            |                  3 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4243206 | PA      | $3299092.30   | 0.23%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                              | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B               | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |   7488393 | PA      | $6810693.57   | 0.48%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                              | WINDSTREAM SERVICES LLC 2022 INCREMENTAL TERM LOAN          | CUSIP: 948CQMII5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |  14910000 | PA      | $14224307.29  | 1.00%             | 2027-02-28      | Floating      | 8.42%                 | No            |                  3 | On Loan: No      |
| WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)                          | WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75            | CUSIP: 97382WAA1<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |  17165000 | PA      | $14027070.98  | 0.99%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                         | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |     11978 | NS      | $276452.24    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 3CB1            | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    925941 | PA      | $636380.65    | 0.04%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                      | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                  | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    500000 | PA      | $459460.00    | 0.03%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                      | WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625                | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   4535000 | PA      | $3883297.83   | 0.27%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                      | WYNN MACAU LTD SR UNSECURED 144A 10/24 4.875                | CUSIP: 98313RAC0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $567430.69    | 0.04%             | 2024-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                      | WYNN MACAU LTD SR UNSECURED 144A 10/27 5.5                  | CUSIP: 98313RAD8<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   1300000 | PA      | $1138371.00   | 0.08%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                      | WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125                | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   1200000 | PA      | $972870.00    | 0.07%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                      | WYNN MACAU LTD SR UNSECURED REGS 01/26 5.5                  | CUSIP: G98149AG5<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   4100000 | PA      | $3767572.00   | 0.26%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                    | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1           | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |  11907105 | PA      | $10826534.82  | 0.76%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                    | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |  27330000 | PA      | $24725177.70  | 1.74%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| YOSEMITE RE LTD                                                         | YOSEMITE RE LTD UNSECURED 144A 06/25 VAR                    | CUSIP: 98740RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1790000 | PA      | $1724933.50   | 0.12%             | 2025-06-06      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | BONCER BONDS 03/23 1.4                                      | CUSIP: ACI1L3HY1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        | 175494997 | PA      | $535168.41    | 0.04%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BARCLAYS REV REPO EUR                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -4053255 | PA      | $-4339571.59  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | FIXED INC CLEARING CORP.REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    893000 | PA      | $893000.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000                   | CUSIP: ACI28ZVJ0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        | 272734801 | PA      | $828651.23    | 0.06%             | 2023-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6598066 | PA      | $-6640220.80  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3321992 | PA      | $-3351609.40  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -710468 | PA      | $-720136.76   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -698216 | PA      | $-703740.17   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2675701 | PA      | $-2698153.11  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6193673 | PA      | $-6246088.38  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -17588282 | PA      | $-17819763.14 | -1.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9357680 | PA      | $-9480172.13  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BILLS 06/23 0.00000                   | CUSIP: ACI28R8F2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   5463106 | PA      | $16427.05     | 0.00%             | 2023-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2056680 | PA      | $-2071967.64  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1055147 | PA      | $-1069034.11  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO UBS AG LONDON                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1716663 | PA      | $-1737993.49  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2861190 | PA      | $-2896741.85  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                       | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   9499313 | PA      | $2220464.41   | 0.16%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1355503 | PA      | $-1454714.70  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1705805 | PA      | $-1830977.25  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -5031944 | PA      | $-5400234.90  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | DEUTSCHE REVERSE REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -1025003 | PA      | $-1099760.99  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REV REPO STANDARD CHARTERED BA ZCP                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -602329 | PA      | $-646675.61   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HSBC REVERSE REPO EUR ZCP                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        | -15551519 | PA      | $-16690302.74 | -1.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -5950452 | PA      | $-6388045.85  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -2352926 | PA      | $-2524938.79  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -3185882 | PA      | $-3418541.14  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -2200874 | PA      | $-2357647.74  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |   -370183 | PA      | $-397189.74   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPM CHASE REVERSE REPO EUR ZCP                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -8135656 | PA      | $-8729703.29  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |  -4012253 | PA      | $-4304837.22  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                       | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   9460000 | PA      | $2211275.00   | 0.16%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | DEUTSCHE REVERSE REPO GBP ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -1268181 | PA      | $-1540111.09  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REV REPO  CANADIAN IMPERIAL BA                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |  -3294004 | PA      | $-4012072.66  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2352926 | PA      | $-2380695.64  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                      | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  92410000 | PA      | $80742.85     | 0.01%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO STANDARD CHARTERE VAR 1                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4889215 | PA      | $-4943354.98  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8136410 | PA      | $-8224318.97  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2562818 | PA      | $-2582893.11  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1720058 | PA      | $-1731884.74  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1210411 | PA      | $-1219408.18  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1592647 | PA      | $-1606845.99  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -742173 | PA      | $-747640.69   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1260542 | PA      | $-1269797.18  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  22690737 | PA      | $7224503.75   | 0.51%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1575678 | PA      | $-1587246.98  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -945407 | PA      | $-951142.47   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3151355 | PA      | $-3171050.97  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1199593 | PA      | $-1207873.96  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1647307 | PA      | $-1657767.83  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2587384 | PA      | $-2601754.66  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -629252 | PA      | $-631066.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2443160 | PA      | $-2462973.92  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8354280 | PA      | $-8427667.30  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1205730 | PA      | $-1214778.78  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2100780 | PA      | $-2119625.03  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -305008 | PA      | $-307364.40   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1628028 | PA      | $-1640864.96  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -285863 | PA      | $-288902.68   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3837871 | PA      | $-3868239.29  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1785070 | PA      | $-1801863.05  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3982617 | PA      | $-4012894.33  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO MERRILL LYNCH                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3458826 | PA      | $-3485318.40  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2258869 | PA      | $-2271652.94  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8289606 | PA      | $-8412379.96  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3064618 | PA      | $-3082631.41  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -21402887 | PA      | $-21571233.55 | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -16222350 | PA      | $-16334916.55 | -1.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -662433 | PA      | $-666546.34   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9815629 | PA      | $-9917356.81  | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2325928 | PA      | $-2342057.77  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3749851 | PA      | $-3787396.24  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -28918805 | PA      | $-29206708.92 | -2.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3828112 | PA      | $-3848341.70  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3970033 | PA      | $-3995684.60  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3288396 | PA      | $-3320909.10  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11702495 | PA      | $-11815817.04 | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8221893 | PA      | $-8323731.85  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3683716 | PA      | $-3726577.70  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -999839 | PA      | $-1008491.81  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2728292 | PA      | $-2759167.41  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1939864 | PA      | $-1958702.24  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9801527 | PA      | $-9879559.28  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2019546 | PA      | $-2035702.33  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -713658 | PA      | $-715987.30   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -874253 | PA      | $-883460.69   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1351570 | PA      | $361544.98    | 0.03%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -11354090 | PA      | $-11441138.46 | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1386476 | PA      | $-1396250.29  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -935711 | PA      | $-947400.16   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1550337 | PA      | $-1562786.03  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1049808 | PA      | $-1056331.22  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1629078 | PA      | $-1639010.34  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5618321 | PA      | $-5682962.47  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1859343 | PA      | $-1872828.28  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -9494316 | PA      | $-9571356.32  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -980461 | PA      | $-990980.77   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5667857 | PA      | $-5711889.38  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7690701 | PA      | $-7712038.42  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3022026 | PA      | $-3053827.55  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -8253361 | PA      | $-8313260.98  | -0.58%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2035143 | PA      | $-2050515.96  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1382760 | PA      | $-1397021.14  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1031628 | PA      | $-1036323.70  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7690075 | PA      | $-7776951.22  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -14837246 | PA      | $-14955573.33 | -1.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6522066 | PA      | $-6550282.99  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -18891728 | PA      | $-19066497.92 | -1.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -828668 | PA      | $-836165.62   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO THE BANK OF NOVA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5610516 | PA      | $-5659083.87  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -234784 | PA      | $-237124.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ABX.HE.AA.06-1 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-652388.58   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ABX.HE.AAA.06-2 SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-227197.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ABX.HE.AAA.06-2 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-19218.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ABX.HE.AAA.06-2 SP MEI                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-264812.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ABX.HE.AAA.06-2 SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-288287.16   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ATLANTIA SPA SNR SE ICE                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | IT        |         1 | NC      | $-25364.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ATLANTIA SPA SNR SE ICE                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | IT        |         1 | NC      | $-159193.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BANCA MONTE DEI PASCHI DI  SNR SE SP JPM                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | IT        |         1 | NC      | $846.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $51952.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |  17490552 | PA      | $5015415.79   | 0.35%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $2858.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $36594.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-186459.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    114993 | PA      | $29703.27     | 0.00%             | 2046-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20230505                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-21884.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $11508.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-63631.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $6275.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $53.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-97620.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20230315                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-11216.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-101259.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-124593.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1253.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2294.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2392.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $182470.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $42490.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $155902.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOMBARDIER INC SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $8331.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $4892.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CLP SOLD USD 20230112                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $16740.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $35155.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20230427                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $204493.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-67256.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-9031.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $54172.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20230125                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-9013.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20230410                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-218200.17   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20230515                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-26229.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP BRC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-160765.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                                 | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR                  | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |    100000 | NS      | $79708.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HUF BOUGHT USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $-1165819.32  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ENERGY TRANSFER LP  SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $549.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EQUINIX INC SNR S* SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $137956.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | GAP INC SNR S* ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2806240.44  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $40818.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $808.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20230321                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $483552.87    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20230404                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-41674.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | GUARANTEED RATE INC WTS 7214419C9                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       202 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $1508.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-105792.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $6455.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $9016.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-7472.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $116902.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $166707.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-5076481.42  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-62509.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-5368.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS IBOXHY/SOFRINDX 03/20/2023 BOA                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $37982.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | TRS IBOXHY/SOFRINDX 06/20/23 GST                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-61376.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     48071 | NC      | $360532.50    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | INTELSAT JACKSON HOLDINGS S A RIGHTS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |     48585 | NC      | $327948.75    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | INTELSAT EMERGENCE SA CALL EXP 17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       332 | NC      | $664.02       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | INTELSAT EMERGENCE SA CALL EXP17FEB27                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      1051 | NC      | $3678.45      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX EXJP IG38 5Y ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-243589.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-38255.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-1709652.70  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-12249.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-247.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $86980.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20230119                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $26.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNY SOLD USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $11.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20230113                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $421650.23    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $13159.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20230104                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $800.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-8601.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $42347.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $280690.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20230314                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-10570.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PETROBRAS INTL FINANC SNR LA SP BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-16865.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PETROBRAS INTL FINANC SNR LA SP GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-22487.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PETROBRAS INTL FINANC SNR LA SP HUS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-28109.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-833310.94   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-752274.50   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ROLLS-ROYCE PLC SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-587509.78   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20230110                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $540.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20230216                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $75500.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20230223                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $12703.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer