# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-23-009129
**Filing Date:** 2023-2
**Character Count:** 336245
**Document Hash:** 9f3202ac055f490a9f6ea49fde37e621
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009129.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009129

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 23663102

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

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

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

## Series and Classes Contracts Data

### CTIVP - TCW Core Plus Bond Fund (Series ID: S000028698)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000087814 | CTIVP - TCW Core Plus Bond Fund Class 1 |  |
| C000087815 | CTIVP - TCW Core Plus Bond Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** CTIVP - TCW Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000028698

- **c. LEI of Series:** 7J8XS1OPHZ7H8XMH2936

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3947801597.00

**Total Liabilities:** $748529266.25

**Net Assets:** $3199272330.75

**Delayed Delivery Securities:** $745992248.56

**Stand-by Commitments:** $1211284.12

**Cash Not Reported:** $365207.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 481584.761700000000 | **1-Year:** 23885.123200000000 | **5-Year:** 128682.826500000000 | **10-Year:** 255835.082300000000 | **30-Year:** 584484.579300000000

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

- **3-Month:** 290.351300000000 | **1-Year:** 4966.719900000000 | **5-Year:** 64275.950900000000 | **10-Year:** 91070.661400000000 | **30-Year:** 104789.827000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087814 | -1.56%               | 3.86%                | -0.55%               |
| Class ID C000087815 | -1.68%               | 3.99%                | -0.55%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-28611942.67            | $-16615096.27                              |
| Month 2  | $-17270148.64            | $112028938.00                              |
| Month 3  | $14768449.73             | $-42149502.92                              |

**Designated Index Information**

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

- **Index Identifier:** LEH_AGG

### Schedule of Portfolio Investments

| Name                                                             | Title                                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    933187 | PA      | $868135.19    | 0.03%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCRY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7886821 | PA      | $7329517.62   | 0.23%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 31335ACR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3218947 | PA      | $3002495.55   | 0.09%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                         | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14730800 | PA      | $11999374.83  | 0.38%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                         | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16683810 | PA      | $14143440.06  | 0.44%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-13                                            | FNMA_13-13                                                              | CUSIP: 3136ACH53<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2426690 | PA      | $2261706.69   | 0.07%             | 2042-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-45                                            | FNMA_13-45                                                              | CUSIP: 3136AD3D9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    137332 | PA      | $16428.90     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA_13-81                                                       | FNMA_13-81                                                              | CUSIP: 3136AFD68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    183150 | PA      | $6061.99      | 0.00%             | 2042-10-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-54                                            | FNMA_18-54                                                              | CUSIP: 3136B2YM8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    864692 | PA      | $831822.91    | 0.03%             | 2047-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA_19-1-KP                                                     | FNMA_19-1                                                               | CUSIP: 3136B3A34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1329771 | PA      | $1215511.65   | 0.04%             | 2049-02-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-86                                            | FNMA_18-86                                                              | CUSIP: 3136B3SX9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    603953 | PA      | $581885.65    | 0.02%             | 2047-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-94                                            | FNMA_18-94D                                                             | CUSIP: 3136B3WS5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    656233 | PA      | $622167.52    | 0.02%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREEDIE MAC FHLMC_4037                                           | FHLMC_4037                                                              | CUSIP: 3137ANUN3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    143572 | PA      | $4298.65      | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4093                | FHLMC_4093                                                              | CUSIP: 3137AST20<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2157500 | PA      | $481509.56    | 0.02%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K155              | FHLMC_K155                                                              | CUSIP: 3137FG6T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6990000 | PA      | $6549695.71   | 0.20%             | 2033-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138ELXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    451130 | PA      | $471163.12    | 0.01%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138ERDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1414569 | PA      | $1400095.36   | 0.04%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138ET7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999324 | PA      | $951339.17    | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138NYGE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1564302 | PA      | $1423332.81   | 0.04%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138W9GN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    511619 | PA      | $465507.04    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    527070 | PA      | $479564.04    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138W9MK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4923525 | PA      | $4808839.96   | 0.15%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    930151 | PA      | $887907.99    | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR OR LESS L                                      | CUSIP: 3138WXG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    297253 | PA      | $265507.46    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138XJ6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1814894 | PA      | $1765599.46   | 0.06%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_01-M2                                        | FNMA_01-M2                                                              | CUSIP: 313920HM5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      9170 | PA      | $9119.07      | 0.00%             | 2031-06-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-8                                             | FNMA_06-8                                                               | CUSIP: 31394VV64<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    637151 | PA      | $52308.93     | 0.00%             | 2036-03-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_2980                                           | FHLMC_2980                                                              | CUSIP: 31395UF63<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    217159 | PA      | $18888.56     | 0.00%             | 2034-11-15      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31401A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8540 | PA      | $8569.39      | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3662797 | PA      | $3398324.48   | 0.11%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA >7 YR BALLOON MULTI                                                | CUSIP: 3140HXWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4525000 | PA      | $3130739.58   | 0.10%             | 2040-04-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140KSVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21936128 | PA      | $17884675.45  | 0.56%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14100790 | PA      | $11493020.11  | 0.36%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3014199 | PA      | $2949485.07   | 0.09%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q8DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1781158 | PA      | $1650515.14   | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4970223 | PA      | $4618872.83   | 0.14%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1650074 | PA      | $1616874.20   | 0.05%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140QBBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2149664 | PA      | $2000490.14   | 0.06%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QCBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9255246 | PA      | $8242339.03   | 0.26%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17291991 | PA      | $14672527.06  | 0.46%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QMUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15722896 | PA      | $13341173.31  | 0.42%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QNUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20367253 | PA      | $16646037.97  | 0.52%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22295804 | PA      | $18982173.87  | 0.59%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18039027 | PA      | $14695844.96  | 0.46%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                              | CUSIP: 31415M6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37523 | PA      | $37582.72     | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                              | CUSIP: 31416CM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82947 | PA      | $86596.41     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                              | CUSIP: 31416TNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    207122 | PA      | $213888.14    | 0.01%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR OR LESS L                                      | CUSIP: 31417EEF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    229921 | PA      | $207637.05    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31417FZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    977623 | PA      | $914977.04    | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                                                              | CUSIP: 31417KSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     74333 | PA      | $75271.23     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR                                                               | CUSIP: 31418AWD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    838410 | PA      | $803576.04    | 0.03%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR OR LESS L                                      | CUSIP: 31418AWH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    391978 | PA      | $374546.17    | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR                                                               | CUSIP: 31418AYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    405086 | PA      | $379841.70    | 0.01%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR                                                               | CUSIP: 31418BFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    590116 | PA      | $564364.09    | 0.02%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3011488 | PA      | $2881346.80   | 0.09%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2818131 | PA      | $2702262.78   | 0.08%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR                                                               | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3756150 | PA      | $3574594.63   | 0.11%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    600282 | PA      | $573392.12    | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    270981 | PA      | $250630.24    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9515 | PA      | $8823.49      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR UMBS                                                          | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7012828 | PA      | $5939954.80   | 0.19%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR - JUMBO-C                                      | CUSIP: 31418DHY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1669756 | PA      | $1463980.05   | 0.05%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR UMBS                                                          | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10977226 | PA      | $9348758.67   | 0.29%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR UMBS                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10610996 | PA      | $9014176.81   | 0.28%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17383356 | PA      | $14737027.07  | 0.46%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  88361702 | PA      | $74855889.49  | 2.34%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3814080 | PA      | $3349130.05   | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31419AVH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    865997 | PA      | $905703.30    | 0.03%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  15YR                                                              | CUSIP: 31419H2G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     91039 | PA      | $89376.51     | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN NUGGET ONLINE GAMING INC                                  | GOLDEN NUGGET INC TLB 4.0                                               | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    659934 | PA      | $626198.60    | 0.02%             | 2029-01-27      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| FERTITTA ENTERTAINMENT LLC (NEVADA)                              | FERTITTA ENTERTAINMENT LLC                                              | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $282533.41    | 0.01%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                              | FIFTH THIRD BANCORP                                                     | CUSIP: 316773DA5<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   4635000 | PA      | $4171909.73   | 0.13%             | 2027-05-05      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                    | FIRSTCASH INC                                                           | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1652315.36   | 0.05%             | 2030-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHAMS_05-AA10                                                    | FHAMS_05-AA10                                                           | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1226508 | PA      | $984562.44    | 0.03%             | 2035-12-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHAMS_05-AA7                                                     | FHAMS_05-AA7                                                            | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    761510 | PA      | $654706.78    | 0.02%             | 2035-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHAMS_05-AA8                                                     | FHAMS_05-AA8                                                            | CUSIP: 32051GWF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1765974 | PA      | $1173983.17   | 0.04%             | 2035-10-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES FHAMS_06-FA8       | FHAMS_06-FA8                                                            | CUSIP: 32052DAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    785739 | PA      | $334654.22    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                     | FIRSTENERGY TRANSMISSION LLC                                            | CUSIP: 33767BAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $814031.40    | 0.03%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                         | FLORIDA POWER & LIGHT COMPANY                                           | CUSIP: 341081FU6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1265963.01   | 0.04%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MEDICAL CARE US FINANCE III INC                        | FRESENIUS MEDICAL CARE US FIN III                                       | CUSIP: 35805BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3755000 | PA      | $3175257.21   | 0.10%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176A5G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42176 | PA      | $40657.08     | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176BCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    105499 | PA      | $102126.07    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96183 | PA      | $96901.11     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176FD62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6583 | PA      | $6616.20      | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176W2N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66764 | PA      | $64298.83     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4337004 | PA      | $4044837.23   | 0.13%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1340236 | PA      | $1246310.14   | 0.04%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S2R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2374233 | PA      | $2352024.09   | 0.07%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1824693 | PA      | $1803156.24   | 0.06%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S5P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    892295 | PA      | $898417.88    | 0.03%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2436907 | PA      | $2275176.58   | 0.07%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SCB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7804 | PA      | $7937.24      | 0.00%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4925000 | PA      | $4473755.79   | 0.14%             | 2030-02-07      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  12270000 | PA      | $10755073.04  | 0.34%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $880079.44    | 0.03%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9300000 | PA      | $7822858.87   | 0.24%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10650000 | PA      | $8354446.71   | 0.26%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6737000 | PA      | $5432144.22   | 0.17%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                      | BACARDI LTD                                                             | CUSIP: 067316AE9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   3375000 | PA      | $3277169.69   | 0.10%             | 2025-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2699646.05   | 0.08%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2579000 | PA      | $2426206.89   | 0.08%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2552378.66   | 0.08%             | 2038-06-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8145000 | PA      | $7041376.12   | 0.22%             | 2048-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2860000 | PA      | $2770275.42   | 0.09%             | 2024-07-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                     | BECTON DICKINSON AND COMPANY                                            | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    626000 | PA      | $610702.60    | 0.02%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| BERK HATH FIN                                                    | BERKSHIRE HATHAWAY FINANCE CORP                                         | CUSIP: 084664CX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $631193.50    | 0.02%             | 2051-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | BERRY GLOBAL INC                                                        | CUSIP: 08576PAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2768000 | PA      | $2360100.57   | 0.07%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | BERRY GLOBAL INC                                                        | CUSIP: 08576PAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3132000 | PA      | $2796585.16   | 0.09%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL ESCROW CORP                                         | BERRY GLOBAL ESCROW CORP                                                | CUSIP: 085770AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    582000 | PA      | $562076.98    | 0.02%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | BERRY PLASTICS CORP TLZ 1.75                                            | CUSIP: 08579JBG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2530673 | PA      | $2507668.94   | 0.08%             | 2026-07-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD BLUEM_17-1A                                 | BLUEM_17-1A                                                             | CUSIP: 09629CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8981239 | PA      | $8846278.10   | 0.28%             | 2029-07-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                                                               | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6730000 | PA      | $6437829.03   | 0.20%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-B                       | BRAVO_21-B                                                              | CUSIP: 10568JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3303810 | PA      | $3084525.36   | 0.10%             | 2069-04-01      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-A                       | BRAVO_21-A                                                              | CUSIP: 105693AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7776949 | PA      | $7381129.33   | 0.23%             | 2059-10-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT)                       | BRAZIL (FEDERATIVE REPUBLIC OF)                                         | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    925000 | PA      | $803511.59    | 0.03%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT)                       | BRAZIL FEDERATIVE REPUBLIC OF (GOV                                      | CUSIP: 105756CD0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   1700000 | PA      | $1605109.20   | 0.05%             | 2025-06-06      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                                                            | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1461706.97   | 0.05%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                     | BROADCOM INC                                                            | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2274334.72   | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                                | SORT_20-1                                                               | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9947722 | PA      | $8879258.31   | 0.28%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                       | CIGNA CORP                                                              | CUSIP: 125523AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4659371.15   | 0.15%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_19-R4                                              | CIM_19-R4                                                               | CUSIP: 12556FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6619594 | PA      | $6114947.27   | 0.19%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM_20-R3                                                        | CIM_20-R3                                                               | CUSIP: 12559NAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7337074 | PA      | $6904548.45   | 0.22%             | 2060-01-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM_20-R4                                                        | CIM_20-R4                                                               | CUSIP: 12559WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8956605 | PA      | $8914897.40   | 0.28%             | 2060-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_20-R6                                              | CIM_20-R6                                                               | CUSIP: 12560YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5228293 | PA      | $4458323.86   | 0.14%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_20-R7                                              | CIM_20-R7                                                               | CUSIP: 12563GAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8247879 | PA      | $7227771.94   | 0.23%             | 2061-12-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR3                                             | CIM_21-NR3                                                              | CUSIP: 12564UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4224169 | PA      | $3958461.57   | 0.12%             | 2057-06-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR2                                             | CIM_21-NR2                                                              | CUSIP: 12565CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6790245 | PA      | $6247742.69   | 0.20%             | 2059-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-R3                                              | CIM_21-R3                                                               | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11237980 | PA      | $9932423.30   | 0.31%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD CIFC_21-7A                                      | CIFC_21-7A                                                              | CUSIP: 12567HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9300000 | PA      | $8880077.10   | 0.28%             | 2035-01-23      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_22-I1                                              | CIM_22-I1                                                               | CUSIP: 12568TAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7563963 | PA      | $7321621.64   | 0.23%             | 2067-02-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-R5                                              | CIM_21-R5                                                               | CUSIP: 12592SAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8965254 | PA      | $7519334.35   | 0.24%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL C                                 | CSMC_15-5R                                                              | CUSIP: 12593DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18096 | PA      | $17802.83     | 0.00%             | 2046-09-27      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307AS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    855000 | PA      | $689201.75    | 0.02%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307AY3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $203306.95    | 0.01%             | 2028-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307AZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2664000 | PA      | $2185747.66   | 0.07%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307BF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1150000 | PA      | $750201.59    | 0.02%             | 2031-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307BH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $278000.00    | 0.01%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_18-RPL9             | CSMC_18-RPL9                                                            | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5442635 | PA      | $5084542.38   | 0.16%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST CERTIFICATES CSMCM_21-RP11                           | CSMCM_21-RP11                                                           | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    431288 | PA      | $328740.79    | 0.01%             | 2061-10-27      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RP11                        | CSMC_21-RP11                                                            | CUSIP: 12659AAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10192445 | PA      | $7685519.68   | 0.24%             | 2061-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_22-RPL3                        | CSMC_22-RPL3                                                            | CUSIP: 12659QAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13288780 | PA      | $13122304.36  | 0.41%             | 2061-03-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1039247.62   | 0.03%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1621896.45   | 0.05%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   8170000 | PA      | $7374804.10   | 0.23%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST CWALT_05-76                   | CWALT_05-76                                                             | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2420584 | PA      | $2127527.83   | 0.07%             | 2036-01-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| C&W SENIOR FINANCING DAC                                         | C&W SENIOR FINANCING DAC                                                | CUSIP: 12674TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    480000 | PA      | $445560.84    | 0.01%             | 2027-09-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CABLE ONE INC                                                    | CABLE ONE INC                                                           | CUSIP: 12685JAC9<br>LEI: 549300648QS85T0XSH18 | Long             | DBT              | CORP              | US        |    755000 | PA      | $588201.10    | 0.02%             | 2030-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | CAESARS ENTERTAINMENT INC                                               | CUSIP: 12769GAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $325279.60    | 0.01%             | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FIN CORP                                             | CAPITAL ONE FINANCIAL CORPORATION                                       | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4950000 | PA      | $4241712.92   | 0.13%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD CEDF_20-12A                                    | CEDF_20-12A                                                             | CUSIP: 15033TAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7200000 | PA      | $6988975.20   | 0.22%             | 2034-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD CEDF_21-14A                                    | CEDF_21-14A                                                             | CUSIP: 15034AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8765000 | PA      | $8563413.77   | 0.27%             | 2033-07-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2155000 | PA      | $2023648.27   | 0.06%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                                                     | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1564747.14   | 0.05%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                     | CENTENE CORPORATION                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   8542000 | PA      | $7207158.91   | 0.23%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS    | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5300000 | PA      | $4176127.21   | 0.13%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS    | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4189000 | PA      | $3445021.33   | 0.11%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1018692.28   | 0.03%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2745000 | PA      | $2008595.80   | 0.06%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2875000 | PA      | $2246218.01   | 0.07%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMMUNICATIONS TLB2 1.75                                        | CUSIP: 16117LBX6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    242481 | PA      | $236462.78    | 0.01%             | 2027-02-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHILE (REPUBLIC OF)                                              | CHILE (REPUBLIC OF)                                                     | CUSIP: 168863DN5<br>LEI: N/A                  | Long             | DBT              | NUSS              | CL        |    489000 | PA      | $400820.22    | 0.01%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| CHILE (REPUBLIC OF)                                              | CHILE (REPUBLIC OF)                                                     | CUSIP: 168863DP0<br>LEI: N/A                  | Long             | DBT              | NUSS              | CL        |   1381000 | PA      | $1147159.14   | 0.04%             | 2031-01-31      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHILE (REPUBLIC OF)                                              | CHILE (REPUBLIC OF)                                                     | CUSIP: 168863DT2<br>LEI: N/A                  | Long             | DBT              | NUSS              | CL        |    260000 | PA      | $203930.89    | 0.01%             | 2033-07-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA (KINGDOM OF)                                        | SAUDI ARABIA (KINGDOM OF)                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | SA        |    725000 | PA      | $691916.50    | 0.02%             | 2028-03-04      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                              | CHURCHILL DOWNS INCORPORATED                                            | CUSIP: 171484AE8<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |    465000 | PA      | $416112.80    | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1580190.72   | 0.05%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    590000 | PA      | $571984.79    | 0.02%             | 2025-04-24      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3110000 | PA      | $2858684.23   | 0.09%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2325000 | PA      | $1880603.34   | 0.06%             | 2031-06-03      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5995000 | PA      | $4733774.48   | 0.15%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1575393.99   | 0.05%             | 2027-06-09      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    644000 | PA      | $500015.07    | 0.02%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1588077.99   | 0.05%             | 2028-02-24      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3060000 | PA      | $2572150.47   | 0.08%             | 2030-11-05      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  11649000 | PA      | $9406016.85   | 0.29%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| CLOROX COMPANY (THE)                                             | CLOROX COMPANY                                                          | CUSIP: 189054AZ2<br>LEI: 54930044KVSC06Z79I06 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $1091246.49   | 0.03%             | 2032-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR                                 | CMALT_06-A5                                                             | CUSIP: 18974BAM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1022684 | PA      | $890662.12    | 0.03%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                                                  | CUSIP: 195325CX1<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    940000 | PA      | $883787.71    | 0.03%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                                                  | CUSIP: 195325DR3<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |   1340000 | PA      | $1025159.50   | 0.03%             | 2030-01-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                                                  | CUSIP: 195325DS1<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    900000 | PA      | $668833.92    | 0.02%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| COLOMBIA (REPUBLIC OF)                                           | COLOMBIA (REPUBLIC OF)                                                  | CUSIP: 195325EF8<br>LEI: N/A                  | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $200630.63    | 0.01%             | 2033-04-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND                                           | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        | 720569700 | NS      | $720353529.40 | 22.52%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMONSPIRIT HEALTH                                              | COMMONSPIRIT HEALTH                                                     | CUSIP: 20268JAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4499744.85   | 0.14%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                              | COMMONSPIRIT HEALTH                                                     | CUSIP: 20268JAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1295343.19   | 0.04%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                    | COMMSCOPE INC                                                           | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1211334.11   | 0.04%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R03                   | CAS_22-R03                                                              | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5062595.50   | 0.16%             | 2042-03-25      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                         | CONSTELLATION BRANDS INC                                                | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $2698747.38   | 0.08%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)                                                   | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  45525000 | PA      | $39440950.68  | 1.23%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                           | COX COMMUNICATIONS INC                                                  | CUSIP: 224044CN5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2610000 | PA      | $2076514.67   | 0.06%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                                                  | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   5350000 | PA      | $4255498.98   | 0.13%             | 2027-02-02      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                                                  | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   6300000 | PA      | $4374492.44   | 0.14%             | 2032-05-14      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                                                  | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2940000 | PA      | $2677919.20   | 0.08%             | 2028-08-11      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                                                  | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  13590000 | PA      | $11938519.69  | 0.37%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                           | CREDIT SUISSE GROUP AG                                                  | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   9602000 | PA      | $9877631.84   | 0.31%             | 2033-11-15      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| CSFB_04-AR5                                                      | CSFB_04-AR5                                                             | CUSIP: 22541SHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    125182 | PA      | $124196.03    | 0.00%             | 2034-06-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US INC                                             | CROWN FINANCE US INC DIP TL 10.0                                        | CUSIP: 22834KAL5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1002848 | PA      | $982480.32    | 0.03%             | 2023-09-07      | Variable      | 14.41%                | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                     | CUBESMART LP                                                            | CUSIP: 22966RAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    875000 | PA      | $670049.95    | 0.02%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL_06-14                  | CWL_06-14                                                               | CUSIP: 23243LAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3159651 | PA      | $3017103.98   | 0.09%             | 2037-02-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK COMMERCIAL MORTGAG                                 | DBJPM_16-SFC                                                            | CUSIP: 23312RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $2996860.14   | 0.09%             | 2036-08-10      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                     | DNB BANK ASA                                                            | CUSIP: 23329PAF7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    645000 | PA      | $569573.15    | 0.02%             | 2026-09-16      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC                                    | CAESARS RESORT COLLECTION TLB 4.5                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    691310 | PA      | $688952.51    | 0.02%             | 2025-07-21      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC (GOVERNMENT)                                  | DOMINICAN (REPUBLIC OF)                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    820000 | PA      | $682286.63    | 0.02%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EGYPT (ARAB REPUBLIC OF)                                         | EGYPT (ARAB REPUBLIC OF)                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | EG        |    750000 | PA      | $673267.82    | 0.02%             | 2025-10-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                                             | SAUDI ARABIAN OIL CO                                                    | CUSIP: 000000000<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $182273.42    | 0.01%             | 2025-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| PETVET CARE CENTERS LLC                                          | PETVET CARE CENTERS LLC                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    149640 | PA      | $140220.15    | 0.00%             | 2025-02-14      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                     | PERATON CORP TLB 3.75                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    374102 | PA      | $364671.34    | 0.01%             | 2028-02-01      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP                                                | CLARIOS GLOBAL LP TLB 3.25                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |   2163296 | PA      | $2115530.81   | 0.07%             | 2026-04-30      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| SPIN HOLDCO INC                                                  | CSC SERVICEWORKS TLB 4.0                                                | CUSIP: 000000000<br>LEI: 549300QAS44U2GUXGK45 | Long             | LON              | CORP              | US        |    958045 | PA      | $804518.10    | 0.03%             | 2028-03-04      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| HORIZON THERAPEUTICS USA INC                                     | HORIZON THERAPEUTICS TLB2 2.0                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1323894 | PA      | $1322239.06   | 0.04%             | 2028-03-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| REALPAGE INC                                                     | REALPAGE INC TLB 3.25                                                   | CUSIP: 000000000<br>LEI: 5493001RSFZX4122A604 | Long             | LON              | CORP              | US        |    144270 | PA      | $136911.77    | 0.00%             | 2028-04-24      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| INGRAM MICRO INC                                                 | INGRAM MICRO TLB 3.5                                                    | CUSIP: 000000000<br>LEI: 549300KJMEWPKRQZHX63 | Long             | LON              | CORP              | US        |    685335 | PA      | $673341.61    | 0.02%             | 2028-06-30      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO                                                     | ORGANON & CO TLB 3.0                                                    | CUSIP: 000000000<br>LEI: 549300AMCKY57OK2CO56 | Long             | LON              | CORP              | US        |   1990259 | PA      | $1967868.95   | 0.06%             | 2028-06-02      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIRLINES INC TLB 3.75                                            | CUSIP: 000000000<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |    449675 | PA      | $443181.34    | 0.01%             | 2028-04-21      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| JAZZ FINANCING LUX SARL                                          | JAZZ PHARMACEUTICALS TLB 3.5                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   1564455 | PA      | $1548559.93   | 0.05%             | 2028-05-05      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| PROOFPOINT INC                                                   | PROOFPOINT INC TLB 3.25                                                 | CUSIP: 000000000<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |    268598 | PA      | $257703.42    | 0.01%             | 2028-08-31      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| INDIGO MERGER SUB INC                                            | INDIGO MERGER SUB INC TLB 2.5                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    109746 | PA      | $109321.20    | 0.00%             | 2028-07-03      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| ICON LUXEMBOURG SARL                                             | ICON LUXEMBOURG SARL TLB 2.5                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    461450 | PA      | $459663.79    | 0.01%             | 2028-07-03      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                            | DIRECTV FINANCING LLC TLB 5.75                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1672938 | PA      | $1625191.86   | 0.05%             | 2027-08-02      | Variable      | 9.38%                 | No            |                  2 | On Loan: No      |
| GUATEMALA REPUBLIC OF (GOVERNMENT)                               | GUATEMALA (REPUBLIC OF)                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GT        |    306000 | PA      | $252357.48    | 0.01%             | 2033-10-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MOZART BORROWER LP                                               | MEDLINE TLB 3.25                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    992500 | PA      | $941862.65    | 0.03%             | 2028-10-23      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| TRANS UNION LLC                                                  | TRANS UNION LLC TLB6 2.25                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    277402 | PA      | $274320.24    | 0.01%             | 2028-12-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| PREPAID LEGAL SERVICES INC                                       | PREPAID LEGAL SERVICES INC                                              | CUSIP: 000000000<br>LEI: 549300DKH5WJ2J8QU878 | Long             | LON              | CORP              | US        |    512782 | PA      | $492455.58    | 0.02%             | 2028-12-15      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                    | II-VI INC TLB 2.75                                                      | CUSIP: 000000000<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |    166732 | PA      | $164605.82    | 0.01%             | 2029-07-02      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| BENGAL DEBT MERGER SUB LLC                                       | NAKED JUICE LLC 1ST LN 3.25                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1882737 | PA      | $1679288.74   | 0.05%             | 2029-01-24      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH                                                     | ATHENAHEALTH INC TL DD 3.5                                              | CUSIP: 000000000<br>LEI: 5493004JZ4RQIZBHP241 | Long             | LON              | CORP              | US        |    185207 | PA      | $166752.99    | 0.01%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| SAFE FLEET HOLDINGS LLC                                          | SAFE FLEET HOLDINGS LLC                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    198023 | PA      | $190969.17    | 0.01%             | 2029-02-23      | Variable      | 8.17%                 | No            |                  2 | On Loan: No      |
| AI AQUA MERGER SUB INC                                           | AI AQUA MERGER SUB INC TLB 4.0                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    354827 | PA      | $333537.08    | 0.01%             | 2028-07-31      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| AI AQUA MERGER SUB INC                                           | AI AQUA MERGER SUB INC DD 4.0                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     61709 | PA      | $58006.45     | 0.00%             | 2028-07-31      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                     | ENTEGRIS INC TLB 3.0                                                    | CUSIP: 000000000<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | LON              | CORP              | US        |    560000 | PA      | $557900.00    | 0.02%             | 2029-07-06      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INC                                               | SCIENTIFIC GAMES TLB 3.0                                                | CUSIP: 000000000<br>LEI: 529900JXALYBOHXKFM62 | Long             | LON              | CORP              | US        |    457225 | PA      | $449877.27    | 0.01%             | 2029-04-14      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| MITNICK CORPORATE PURCHASER INC                                  | VERACODE TL 4.75                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    146000 | PA      | $136419.48    | 0.00%             | 2029-05-02      | Variable      | 8.94%                 | No            |                  2 | On Loan: No      |
| DTI HOLDCO INC                                                   | DTI HOLDCO INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     95828 | PA      | $87786.81     | 0.00%             | 2029-04-26      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                          | ZAYO GROUP HOLDINGS INC TLB 4.25                                        | CUSIP: 000000000<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    374766 | PA      | $309474.23    | 0.01%             | 2027-03-09      | Variable      | 8.57%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                               | BAUSCH & LOMB CORP TLB 3.25                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    162748 | PA      | $154510.15    | 0.00%             | 2027-05-10      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| CENTRAL PARENT INC                                               | CDK GLOBAL TLB 4.5                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    664830 | PA      | $658028.33    | 0.02%             | 2029-07-06      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| DELTA 2 (LUX) SARL                                               | FORMULA 1 (DELTA 2 SARL) TLB 3.25                                       | CUSIP: 000000000<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |     56838 | PA      | $56766.77     | 0.00%             | 2030-01-15      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                   | OPEN TEXT CORP TLB 3.5                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    196345 | PA      | $191584.05    | 0.01%             | 2029-11-16      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| SOUTHERN GAS CORRIDOR CJSC                                       | SOUTHERN GAS CORRIDOR CJSC                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AZ        |    600000 | PA      | $615742.67    | 0.02%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KAZTRANSGAZ AO                                                   | KAZTRANSGAS JSC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | KZ        |    400000 | PA      | $359205.16    | 0.01%             | 2027-09-26      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE OF (GOVERNMENT)                                   | OMAN GOVT INTL BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | OM        |    700000 | PA      | $690604.24    | 0.02%             | 2028-01-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| QATAR (STATE OF)                                                 | QATAR (STATE OF)                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |   1956000 | PA      | $1967896.18   | 0.06%             | 2028-04-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GUATEMALA REPUBLIC OF (GOVERNMENT)                               | GUATEMALA REPUBLIC OF (GOVERNMENT)                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GT        |    250000 | PA      | $236698.03    | 0.01%             | 2030-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ABU DHABI (EMIRATE OF)                                           | ABU DHABI (EMIRATE OF)                                                  | CUSIP: 000000000<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |   2014000 | PA      | $1804946.58   | 0.06%             | 2029-09-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA (KINGDOM OF)                                        | SAUDI ARABIA (KINGDOM OF)                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | SA        |    610000 | PA      | $556789.06    | 0.02%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BAHRAIN (KINGDOM OF)                                             | BAHRAIN (KINGDOM OF)                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | BH        |    415000 | PA      | $424790.84    | 0.01%             | 2026-01-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO                                | BURGER KING TLB4 1.75                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    527188 | PA      | $517303.01    | 0.02%             | 2026-11-19      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | US 5YR NOTE MAR 23                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      3061 | NC      | $-215107.61   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                                         | VIRGIN MEDIA TLN 2.5                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1750000 | PA      | $1718132.50   | 0.05%             | 2028-01-31      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | INTELSAT JACKSON SERIES A CVR                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |     11998 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | INTELSAT JACKSON SERIES B CVR                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |     11998 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT EMERGENCE SA                                            | INSTELSAT EMERGENCE SA F+                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |    114573 | NS      | $2772666.60   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| QATAR ENERGY                                                     | QATAR PETROLEUM                                                         | CUSIP: M8180AAD0<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |    600000 | PA      | $497427.25    | 0.02%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | US 2YR NOTE MAR 23                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      2516 | NC      | $567610.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US 2YR NOTE MAR 23                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |      1454 | NC      | $-763578.88   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US ULTRA 10YR NOTE MAR 23                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       142 | NC      | $-24729.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citi                                                             | US ULTRA T-BOND MAR 23                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |       377 | NC      | $-87937.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA (REPUBLIC OF)                                            | ROMANIA (REPUBLIC OF)                                                   | CUSIP: X7360WBP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1140000 | PA      | $897043.36    | 0.03%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                      | IMPERIAL BRANDS FINANCE PLC                                             | CUSIP: 453140AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2005000 | PA      | $1998483.75   | 0.06%             | 2023-02-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                                                 | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    701000 | PA      | $629334.93    | 0.02%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST INDX_06-AR27                    | INDX_06-AR27                                                            | CUSIP: 45661LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3444602 | PA      | $1594552.95   | 0.05%             | 2036-10-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | INTELSAT JACKSON HOLDINGS SA                                            | CUSIP: 45824TBC8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   6965000 | PA      | $6250152.73   | 0.20%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                    | INTERCONTINENTAL EXCHANGE INC                                           | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   3937000 | PA      | $2962238.01   | 0.09%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | ESC GCB INTELSAT JACKS                                                  | CUSIP: 458ESCAA8<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |   2750000 | NS      | $2.75         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | ESC CB144A INTELSAT JA                                                  | CUSIP: 458ESCAB6<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |   3372000 | NS      | $3.37         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                     | ESC CO INTELSAT JA                                                      | CUSIP: 458ESCAC4<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |   5923000 | NS      | $5.92         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                           | INTERNATIONAL FLAVORS & FRAGRANCES                                      | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   5060000 | PA      | $4345448.25   | 0.14%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST IHSFR_18-SFR4                             | IHSFR_18-SFR4                                                           | CUSIP: 46187XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9943853 | PA      | $9846078.81   | 0.31%             | 2038-01-17      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                        | INVITATION HOMES OP PARTNER LP                                          | CUSIP: 46188BAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4265000 | PA      | $3147883.69   | 0.10%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                        | INVITATION HOMES OP PARTNER LP                                          | CUSIP: 46188BAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $51224.76     | 0.00%             | 2034-01-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS                                                     | ITC HOLDINGS CORP                                                       | CUSIP: 465685AG0<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1727816.09   | 0.05%             | 2023-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS                                                     | ITC HOLDINGS CORP                                                       | CUSIP: 465685AP0<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $919919.76    | 0.03%             | 2027-11-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS FIN                                      | CUSIP: 46590XAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2570000 | PA      | $2096560.13   | 0.07%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS FIN                                      | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1565000 | PA      | $1293913.50   | 0.04%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS USA                                      | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2000000 | PA      | $1910754.90   | 0.06%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                                   | JBS USA LUX SA/JBS FOOD CO/JBS USA                                      | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   4280000 | PA      | $4068988.34   | 0.13%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST JPMMT_21-13                             | JPMMT_21-13                                                             | CUSIP: 46592XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10314015 | PA      | $8311645.77   | 0.26%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| J&J VENTURES GAMING LLC                                          | J&J VENTURES GAMING LLC TL 4.0                                          | CUSIP: 46604BAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    137074 | PA      | $130905.99    | 0.00%             | 2028-04-26      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| HENDR_14-2A                                                      | HENDR_14-2A                                                             | CUSIP: 46618AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2134152 | PA      | $1864262.06   | 0.06%             | 2073-01-17      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION CORP JPMAC_06-FRE1                | JPMAC_06-FRE1                                                           | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4559272 | PA      | $4432090.67   | 0.14%             | 2035-05-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_21-MH | JPMCC_21-MHC                                                            | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7374920 | PA      | $7180444.02   | 0.22%             | 2038-04-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $1948269.44   | 0.06%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4495000 | PA      | $3956262.20   | 0.12%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | J P MORGAN & CO INC                                                     | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $872043.63    | 0.03%             | 2032-04-22      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCM6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2610659.55   | 0.08%             | 2025-08-09      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6225000 | PA      | $4919138.92   | 0.15%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCT1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5705000 | PA      | $5278679.61   | 0.16%             | 2025-12-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9245000 | PA      | $7515602.66   | 0.23%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2072934.63   | 0.06%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_19-OSB | JPMCC_19-OSB                                                            | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720000 | PA      | $2369388.46   | 0.07%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                 | KILROY REALTY LP                                                        | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    628000 | PA      | $432083.16    | 0.01%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT FOODS GROUP INC                                                   | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $1277365.26   | 0.04%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                                                    | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   6570000 | PA      | $6054010.99   | 0.19%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO                                                    | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1466085.21   | 0.05%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCM LTD PARTNERSHIP LCM_19A                                      | LCM_19A                                                                 | CUSIP: 50188QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1724778 | PA      | $1718135.77   | 0.05%             | 2027-07-15      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| LENOVO GROUP LTD                                                 | LENOVO GROUP LTD                                                        | CUSIP: 526250AE5<br>LEI: 254900VUZRGD5U73RE46 | Long             | DBT              | CORP              | HK        |   1580000 | PA      | $1523458.26   | 0.05%             | 2032-07-27      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                            | LEVEL 3 FINANCING INC                                                   | CUSIP: 527298BP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    413000 | PA      | $349888.48    | 0.01%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                            | LEVEL 3 FINANCING INC                                                   | CUSIP: 527298BQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9220000 | PA      | $7267344.42   | 0.23%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                             | LEXINGTON REALTY TRUST                                                  | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1435465.53   | 0.04%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                         | LLOYDS BANKING GROUP PLC                                                | CUSIP: 53944YAH6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3175000 | PA      | $3116224.69   | 0.10%             | 2024-03-12      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                         | LLOYDS BANKING GROUP PLC                                                | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   4114000 | PA      | $3987015.26   | 0.12%             | 2025-07-09      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                         | LLOYDS BANKING GROUP PLC                                                | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2730000 | PA      | $2503709.86   | 0.08%             | 2033-08-11      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| LBMLT_06-10                                                      | LBMLT_06-10                                                             | CUSIP: 54251YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4249939 | PA      | $2967967.31   | 0.09%             | 2036-11-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| MKT MORTGAGE TRUST MKT_20-525M                                   | MKT_20-525M                                                             | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035000 | PA      | $1597454.24   | 0.05%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                              | MACQUARIE GROUP LTD                                                     | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   5000000 | PA      | $4344603.10   | 0.14%             | 2027-01-12      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                              | MACQUARIE GROUP LTD                                                     | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   4360000 | PA      | $3338934.78   | 0.10%             | 2033-01-14      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                              | MACQUARIE GROUP LTD                                                     | CUSIP: 55608JBE7<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   2220000 | PA      | $1927715.02   | 0.06%             | 2033-06-21      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                                                          | CUSIP: 55903VAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $28858.07     | 0.00%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                                                          | CUSIP: 55903VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6975000 | PA      | $5363782.39   | 0.17%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | MAGALLANES INC                                                          | CUSIP: 55903VAQ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14715000 | PA      | $10804992.15  | 0.34%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| MICHAELS COMPANIES INC                                           | MAGIC MERGERCO INC                                                      | CUSIP: 55916AAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3655000 | PA      | $2466705.66   | 0.08%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST OMW_20-1MW                                        | OMW_20-OMW                                                              | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3470000 | PA      | $2963550.03   | 0.09%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| AMENTUM GOVERNMENT SERVICES HOLDINGS LLC                         | AMENTUM (MAVERICK) TLB 4.0                                              | CUSIP: 57776DAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    364499 | PA      | $355688.67    | 0.01%             | 2027-01-29      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 5901886X1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $944881.82    | 0.03%             | 2026-12-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN FFMER_07-2            | FFMER_07-2                                                              | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3281384 | PA      | $2467236.47   | 0.08%             | 2037-05-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SECURITIES MLMBS_07-2              | MLMBS_07-2                                                              | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    674950 | PA      | $588420.94    | 0.02%             | 2036-08-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO                                           | METROPOLITAN EDISON COMPANY                                             | CUSIP: 591894CB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2868366.45   | 0.09%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON CO                                           | METROPOLITAN EDISON COMPANY                                             | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1752000 | PA      | $1641154.94   | 0.05%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                               | METROPOLITAN LIFE GLOBAL FUNDING I                                      | CUSIP: 59217GFD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5211183.84   | 0.16%             | 2029-08-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN TRANSPORTATION AUTHORITY                            | Metropolitan Transportation Authority                                   | CUSIP: 59261AG76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    970000 | PA      | $837111.65    | 0.03%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MIAMI DADE CNTY FL AVIATION REVENUE                              | FL MIAMI DADE CNTY AVIATION                                             | CUSIP: 59333P4R6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    930000 | PA      | $782130.09    | 0.02%             | 2034-10-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| GAINWELL ACQUISITION CORP                                        | GAINWELL ACQUISITION CORP TLB 4.0                                       | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    841414 | PA      | $787774.01    | 0.02%             | 2027-10-01      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                            | MOLINA HEALTHCARE INC                                                   | CUSIP: 60855RAJ9<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |   4438000 | PA      | $4049355.86   | 0.13%             | 2028-06-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                            | MOLINA HEALTHCARE INC                                                   | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1698701.34   | 0.05%             | 2030-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8020000 | PA      | $6059439.70   | 0.19%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST MSM_05-2AR                    | MSM_05-2AR                                                              | CUSIP: 61745M4E0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    418025 | PA      | $386841.76    | 0.01%             | 2035-04-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    970000 | PA      | $903815.31    | 0.03%             | 2025-05-30      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10255000 | PA      | $8905992.39   | 0.28%             | 2027-07-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3725000 | PA      | $2717140.91   | 0.08%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2745000 | PA      | $2525752.79   | 0.08%             | 2025-10-21      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    955000 | PA      | $746414.87    | 0.02%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    980000 | PA      | $794817.91    | 0.02%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5470000 | PA      | $4801984.78   | 0.15%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST MHL_05-4                                        | MHL_05-4                                                                | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1096230 | PA      | $1015344.79   | 0.03%             | 2035-10-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                                                         | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    814000 | PA      | $698448.57    | 0.02%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                                                         | CUSIP: 62886EAZ1<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    390000 | PA      | $321508.97    | 0.01%             | 2030-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                         | NCR CORPORATION                                                         | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $836294.71    | 0.03%             | 2029-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                      | NATIONWIDE BUILDING SOCIETY                                             | CUSIP: 63861VAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4465000 | PA      | $4441301.97   | 0.14%             | 2024-03-08      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                      | NATIONWIDE BUILDING SOCIETY                                             | CUSIP: 63861VAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4305000 | PA      | $3790754.84   | 0.12%             | 2028-02-16      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUT INS CO                                            | NATIONWIDE MUTUAL INSURANCE CO                                          | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |   6815000 | PA      | $6800968.39   | 0.21%             | 2024-12-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP NAVSL_14-1                                          | NAVSL_14-1                                                              | CUSIP: 63938EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3650251 | PA      | $3553213.13   | 0.11%             | 2031-06-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL                                 | NAVSL_14-3                                                              | CUSIP: 63938JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4076491 | PA      | $3944769.27   | 0.12%             | 2083-03-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL                                 | NAVSL_14-4                                                              | CUSIP: 63938QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2888594 | PA      | $2869137.51   | 0.09%             | 2083-03-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL                                 | NAVSL_15-2                                                              | CUSIP: 63939GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7534997 | PA      | $7342031.06   | 0.23%             | 2040-11-26      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL                                 | NAVSL_16-2                                                              | CUSIP: 63940FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7075362 | PA      | $7011057.83   | 0.22%             | 2065-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| NSLT_14-4A                                                       | NSLT_14-4A                                                              | CUSIP: 64033MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4345000 | PA      | $4250087.82   | 0.13%             | 2048-11-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CABLEVISION CSC HLDGS LLC TLB 2.25                                      | CUSIP: 64072UAE2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    636528 | PA      | $599928.09    | 0.02%             | 2025-07-17      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD NEUB_21-43A                             | NEUB_21-43A                                                             | CUSIP: 64134AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8500000 | PA      | $8138282.50   | 0.25%             | 2035-07-17      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST NCHET_05-1                    | NCHET_05-1                                                              | CUSIP: 64352VKA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2468497 | PA      | $2384299.95   | 0.07%             | 2035-03-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE I ISSUER LLC USRE_21-1                | USRE_21-1                                                               | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8935000 | PA      | $7340234.74   | 0.23%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES 2020-1 CLASS AA PASS THROUGH TRUST                | DELTA AIR LINES 2020-AA                                                 | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7654636 | PA      | $6530058.67   | 0.20%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA INC                                              | DENTSPLY SIRONA INC                                                     | CUSIP: 24906PAA7<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |    801000 | PA      | $663429.68    | 0.02%             | 2030-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                         | DIAMOND SPORTS GROUP 2ND LN 3.25                                        | CUSIP: 25277BAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    623863 | PA      | $74863.60     | 0.00%             | 2026-08-24      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| DIAMOND SPORTS GROUP LLC                                         | DIAMOND SPORTS GROUP LLC                                                | CUSIP: 25277LAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4750000 | PA      | $565529.82    | 0.02%             | 2026-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                    | DISCOVER BANK                                                           | CUSIP: 25466AAD3<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3972843.56   | 0.12%             | 2023-08-08      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                     | DNB BANK ASA                                                            | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   5000000 | PA      | $4228586.00   | 0.13%             | 2028-03-30      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC (GOVERNMENT)                                  | DOMINICAN (REPUBLIC OF)                                                 | CUSIP: 25714PED6<br>LEI: N/A                  | Long             | DBT              | NUSS              | DO        |    300000 | PA      | $255751.51    | 0.01%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                            | DP WORLD CRESCENT LTD                                                   | CUSIP: 26139PAB9<br>LEI: N/A                  | Long             | DBT              | NUSS              | KY        |    940000 | PA      | $928582.30    | 0.03%             | 2028-09-26      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | DUKE ENERGY CORP                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $827069.30    | 0.03%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                        | DUKE ENERGY CAROLINAS                                                   | CUSIP: 26442CAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $778856.38    | 0.02%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | DUKE ENERGY PROGRESS LLC                                                | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    500000 | PA      | $402910.99    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS LP                                        | EQT MIDSTREAM PARTNERS LP                                               | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    695000 | PA      | $620844.74    | 0.02%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CDO LTD 19-1A                                        | EATON_19-1A                                                             | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9100000 | PA      | $8925243.60   | 0.28%             | 2031-04-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| ELAB_13-1                                                        | ELAB_13-1                                                               | CUSIP: 28140DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1551994 | PA      | $1534188.86   | 0.05%             | 2032-04-26      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                        | ELDORADO RESORTS                                                        | CUSIP: 28470RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1032628.80   | 0.03%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| EMBECTA CORP                                                     | EMBECTA CORP                                                            | CUSIP: 29082KAA3<br>LEI: 549300RPG8GXVDHNXZ62 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1508811.39   | 0.05%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS LP                                      | ENBRIDGE ENERGY PARTNERS LP                                             | CUSIP: 29250RAW6<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2540948.23   | 0.08%             | 2025-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER PARTNERS LP                                             | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3048000 | PA      | $2530414.70   | 0.08%             | 2045-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER PARTNERS LP                                             | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2225541.60   | 0.07%             | 2045-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER OPERATING LP                                            | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    341000 | PA      | $338912.82    | 0.01%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                                                      | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $3511813.51   | 0.11%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                                                      | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3065000 | PA      | $2862364.97   | 0.09%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                            | ENTERGY LOUISIANA LLC                                                   | CUSIP: 29364WAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5900000 | PA      | $5672273.28   | 0.18%             | 2025-04-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                | ENTERPRISE PRODUCTS OPERATING LLC                                       | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1255000 | PA      | $1133774.67   | 0.04%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EVERARC ESCROW SARL                                              | EVERARC ESCROW SARL                                                     | CUSIP: 29977LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    325000 | PA      | $267370.79    | 0.01%             | 2029-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                | EVERSOURCE ENERGY                                                       | CUSIP: 30040WAR9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   3135000 | PA      | $3092650.57   | 0.10%             | 2027-07-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Extra SpStrg                                                     | EXTRA SPACE STORAGE LP                                                  | CUSIP: 30225VAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1175000 | PA      | $918556.41    | 0.03%             | 2031-06-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Extra SpStrg                                                     | EXTRA SPACE STORAGE LP                                                  | CUSIP: 30225VAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3343000 | PA      | $2531325.22   | 0.08%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP                                             | FARMERS EXCHANGE CAPITAL                                                | CUSIP: 309588AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3225000 | PA      | $3340740.64   | 0.10%             | 2028-07-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAPITAL II                                      | FARMERS EXCHANGE CAPITAL II                                             | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3810000 | PA      | $3676562.75   | 0.11%             | 2053-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 20YR GIANT                                                        | CUSIP: 3128CUU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    452131 | PA      | $438314.56    | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3128K9Q49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9468 | PA      | $9867.58      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3128K9SR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6279 | PA      | $6381.46      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128LXBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    442460 | PA      | $452351.26    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128M7HE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    122102 | PA      | $120991.94    | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128M96X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3488915 | PA      | $3381760.30   | 0.11%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MABR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5814909 | PA      | $5445654.73   | 0.17%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MABS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1288472 | PA      | $1206653.30   | 0.04%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MAD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    230916 | PA      | $223823.71    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2576811 | PA      | $2390706.99   | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ5A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    442217 | PA      | $443109.28    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1700540 | PA      | $1668428.50   | 0.05%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ5E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    929084 | PA      | $931103.83    | 0.03%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    275868 | PA      | $286392.38    | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJPY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2686863 | PA      | $2666563.64   | 0.08%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJX47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    872835 | PA      | $808399.25    | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJXE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1804181 | PA      | $1680072.27   | 0.05%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3457902 | PA      | $3112417.17   | 0.10%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJYH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2076270 | PA      | $1919267.04   | 0.06%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJYT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1551802 | PA      | $1398698.48   | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3420606 | PA      | $3078847.84   | 0.10%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5016030 | PA      | $4488300.09   | 0.14%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4880216 | PA      | $4365107.73   | 0.14%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 15YR GIANT                                                        | CUSIP: 3128MMUW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    971748 | PA      | $926939.32    | 0.03%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 15YR GIANT                                                        | CUSIP: 3128MMYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    373089 | PA      | $359179.18    | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 31292K2L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22101 | PA      | $22405.33     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3129324M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62563 | PA      | $64242.59     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 312936BZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56497 | PA      | $57481.78     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 312936Y50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27649 | PA      | $28058.38     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 312938UD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     82608 | PA      | $85474.54     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS MIRROR                                                  | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2313742 | PA      | $2079312.61   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)                                              | CUSIP: 836205AU8<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |    900000 | PA      | $802192.13    | 0.03%             | 2028-10-12      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)                                              | CUSIP: 836205BA1<br>LEI: N/A                  | Long             | DBT              | NUSS              | ZA        |   1650000 | PA      | $1469458.65   | 0.05%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                       | SPRINT CORP                                                             | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |    270000 | PA      | $274031.53    | 0.01%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                           | SPRINT SPECTRUM CO I/ II /III/ LLC                                      | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9132188 | PA      | $9015581.25   | 0.28%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                           | SPRINT SPECTRUM CO I/ II /III/ LLC                                      | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4880000 | PA      | $4814822.48   | 0.15%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| POLAND  (REPUBLIC OF)                                            | POLAND (REPUBLIC OF)                                                    | CUSIP: 857524AE2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    172000 | PA      | $182941.34    | 0.01%             | 2032-11-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SAMI_06-AR3                                                      | SAMI_06-AR3                                                             | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4912246 | PA      | $3733178.11   | 0.12%             | 2036-05-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INS CO                                             | NEW YORK LIFE INSURANCE COMPANY                                         | CUSIP: 64952GAT5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3235000 | PA      | $2475591.13   | 0.08%             | 2050-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | SUNOCO LOGISTICS PARTNERS LP                                            | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    925000 | PA      | $788369.08    | 0.02%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | SUNOCO LOGISTICS PARTNERS OPS LP                                        | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1489495.19   | 0.05%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                 | City of New York NY                                                     | CUSIP: 64966H4M9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   3412455 | PA      | $3405385.87   | 0.11%             | 2024-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                 | City of New York NY                                                     | CUSIP: 64966HMV9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   2400000 | PA      | $2426537.76   | 0.08%             | 2031-10-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2573901.99   | 0.08%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2474984.06   | 0.08%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY TRANSITIONAL FIN AUTH                              | New York City Transitional Finance Authority Future Tax Secured Revenue | CUSIP: 64971M4P4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2110000 | PA      | $2165738.39   | 0.07%             | 2037-08-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY TRANSITIONAL FIN AUTH                              | NY NEW YORK CITY TRANSNL FIN AUTH                                       | CUSIP: 64971XQZ4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1383490.20   | 0.04%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   6375000 | PA      | $5786751.08   | 0.18%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1794124.59   | 0.06%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                | NEWELL RUBBERMAID INC                                                   | CUSIP: 651229AY2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   1148000 | PA      | $902619.40    | 0.03%             | 2046-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                              | NEXTERA ENERGY CAPITAL HOLDINGS                                         | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2790000 | PA      | $2751382.24   | 0.09%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5424000 | PA      | $4967764.42   | 0.16%             | 2026-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $1906928.41   | 0.06%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| NORTH TEXAS TOLLWAY AUTHORITY                                    | North Texas Tollway Authority                                           | CUSIP: 66285WD86<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1500000 | PA      | $1142872.50   | 0.04%             | 2034-01-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER COMPANY (MINNESOTA)                        | NORTHERN STATES POWER CO (MN)                                           | CUSIP: 665772CN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2250000 | PA      | $1838614.23   | 0.06%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOFTWARE INC.                               | TAKE-TWO INTERACTIVE SOFTWARE INC                                       | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   3355000 | PA      | $2967806.23   | 0.09%             | 2032-04-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS & ANN ASSOC OF AMER                                 | TEACHERS INSURANCE & ANNUITY                                            | CUSIP: 878091BE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3920000 | PA      | $3755777.95   | 0.12%             | 2054-09-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION                                        | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    470000 | PA      | $236295.07    | 0.01%             | 2036-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                   | OPEN TEXT CORP                                                          | CUSIP: 683715AF3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    650000 | PA      | $655384.82    | 0.02%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    260000 | PA      | $212692.78    | 0.01%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   5400000 | PA      | $3683955.11   | 0.12%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS & ANN ASSOC OF AMER                                 | TEACHERS INSURANCE & ANNUITY                                            | CUSIP: 878091BG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3035000 | PA      | $2129699.44   | 0.07%             | 2050-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                             | TENCENT HOLDINGS LTD                                                    | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |   3570000 | PA      | $2545118.22   | 0.08%             | 2051-04-22      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| TENET HLTHCR CORP                                                | TENET HEALTHCARE CORPORATION                                            | CUSIP: 88033GCS7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    241000 | PA      | $235544.54    | 0.01%             | 2024-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                            | TIME WARNER CABLE INC                                                   | CUSIP: 88732JBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | PA      | $709913.62    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4468000 | PA      | $3219157.00   | 0.10%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1182225.63   | 0.04%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TRANS UNION LLC                                                  | TRANS UNION LLC TLB5 1.75                                               | CUSIP: 89334GAX2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    678158 | PA      | $667863.33    | 0.02%             | 2026-11-16      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC TLE 2.25                                                  | CUSIP: 89364MBQ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    914659 | PA      | $903874.85    | 0.03%             | 2025-05-30      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4200185.40   | 0.13%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2164276.02   | 0.07%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC TLF 2.25                                                  | CUSIP: 89364MBR4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    263608 | PA      | $260070.69    | 0.01%             | 2025-12-09      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| TRANSMONTAIGNE PARTNERS LLC                                      | TRANSMONTAIGE PARTNERS LP / FIN CO                                      | CUSIP: 89376VAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2037000 | PA      | $1771729.43   | 0.06%             | 2026-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ORIX CORP                                                        | ORIX CORPORATION                                                        | CUSIP: 686330AR2<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |   3065000 | PA      | $2995523.01   | 0.09%             | 2032-09-13      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| OT MERGER CORP                                                   | OT MERGER CORP                                                          | CUSIP: 688777AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $216024.52    | 0.01%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PHOENIX 2 LTD                                         | TRANSOCEAN PHOENIX 2 LTD                                                | CUSIP: 893828AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    885599 | PA      | $878355.37    | 0.03%             | 2024-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN PROTEUS LTD                                           | TRANSOCEAN PROTEUS LTD                                                  | CUSIP: 893829AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1024000 | PA      | $1013765.89   | 0.03%             | 2024-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN POSEIDON LTD                                          | TRANSOCEAN POSEIDON LTD                                                 | CUSIP: 89383JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1073625 | PA      | $1046108.79   | 0.03%             | 2027-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TRUGREEN LP                                                      | TRUGREEN LP TLB 4.0                                                     | CUSIP: 89787RAH5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    336786 | PA      | $298267.73    | 0.01%             | 2027-11-02      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                   | PECO ENERGY CO                                                          | CUSIP: 693304BD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2690000 | PA      | $2432425.05   | 0.08%             | 2052-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC                                        | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2840000 | PA      | $2968601.14   | 0.09%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| TURKEY (REPUBLIC OF)                                             | TURKEY (REPUBLIC OF)                                                    | CUSIP: 900123CA6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   1070000 | PA      | $1068163.83   | 0.03%             | 2023-03-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                     | UBS GROUP AG                                                            | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $487921.15    | 0.02%             | 2026-05-12      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_22-1                  | PRPM_22-1                                                               | CUSIP: 693582AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14717249 | PA      | $13621813.20  | 0.43%             | 2027-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_22-4                  | PRPM_22-4                                                               | CUSIP: 693588AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3701789 | PA      | $3482403.95   | 0.11%             | 2027-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG (LONDON BRANCH)                                           | UBS AG/LONDON                                                           | CUSIP: 902674YK0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   5210000 | PA      | $4846719.88   | 0.15%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                        | UNION PACIFIC CORPORATION                                               | CUSIP: 907818FY9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1391751.83   | 0.04%             | 2042-02-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-10                       | PRPM_21-10                                                              | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9379228 | PA      | $8433692.01   | 0.26%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_21-7                  | PRPM_21-7                                                               | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14731780 | PA      | $13235073.47  | 0.41%             | 2026-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)                                          | CUSIP: 91087BAE0<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   2000000 | PA      | $1890598.06   | 0.06%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)                                          | CUSIP: 91087BAM2<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   2496000 | PA      | $2011168.00   | 0.06%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_21-11                                              | PRPM_21-11                                                              | CUSIP: 69362QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5541616 | PA      | $4973397.69   | 0.16%             | 2026-11-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN GAS NEGARA (PERSERO) TBK PT                           | PERUSAHAAN GAS NEGARA PERSERO TBK                                       | CUSIP: 69367PAA4<br>LEI: 549300OX1VFDX7ZPN240 | Long             | DBT              | NUSS              | ID        |    478000 | PA      | $473930.88    | 0.01%             | 2024-05-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BILL                                                           | CUSIP: 912796ZF9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  73910000 | PA      | $72601107.85  | 2.27%             | 2023-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                           | CUSIP: 912810TC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        | 112140000 | PA      | $80215143.75  | 2.51%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                             | PT PERTAMINA (PERSERO)                                                  | CUSIP: 69370PAH4<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |   1443000 | PA      | $1241756.22   | 0.04%             | 2030-08-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_22-RN2                 | PRET_22-RN2                                                             | CUSIP: 69377NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9837631 | PA      | $9136250.77   | 0.29%             | 2052-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                           | CUSIP: 912810TF5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  35840000 | PA      | $27384000.00  | 0.86%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                           | CUSIP: 912810TL2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  94895000 | PA      | $95413957.03  | 2.98%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY (CPI) NOTE                                                     | CUSIP: 91282CEZ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   4056050 | PA      | $3713850.70   | 0.12%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CFV8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  46590000 | PA      | $47521800.00  | 1.49%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_22-RN3                 | PRET_22-RN3                                                             | CUSIP: 69381PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11211712 | PA      | $10364630.11  | 0.32%             | 2052-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                       | PACIFICORP                                                              | CUSIP: 695114CS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1917916.60   | 0.06%             | 2025-07-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CFZ9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  75570000 | PA      | $75162630.85  | 2.35%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CGA3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5270000 | PA      | $5237062.50   | 0.16%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF (GOVERNMENT)                                  | PANAMA (REPUBLIC OF)                                                    | CUSIP: 698299BK9<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |   1486000 | PA      | $1278764.18   | 0.04%             | 2030-01-23      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF (GOVERNMENT)                                  | PANAMA (REPUBLIC OF)                                                    | CUSIP: 698299BN3<br>LEI: N/A                  | Long             | DBT              | NUSS              | PA        |    300000 | PA      | $222527.24    | 0.01%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CGC9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  44630000 | PA      | $44375594.72  | 1.39%             | 2027-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                                                  | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1110166.28   | 0.03%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CALIF REGTS MEDICAL CENTER POOLED REV                 | Regents of the University of California Medical Center Pooled Revenue   | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6865000 | PA      | $4448829.61   | 0.14%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                    | UNIVERSAL HEALTH SERVICES INC                                           | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1622271.43   | 0.05%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF (GOVERNMENT)                                | PARAGUAY (REPUBLIC OF)                                                  | CUSIP: 699149AK6<br>LEI: N/A                  | Long             | DBT              | NUSS              | PY        |   1465000 | PA      | $1175633.10   | 0.04%             | 2033-01-29      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Park Aerospace                                                   | PARK AEROSPACE HOLDINGS LTD                                             | CUSIP: 70014LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    733000 | PA      | $723982.98    | 0.02%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| URUGUAY (ORIENTAL REPUBLIC OF)                                   | URUGUAY (THE REPUBLIC OF)                                               | CUSIP: 917288BK7<br>LEI: N/A                  | Long             | DBT              | NUSS              | UY        |    825000 | PA      | $819873.79    | 0.03%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| USA COMPRESSION PARTNERS LP                                      | USA COMP PART LP/USA COMP FIN                                           | CUSIP: 91740PAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1585166.91   | 0.05%             | 2026-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Park Aerospace                                                   | PARK AEROSPACE HOLDINGS LTD                                             | CUSIP: 70014LAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   5335000 | PA      | $5321651.72   | 0.17%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ELECTRIC COMPANY                                    | PENNSYLVANIA ELECTRIC COMPANY                                           | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6950000 | PA      | $6253542.93   | 0.20%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                       | VERIZON COMMUNICATIONS INC                                              | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1518430.35   | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-7                            | VERUS_21-7                                                              | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17582974 | PA      | $15060880.83  | 0.47%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| PERU (REPUBLIC OF)                                               | PERU (THE REPUBLIC OF)                                                  | CUSIP: 715638BU5<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |    347000 | PA      | $333300.42    | 0.01%             | 2027-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PERU (REPUBLIC OF)                                               | PERU (REPUBLIC OF)                                                      | CUSIP: 715638DA7<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |    482000 | PA      | $408608.58    | 0.01%             | 2030-06-20      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS MIRROR                                                  | CUSIP: 3132AD3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    305764 | PA      | $291927.35    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DMHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9967968 | PA      | $8876686.41   | 0.28%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP / VICI NOTE CO                                       | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $86372.76     | 0.00%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO                                         | CUSIP: 92564RAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $258881.70    | 0.01%             | 2025-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PERU (REPUBLIC OF)                                               | PERU (REPUBLIC OF)                                                      | CUSIP: 715638DF6<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $332142.06    | 0.01%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| PERU (REPUBLIC OF)                                               | PERU (REPUBLIC OF)                                                      | CUSIP: 715638DP4<br>LEI: N/A                  | Long             | DBT              | NUSS              | PE        |    200000 | PA      | $146244.48    | 0.00%             | 2032-12-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO                                         | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1010000 | PA      | $952845.82    | 0.03%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO                                         | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1164044.62   | 0.04%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                     | CUSIP: 71654QCC4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   3348000 | PA      | $2142837.05   | 0.07%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                     | CUSIP: 71654QDD1<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   5375000 | PA      | $3724210.17   | 0.12%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO                                         | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    575000 | PA      | $525844.18    | 0.02%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO                                         | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1696490.07   | 0.05%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP                                                      | CUSIP: 925650AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3375000 | PA      | $3128524.53   | 0.10%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP                                                      | CUSIP: 925650AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1774000 | PA      | $1569010.43   | 0.05%             | 2052-05-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                               | VODAFONE GROUP PLC                                                      | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   3110000 | PA      | $2761583.53   | 0.09%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                               | VODAFONE GROUP PLC                                                      | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   4340000 | PA      | $3651401.93   | 0.11%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                     | CUSIP: 71654QDF6<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |   1730000 | PA      | $1095033.78   | 0.03%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                                             | PETRONAS CAPITAL LTD                                                    | CUSIP: 716743AP4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MY        |   1600000 | PA      | $1462203.15   | 0.05%             | 2030-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I PLC                                       | VMED O2 UK FINANCING I PLC                                              | CUSIP: 92858RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1212000 | PA      | $981783.10    | 0.03%             | 2031-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WAMU_05-AR15                                                     | WAMU_05-AR15                                                            | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1685782 | PA      | $1504971.55   | 0.05%             | 2045-11-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| WAMU_03-AR9                                                      | WAMU_03-AR9                                                             | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    270915 | PA      | $248562.07    | 0.01%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| WAMU_03-AR10                                                     | WAMU_03-AR10                                                            | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    343205 | PA      | $317961.36    | 0.01%             | 2033-10-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LTD                                             | PETRONAS CAPITAL LTD                                                    | CUSIP: 71675CAB4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MY        |    900000 | PA      | $742164.57    | 0.02%             | 2032-01-28      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES (REPUBLIC OF)                                        | PHILIPPINES (REPUBLIC OF)                                               | CUSIP: 718286CJ4<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |    770000 | PA      | $673597.55    | 0.02%             | 2030-05-05      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| WAMU_05-AR4                                                      | WAMU_05-AR4                                                             | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    453475 | PA      | $402986.63    | 0.01%             | 2035-04-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| WAMU_07-HY2                                                      | WAMU_07-HY2                                                             | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1792577 | PA      | $1579858.93   | 0.05%             | 2036-12-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES (REPUBLIC OF)                                        | PHILIPPINES (REPUBLIC OF)                                               | CUSIP: 718286CK1<br>LEI: N/A                  | Long             | DBT              | NUSS              | PH        |    550000 | PA      | $439795.96    | 0.01%             | 2031-06-10      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                                             | PHYSICIANS REALTY LP                                                    | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1485181.55   | 0.05%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| WACHOVIA STUDENT LOAN TRUST                                      | WSLT_06-1                                                               | CUSIP: 92978JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6952520 | PA      | $6636923.32   | 0.21%             | 2040-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| WAMU_06-AR11                                                     | WAMU_06-AR11                                                            | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3168252 | PA      | $2554242.89   | 0.08%             | 2046-09-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAMILY ACQUISITION INC                                 | WASH MULTIFAMILY ACQUISITION INC                                        | CUSIP: 93710WAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $329871.47    | 0.01%             | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WAMU_06-AR4                                                      | WAMU_06-AR4                                                             | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2129803 | PA      | $1828621.72   | 0.06%             | 2046-05-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                | PIEDMONT OPERATING PARTNERSHIP LP                                       | CUSIP: 720198AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4815000 | PA      | $4767950.95   | 0.15%             | 2023-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                                                     | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1532119.21   | 0.05%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WASTE PRO USA INC                                                | WASTE PRO USA INC                                                       | CUSIP: 94107JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1550750.39   | 0.05%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE                                  | WFCM_15-SG1                                                             | CUSIP: 94989QAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10705477 | PA      | $10218576.32  | 0.32%             | 2048-09-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                                                     | CUSIP: 72147KAG3<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   2215000 | PA      | $1731371.23   | 0.05%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO                                                   | YUM! BRANDS INC TLB 1.75                                                | CUSIP: 72584DAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    402214 | PA      | $396683.87    | 0.01%             | 2028-03-15      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPELINE LP                                  | PLAINS ALL AMERICAN PIPELINE LP                                         | CUSIP: 72650RBN1<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   2175000 | PA      | $1890930.47   | 0.06%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                                                       | CUSIP: 737446AM6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1646177.92   | 0.05%             | 2027-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4010000 | PA      | $3566969.87   | 0.11%             | 2051-04-04      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  11945000 | PA      | $11117787.25  | 0.35%             | 2026-04-30      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                | POST HOLDINGS INC                                                       | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3019582.06   | 0.09%             | 2030-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                              | POWERTEAM SERVICES LLC TL 3.25                                          | CUSIP: 73937UAF5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    449104 | PA      | $363670.89    | 0.01%             | 2025-03-06      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4905000 | PA      | $4325800.92   | 0.14%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  15385000 | PA      | $12937562.20  | 0.40%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                              | POWERTEAM SERVICES LLC                                                  | CUSIP: 73939VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    961000 | PA      | $801982.77    | 0.03%             | 2025-12-04      | Fixed         | 9.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR4                          | PROG_19-SRF4                                                            | CUSIP: 74331AAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2541000 | PA      | $2405424.18   | 0.08%             | 2036-10-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4375000 | PA      | $4143169.28   | 0.13%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER COMPANY                                             | WEYERHAEUSER COMPANY                                                    | CUSIP: 962166CA0<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |   3535000 | PA      | $2951338.52   | 0.09%             | 2033-03-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                         | WILLIS NORTH AMERICA INC                                                | CUSIP: 970648AJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3595000 | PA      | $3023276.40   | 0.09%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HOMER CITY GENERATION LP                                         | HOMER CITY GENERATION LP TLB 8.25                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    298468 | PA      | $164157.60    | 0.01%             | 2023-04-05      | Variable      | 15.00%                | No            |                  2 | On Loan: No      |
| RBSCF TRUST RBSCF_13-GSP                                         | RBSCF_13-GSP                                                            | CUSIP: 74932QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1475000 | PA      | $1419647.53   | 0.04%             | 2032-01-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| RAYMOND JAMES FINANCIAL INC.                                     | RAYMOND JAMES FINANCIAL INC.                                            | CUSIP: 754730AF6<br>LEI: RGUZHJ05YTITL6D76949 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $922505.07    | 0.03%             | 2046-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| REGATTA XIII FUNDING REG13_18-2A                                 | REG13_18-2A                                                             | CUSIP: 75888FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3500000 | PA      | $3364105.50   | 0.11%             | 2031-07-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC/TX                                             | RENT-A-CENTER INC/TX                                                    | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |    350000 | PA      | $283539.11    | 0.01%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HOMER CITY GENERATION LP                                         | HOMER CITY HOLDINGS (PLACEHOLDER)                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     32056 | NS      | $1763.08      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| NK KAZMUNAYGAZ AO                                                | KAZMUNAYGAS NATIONAL CO                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | KZ        |    534000 | PA      | $478529.86    | 0.01%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                                      | ASURION LLC TLB7 3.0                                                    | CUSIP: 000000000<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    498695 | PA      | $483289.85    | 0.02%             | 2024-11-03      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| ZEP INC                                                          | ZEP INC.                                                                | CUSIP: 000000000<br>LEI: NU75S1Y8UH3706J5CS61 | Long             | LON              | CORP              | US        |   1113308 | PA      | $958558.45    | 0.03%             | 2024-08-12      | Variable      | 8.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC RALI_05-QA8                       | RALI_05-QA8                                                             | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    968144 | PA      | $550696.60    | 0.02%             | 2035-07-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                            | REYNOLDS AMERICAN INC                                                   | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1072081.35   | 0.03%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH                                                     | ATHENAHEALTH INC TLB 3.5                                                | CUSIP: 000000000<br>LEI: 5493004JZ4RQIZBHP241 | Long             | LON              | CORP              | US        |   1087258 | PA      | $978923.41    | 0.03%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| MONG DUONG FINANCE HOLDINGS BV                                   | MONG DUONG FINANCE HOLDINGS BV                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    400000 | PA      | $333293.49    | 0.01%             | 2029-05-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                            | REYNOLDS AMERICAN INC                                                   | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   4180000 | PA      | $3568505.17   | 0.11%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                     | ROCKIES EXPRESS PIPELINE LLC                                            | CUSIP: 77340RAM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1587389.81   | 0.05%             | 2040-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TELENET FINANCING USD LLC                                        | TELENET FINANCING USD TLAR 2.0                                          | CUSIP: BL3290022<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    750000 | PA      | $728625.00    | 0.02%             | 2028-04-30      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                         | ELANCO ANIMAL HEALTH TLB 1.75                                           | CUSIP: 000000000<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |   2616164 | PA      | $2507828.30   | 0.08%             | 2027-08-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                     | ROCKIES EXPRESS PIPELINE LLC                                            | CUSIP: 77340RAR8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    910000 | PA      | $826228.65    | 0.03%             | 2029-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE LLC                                     | ROCKIES EXPRESS PIPELINE LLC                                            | CUSIP: 77340RAS6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1808000 | PA      | $1706480.26   | 0.05%             | 2025-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD ROCKT_20-1A                               | ROCKT_20-1A                                                             | CUSIP: 77341EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8000000 | PA      | $7881432.00   | 0.25%             | 2032-01-20      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                | ROYAL BANK OF SCOTLAND GROUP PLC                                        | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   6935000 | PA      | $6773153.81   | 0.21%             | 2025-03-22      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                          | SBA COMMUNICATIONS TLB 2.0                                              | CUSIP: 78404XAH8<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | LON              | CORP              | US        |   1389525 | PA      | $1383355.51   | 0.04%             | 2025-04-11      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                   | S&P GLOBAL INC                                                          | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2471269.10   | 0.08%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SFO COMMERICAL MORTGAGE TRUST SFO-21-555                         | SFO_21-555                                                              | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2703000 | PA      | $2476900.81   | 0.08%             | 2038-05-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST SLCLT_06-1                                | SLCLT_06-1                                                              | CUSIP: 784427AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246149 | PA      | $219259.95    | 0.01%             | 2055-03-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FRONT RANGE BIDCO INC                                            | ZAYO TLB 3.0                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2980724 | PA      | $2406069.96   | 0.08%             | 2027-03-09      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| DAKOTA HOLDING CORP                                              | DEERFIELD DAKOTA HOLDING LLC                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    849279 | PA      | $791689.60    | 0.02%             | 2027-04-09      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_07-7                                 | SLMA_07-7                                                               | CUSIP: 78444EAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3771849 | PA      | $3666811.33   | 0.11%             | 2023-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_07-7                                 | SLMA_07-7                                                               | CUSIP: 78444EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1990000 | PA      | $1723942.37   | 0.05%             | 2070-10-27      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| QATAR (STATE OF)                                                 | QATAR GOVT INTERNATIONAL BOND                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | QA        |    790000 | PA      | $764272.14    | 0.02%             | 2030-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_08-5                                 | SLMA_08-5                                                               | CUSIP: 78444YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5860000 | PA      | $5534163.49   | 0.17%             | 2073-07-25      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| SLMA_08-4                                                        | SLMA_08-4                                                               | CUSIP: 78445AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1091437 | PA      | $1088971.08   | 0.03%             | 2023-07-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DVKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9813853 | PA      | $9078772.30   | 0.28%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16802939 | PA      | $13681658.89  | 0.43%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11930126 | PA      | $10106645.13  | 0.32%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3132GDHP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36924 | PA      | $37331.96     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_08-6                                 | SLMA_08-6                                                               | CUSIP: 78445CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4008380 | PA      | $3878934.51   | 0.12%             | 2023-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_08-8                                 | SLMA_08-8                                                               | CUSIP: 78445GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    944094 | PA      | $941440.36    | 0.03%             | 2023-04-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_08-9                                 | SLMA_08-9                                                               | CUSIP: 78445JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5775000 | PA      | $5367871.16   | 0.17%             | 2083-10-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_09-3                                 | SLMA_09-3                                                               | CUSIP: 78445RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2144855 | PA      | $2067571.89   | 0.06%             | 2045-01-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| STORAGEMART COMMERCIAL MORTGAGE TRUST SMRT_22-MINI               | SMRT_22-MINI                                                            | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6607000 | PA      | $6013435.71   | 0.19%             | 2039-01-15      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                     | SABINE PASS LIQUEFACTION LLC                                            | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   2671000 | PA      | $2480736.79   | 0.08%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   8860000 | PA      | $8713002.32   | 0.27%             | 2024-11-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    465000 | PA      | $409350.88    | 0.01%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   7235000 | PA      | $6771600.64   | 0.21%             | 2025-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   2185000 | PA      | $1852844.41   | 0.06%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   1035000 | PA      | $885206.70    | 0.03%             | 2028-01-11      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| SIMMONS FOODS INC                                                | SIMMONS FOODS INC/SIMMONS PREP                                          | CUSIP: 82873MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1331000 | PA      | $1089070.47   | 0.03%             | 2029-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                             | SMITHFIELD FOODS INC                                                    | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1076980.68   | 0.03%             | 2031-09-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3132GEQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24808 | PA      | $25150.14     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_360                                       | FHLMC_360                                                               | CUSIP: 3132J0US4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1627135 | PA      | $1468174.98   | 0.05%             | 2047-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                                                         | CUSIP: 3132JBH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2204784 | PA      | $1997893.47   | 0.06%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4787312 | PA      | $4453672.50   | 0.14%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12717051 | PA      | $11919921.97  | 0.37%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5836655 | PA      | $5417534.79   | 0.17%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4436294 | PA      | $4145009.99   | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8651705 | PA      | $8000065.71   | 0.25%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1019235 | PA      | $977755.95    | 0.03%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION COMPANY LLC                                     | AEP TRANSMISSION COMPANY LLC                                            | CUSIP: 00115AAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $233872.14    | 0.01%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RBH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $823973.63    | 0.03%             | 2042-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    620000 | PA      | $563900.09    | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3360000 | PA      | $2867269.74   | 0.09%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RDR0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   5640000 | PA      | $5446731.75   | 0.17%             | 2037-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2796000 | PA      | $2502841.05   | 0.08%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2375000 | PA      | $1604119.10   | 0.05%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2335000 | PA      | $1795613.55   | 0.06%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                                                                | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3060000 | PA      | $2120849.28   | 0.07%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                                                              | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   5852000 | PA      | $5447930.52   | 0.17%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                                                              | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $893284.99    | 0.03%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                                                              | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1236562.39   | 0.04%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ACRISURE LLC                                                     | ACRISURE LLC TLB 6.28                                                   | CUSIP: 00488PAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1311514 | PA      | $1227904.98   | 0.04%             | 2027-02-15      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC                                       | AERCAP IRELAND CAPITAL DAC                                              | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3070000 | PA      | $2955249.79   | 0.09%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST        | AERCAP IRELAND CAP DAC/AERCAP GLOB                                      | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   6350000 | PA      | $5329498.68   | 0.17%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST        | AERCAP IRELAND CAP/AERCAP GLOBAL                                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3650000 | PA      | $2851792.82   | 0.09%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIMCO AIMCO_15-AA                                                | AIMCO_15-AA                                                             | CUSIP: 00900LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  10475000 | PA      | $10165882.75  | 0.32%             | 2034-10-17      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                            | AIR LEASE CORPORATION                                                   | CUSIP: 00912XBA1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2810000 | PA      | $2668391.51   | 0.08%             | 2025-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                            | AIR LEASE CORPORATION                                                   | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4243874.76   | 0.13%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                     | ALIMENTATION COUCHE-TARD INC                                            | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    331000 | PA      | $279694.82    | 0.01%             | 2030-01-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ADC_21-1A                                                        | ADC_21-1A                                                               | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600000 | PA      | $6491128.08   | 0.20%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER   | ALLIANT HLDS INTERMED/ALLIANT HLDS                                      | CUSIP: 01883LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    335000 | PA      | $301848.66    | 0.01%             | 2027-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                                                   | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 144250000 | PA      | $117341642.51 | 3.67%             | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                                                   | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  90525000 | PA      | $76630707.91  | 2.40%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                                                   | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  69275000 | PA      | $60779755.49  | 1.90%             | 2053-01-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                                                   | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23550000 | PA      | $21390529.06  | 0.67%             | 2053-01-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                                                   | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50050000 | PA      | $46929880.00  | 1.47%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                                                   | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 128675000 | PA      | $123818328.12 | 3.87%             | 2053-01-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)                                                   | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 172775000 | PA      | $170221629.11 | 5.32%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRU                                 | CWALT_06-HY12                                                           | CUSIP: 02146PAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3314323 | PA      | $2808959.52   | 0.09%             | 2036-08-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                         | AMERICAN ASSETS TRUST LP                                                | CUSIP: 02401LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3650000 | PA      | $2892125.61   | 0.09%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                         | AMERICAN EXPRESS COMPANY                                                | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3535000 | PA      | $3219172.35   | 0.10%             | 2027-03-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                         | AMERICAN HOMES 4 RENT LP                                                | CUSIP: 02666TAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1465119.02   | 0.05%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITES INC AMSI_05-R8                     | AMSI_05-R8                                                              | CUSIP: 03072SM28<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4031858 | PA      | $3999938.15   | 0.13%             | 2035-10-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                 | AMWINS GROUP INC TLB 2.25                                               | CUSIP: 03234TAW8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2576775 | PA      | $2527661.96   | 0.08%             | 2028-02-19      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_21-6                               | AOMT_21-6                                                               | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4902834 | PA      | $3877474.67   | 0.12%             | 2066-09-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COMPANIES LLC / ANHEUSER-BUSCH INBEV WORLDWIDE IN | ANHEUSER-BUSCH COS LLC / INBEV                                          | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5115000 | PA      | $4680732.31   | 0.15%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WORLDWIDE INC                               | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                      | CUSIP: 035240AN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    570000 | PA      | $501750.15    | 0.02%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AON CORP / AON GLOBAL HOLDINGS PLC                               | AON CORP/AON GLOBAL HOLDINGS                                            | CUSIP: 03740LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3545000 | PA      | $2743742.65   | 0.09%             | 2052-02-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PRIME SECURITY SERVICES BORROWER LLC                             | ADT INC TL 2.75                                                         | CUSIP: 03765VAK6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    472762 | PA      | $468081.24    | 0.01%             | 2026-09-23      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| APID_15-22A                                                      | APID_15-22A                                                             | CUSIP: 03765XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8000000 | PA      | $7878816.00   | 0.25%             | 2031-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                             | APPALACHIAN POWER CO                                                    | CUSIP: 037735BZ9<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   3225000 | PA      | $3245659.09   | 0.10%             | 2033-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EGYPT (ARAB REPUBLIC OF)                                         | EGYPT (ARAB REPUBLIC OF)                                                | CUSIP: 03846JW71<br>LEI: N/A                  | Long             | DBT              | NUSS              | EG        |    400000 | PA      | $325190.95    | 0.01%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                 | ANCESTRY.COM INC TLB 3.25                                               | CUSIP: 03952HAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     78888 | PA      | $72806.91     | 0.00%             | 2027-12-06      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                          | ARTHUR J GALLAGHER & CO                                                 | CUSIP: 04316JAB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   2240000 | PA      | $1422396.55   | 0.04%             | 2052-03-09      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                   | CUSIP: 04685A2X8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3780000 | PA      | $3708621.92   | 0.12%             | 2024-05-24      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                   | CUSIP: 04685A2Z3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3760000 | PA      | $3239072.34   | 0.10%             | 2026-06-29      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                   | CUSIP: 04685A3G4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1463752.51   | 0.05%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                   | CUSIP: 04685A3L3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1380844.76   | 0.04%             | 2027-03-08      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| AVANTOR INC                                                      | AVANTOR INC TLB5 2.25                                                   | CUSIP: 05350NAL8<br>LEI: 5493003VM0XB4U8YD238 | Long             | LON              | CORP              | US        |    994733 | PA      | $988655.45    | 0.03%             | 2027-11-08      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                   | AVOLON TLB3 2.0                                                         | CUSIP: 05400KAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    175812 | PA      | $175007.00    | 0.01%             | 2025-01-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                   | AVOLON TLB BORROWER 1 US 2.25                                           | CUSIP: 05400KAH3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2468593 | PA      | $2460224.42   | 0.08%             | 2027-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                      | AVOLON HOLDINGS FUNDING LTD                                             | CUSIP: 05401AAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   2035000 | PA      | $1747122.94   | 0.05%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                      | AVOLON HOLDINGS FUNDING LTD                                             | CUSIP: 05401AAR2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   3398000 | PA      | $2743252.39   | 0.09%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_20-EYP                                           | BFLD_20-EYP                                                             | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $7125326.25   | 0.22%             | 2035-10-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT CAPITAL CORP                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   3870000 | PA      | $3009525.28   | 0.09%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT CAPITAL CORP                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   9792000 | PA      | $6960269.83   | 0.22%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT CAPITAL CORP                                                        | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1433787.25   | 0.04%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST BCAP_07-AA1                                       | BCAP_07-AA1                                                             | CUSIP: 05530PAP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4779200 | PA      | $4135324.43   | 0.13%             | 2037-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| BPR TRUST BPR_22-OANA                                            | BPR_22-OANA                                                             | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8446000 | PA      | $8243271.51   | 0.26%             | 2037-04-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_19-XL                            | BX_19-XL                                                                | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10011121 | PA      | $9873737.71   | 0.31%             | 2036-10-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_19-OC11                                              | BX_19-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355000 | PA      | $1137376.30   | 0.04%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES BXHPP_21-FILM      | BXHPP_21-FILM                                                           | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8878000 | PA      | $8302884.94   | 0.26%             | 2036-08-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| BXSC COMMERCIAL MORTGAGE TRUST BXSC_22-WSS                       | BXSC_22-WSS                                                             | CUSIP: 05610BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8939000 | PA      | $8513498.24   | 0.27%             | 2035-03-15      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_22-CSMO                          | BX_22-CSMO                                                              | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6925000 | PA      | $6873115.13   | 0.21%             | 2027-06-15      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_22-CSMO                          | BX_22-CSMO                                                              | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4080000 | PA      | $4044340.80   | 0.13%             | 2027-06-15      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1428627 | PA      | $1291525.30   | 0.04%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4599665 | PA      | $4155369.66   | 0.13%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SSQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3955886 | PA      | $3689314.21   | 0.12%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SWZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    909146 | PA      | $903866.11    | 0.03%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3333633 | PA      | $3007071.95   | 0.09%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    208647 | PA      | $204985.80    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    938796 | PA      | $901296.05    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TAN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    748295 | PA      | $753436.30    | 0.02%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     97610 | PA      | $98274.68     | 0.00%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TE43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    722736 | PA      | $727704.44    | 0.02%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4793413 | PA      | $4488202.34   | 0.14%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TJ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    222150 | PA      | $224504.89    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133593 | PA      | $120843.46    | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TLT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1066210 | PA      | $1023664.83   | 0.03%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    109116 | PA      | $104762.17    | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA II 30YR SF - JUMBO-CONFORMING                                      | CUSIP: 36179U3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1393214 | PA      | $1233024.92   | 0.04%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179UD90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3900884 | PA      | $3733177.01   | 0.12%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA II 30YR SF - JUMBO-CONFORMING                                      | CUSIP: 36179UVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    518350 | PA      | $471587.93    | 0.01%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC                                         | CUSIP: 361841AF6<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   3480000 | PA      | $3468606.34   | 0.11%             | 2023-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC                                         | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    755000 | PA      | $744470.71    | 0.02%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC                                         | CUSIP: 361841AJ8<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1900286.97   | 0.06%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC                                         | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    870000 | PA      | $856708.49    | 0.03%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FINANCING II                                       | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   2325000 | PA      | $2195038.10   | 0.07%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II                                             | CUSIP: 361841AN9<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1259161.13   | 0.04%             | 2024-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP/GLP FINANCING II                                         | CUSIP: 361841AP4<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   2418000 | PA      | $2115566.69   | 0.07%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LOAN TRUST GMACM_05-AR6                | GMACM_05-AR6                                                            | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1215493 | PA      | $1027510.95   | 0.03%             | 2035-11-19      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36202F2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40718 | PA      | $40638.11     | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                                                              | CUSIP: 3620A9TT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34597 | PA      | $34344.42     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST GSR_05-AR6                               | GSR_05-AR6                                                              | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    187503 | PA      | $171120.04    | 0.01%             | 2035-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR PLATINUM                                                     | CUSIP: 36241KDH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19252 | PA      | $19703.30     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR PLATINUM                                                     | CUSIP: 36241LDX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18425 | PA      | $18307.37     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR PLATINUM                                                     | CUSIP: 36241LLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39548 | PA      | $38323.57     | 0.00%             | 2040-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR PLATINUM                                                     | CUSIP: 36241LP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31647 | PA      | $30660.88     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241LPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75261 | PA      | $72907.71     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241LU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46105 | PA      | $44659.65     | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSMBS_18-RPL1                       | GSMBS_18-RPL1                                                           | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4622698 | PA      | $4363694.28   | 0.14%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                                                              | CUSIP: 36290SFY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7167 | PA      | $7022.23      | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                                                              | CUSIP: 36296QLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45385 | PA      | $46297.48     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                 | GALAXY PIPELINE ASSETS BIDCO LTD                                        | CUSIP: 36321PAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    393905 | PA      | $334766.14    | 0.01%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                              | GENERAL ELECTRIC CAPITAL CORP                                           | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   1886000 | PA      | $1812337.86   | 0.06%             | 2026-05-05      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                | GENERAL MOTORS CO                                                       | CUSIP: 37045VAE0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1318756.30   | 0.04%             | 2023-10-02      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC.                                             | GLOBAL PAYMENTS INC                                                     | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $2862424.22   | 0.09%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GLOBAL SC FINANCE SRL SEACO_14-1                                 | SEACO_14-1A                                                             | CUSIP: 37952UAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BB        |    867069 | PA      | $835285.51    | 0.03%             | 2029-07-17      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2930000 | PA      | $2817644.58   | 0.09%             | 2025-09-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1745736.23   | 0.05%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $964063.77    | 0.03%             | 2026-12-09      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12950000 | PA      | $11330643.55  | 0.35%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5140000 | PA      | $3984500.91   | 0.12%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9195000 | PA      | $8024668.49   | 0.25%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2525000 | PA      | $1993034.79   | 0.06%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC/THE                                             | CUSIP: 38141GZE7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9325000 | PA      | $9002378.03   | 0.28%             | 2023-12-06      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-26              | GNMA_06-26                                                              | CUSIP: 38374NDU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     17880 | PA      | $14335.37     | 0.00%             | 2036-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-55              | GNMA_12-55                                                              | CUSIP: 38378BRQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    368158 | PA      | $3.68         | 0.00%             | 2052-04-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-193             | GNMA_20-193                                                             | CUSIP: 38380RJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1604798 | PA      | $1264115.25   | 0.04%             | 2062-09-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2               | GNMA_21-2                                                               | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4480353 | PA      | $3550625.62   | 0.11%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-14              | GNMA_21-14                                                              | CUSIP: 38380RRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1932717 | PA      | $1500126.96   | 0.05%             | 2063-06-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-21              | GNMA_21-21                                                              | CUSIP: 38380RTP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3065397 | PA      | $2394626.27   | 0.07%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-31              | GNMA_21-31                                                              | CUSIP: 38380RVK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3329372 | PA      | $2560097.40   | 0.08%             | 2061-01-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GRIFOLS WORLDWIDE OPERATIONS USA INC                             | GRIFOLS USA INC TLB 2.5                                                 | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2054715 | PA      | $1983662.51   | 0.06%             | 2027-11-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER SAU                                        | GRIFOLS ESCROW ISSUER SAU                                               | CUSIP: 39843UAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | ES        |    800000 | PA      | $692162.79    | 0.02%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    488000 | PA      | $485051.74    | 0.02%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4480000 | PA      | $4427624.05   | 0.14%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2139440.24   | 0.07%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3651610.68   | 0.11%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $4708131.73   | 0.15%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5236000 | PA      | $4505079.11   | 0.14%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $873596.82    | 0.03%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $909646.53    | 0.03%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $947325.53    | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $783142.65    | 0.02%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                       | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8565000 | PA      | $7807476.71   | 0.24%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                       | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1845000 | PA      | $1413388.58   | 0.04%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                       | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8240000 | PA      | $6876835.29   | 0.21%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                       | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1249625.46   | 0.04%             | 2027-05-24      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                       | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $771923.79    | 0.02%             | 2032-05-24      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                       | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5105000 | PA      | $4123155.15   | 0.13%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                                                       | CUSIP: 404280DF3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    860000 | PA      | $814357.69    | 0.03%             | 2028-06-09      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| HVMLT_06-10                                                      | HVMLT_06-10                                                             | CUSIP: 41162CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8728418 | PA      | $6881579.56   | 0.22%             | 2036-11-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HOLDIN                                      | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   2367000 | PA      | $2203335.61   | 0.07%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HLDGS                                       | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    125000 | PA      | $104857.12    | 0.00%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HLDGS                                       | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1228814.49   | 0.04%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE REALTY HOLDINGS LP                                           | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   1608000 | PA      | $1422373.94   | 0.04%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HLDGS                                       | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    277000 | PA      | $201956.63    | 0.01%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| HESS CORPORATION                                                 | HESS CORPORATION                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1893728.92   | 0.06%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                                            | CUSIP: 44409MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2621000 | PA      | $2229348.82   | 0.07%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                                            | CUSIP: 44409MAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $240298.18    | 0.01%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                                            | CUSIP: 44409MAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    975000 | PA      | $905934.26    | 0.03%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS HY_19-30HY                                          | HY_19-30HY                                                              | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2770000 | PA      | $2374817.40   | 0.07%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                       | HUMANA INC                                                              | CUSIP: 444859BN1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1300672.44   | 0.04%             | 2030-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HUNGARY (GOVERNMENT)                                             | HUNGARY (REPUBLIC OF)                                                   | CUSIP: 445545AM8<br>LEI: N/A                  | Long             | DBT              | NUSS              | HU        |   1100000 | PA      | $813563.56    | 0.03%             | 2031-09-22      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                      | IMPERIAL BRANDS FINANCE PLC                                             | CUSIP: 45262BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4145000 | PA      | $3970867.72   | 0.12%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                      | IMPERIAL BRANDS FINANCE PLC                                             | CUSIP: 45262BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    950000 | PA      | $870583.21    | 0.03%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-23

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer