# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001450011-23-000105
**Filing Date:** 2023-3
**Character Count:** 259928
**Document Hash:** 814a5608e32c713b8ac6fc29c9b73376
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001450011-23-000105.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001450011-23-000105

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO ETF Trust
- **CENTRAL INDEX KEY:** 0001450011
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 23688755

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949.720.6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Series ID: S000026751)

| Class ID   | Class Name                                                | Ticker Symbol   |
|:---|:---|:---|
| C000080241 | PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | MINT            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO ETF Trust

- **b. Investment Company Act file number:** 811-22250

- **c. CIK number of Registrant:** 0001450011

- **d. LEI of Registrant:** 5493004M9TBGFQUJ6D27

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 400-4383

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

- **a. Name of Series:** PIMCO Enhanced Short Maturity Active Exchange-Traded Fund

- **b. EDGAR series identifier (if any):** S000026751

- **c. LEI of Series:** VOYE9Z80GB9431LFS645

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8829621443.36

**Total Liabilities:** $42795346.42

**Net Assets:** $8786826096.94

**Cash Not Reported:** $95598.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 727365.267200 | **1-Year:** 247362.106900 | **5-Year:** 129428.673300 | **10-Year:** 1029.399500 | **30-Year:** 0.000000

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

- **3-Month:** 106.479000 | **1-Year:** 0.000000 | **5-Year:** 0.000000 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000080241 | -0.18%               | 0.58%                | 0.51%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-498595.67              | $-43149019.65                              |
| Month 2  | $-9454823.64             | $38958023.17                               |
| Month 3  | $-42183804.17            | $56502750.96                               |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** 0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                                     | BANCO BILBAO VIZCAYA ARG SR UNSECURED 09/23 0.875         | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  29400000 | PA      | $28479401.62  | 0.32%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 04/23 3.848               | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   4772000 | PA      | $4747049.79   | 0.05%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 04/23 VAR                 | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   7000000 | PA      | $7001032.92   | 0.08%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 03/24 VAR               | CUSIP: 06051GHE2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  35700000 | PA      | $35683293.11  | 0.41%             | 2024-03-05      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/25 VAR               | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  37879000 | PA      | $37411303.06  | 0.43%             | 2025-04-22      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 10/24 VAR               | CUSIP: 06051GJJ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  31400000 | PA      | $31119546.19  | 0.35%             | 2024-10-24      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                     | BANQUE FED CRED MUTUEL SR UNSECURED 144A 07/23 VAR        | CUSIP: 06675FAQ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   2100000 | PA      | $2103100.94   | 0.02%             | 2023-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/24 VAR                       | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2804000 | PA      | $2784897.39   | 0.03%             | 2024-05-16      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/24 VAR                       | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  68782000 | PA      | $68785172.23  | 0.78%             | 2024-05-16      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2018-III 2018-3A                                              | BABSON CLO LTD BABSN 2018 3A A1 144A                      | CUSIP: 06760PAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5043784 | PA      | $5000772.62   | 0.06%             | 2029-07-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BARRY CALLEBAUT SERVICES NV                                                   | BARRY CALLEBAUT SVCS NV COMPANY GUAR 144A 06/23 5.5       | CUSIP: B0R9M3AC3<br>LEI: 213800R1F1EJYM4ICO85 | Long             | DBT              | CORP              | BE        |   1610000 | PA      | $1602424.95   | 0.02%             | 2023-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                                      | BAXTER INTERNATIONAL INC SR UNSECURED 12/23 VAR           | CUSIP: 071813CY3<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   3648000 | PA      | $3620549.42   | 0.04%             | 2023-12-01      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 3.875     | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |  11788000 | PA      | $11621827.75  | 0.13%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR       | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |  58933000 | PA      | $58813710.77  | 0.67%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR REGS 12/23 3.875     | CUSIP: U07265AC2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    450000 | PA      | $443656.47    | 0.01%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR REGS 12/23 VAR       | CUSIP: U07265AD0<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   6900000 | PA      | $6886033.37   | 0.08%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                           | BCP TRUST BCP 2021 330N A 144A                            | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5147605.65   | 0.06%             | 2038-06-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2           | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312969 | PA      | $296090.32    | 0.00%             | 2033-08-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| BEAST MORTGAGE TRUST 2022-1700                                                | BSST MORTGAGE TRUST BSST 2022 1700 A 144A                 | CUSIP: 055742AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7463032.80   | 0.08%             | 2037-02-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XII LTD 2017-12A                                  | BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A1R 144A      | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12300000 | PA      | $12144042.15  | 0.14%             | 2030-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XVI LTD                                           | BENEFIT STREET PARTNERS CLO LT BSP 2018 16A A1R 144A      | CUSIP: 08181VAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8600000 | PA      | $8420854.17   | 0.10%             | 2032-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST 2020-EYP                                                           | BFLD TRUST BFLD 2020 EYP A 144A                           | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $11422450.80  | 0.13%             | 2035-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BGC PARTNERS INC                                                              | BGC PARTNERS INC SR UNSECURED 07/23 5.375                 | CUSIP: 05541TAK7<br>LEI: TF1LXM1YNB81WKUH5G19 | Long             | DBT              | CORP              | US        |    900000 | PA      | $895929.30    | 0.01%             | 2023-07-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BHP TRUST 2019-BXHP                                                           | BHP TRUST BHPT 2019 BXHP A 144A                           | CUSIP: 05550TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2561021 | PA      | $2492600.67   | 0.03%             | 2036-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2013-2A                                                  | BLUEMOUNTAIN CLO LTD BLUEM 2013 2A A1R 144A               | CUSIP: 09626YAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4465657 | PA      | $4403978.19   | 0.05%             | 2030-10-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 01/24 3.8                   | CUSIP: 05581KAB7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  50047000 | PA      | $49194980.85  | 0.56%             | 2024-01-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 01/25 VAR                   | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   9330000 | PA      | $9240511.03   | 0.11%             | 2025-01-10      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 03/23 3.5                   | CUSIP: 09659W2E3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  14075000 | PA      | $14041312.05  | 0.16%             | 2023-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED REGS 01/24 3.8                   | CUSIP: 05581LAB5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  10200000 | PA      | $10026351.32  | 0.11%             | 2024-01-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED REGS 01/24 VAR                   | CUSIP: F1066WTY8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $4039639.64   | 0.05%             | 2024-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/23 1.167                        | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  40610000 | PA      | $40455455.40  | 0.46%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/24 1.433                        | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  44917000 | PA      | $43063165.36  | 0.49%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 03/23 2.8                          | CUSIP: 097023BW4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    425000 | PA      | $423442.73    | 0.00%             | 2023-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 05/23 4.508                        | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  66926000 | PA      | $66811117.51  | 0.76%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                                        | BP CAPITAL MARKETS PLC                                    | CUSIP: 05568UPA8<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |  83200000 | PA      | $82760190.66  | 0.94%             | 2023-02-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA SR UNSECURED 144A 09/23 VAR                       | CUSIP: 05583JAD4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1125000 | PA      | $1126984.68   | 0.01%             | 2023-09-12      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| BRASS NO 8 PLC 8A                                                             | BRASS PLC BRASS 8A A1 144A                                | CUSIP: 10554MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1722722 | PA      | $1723119.47   | 0.02%             | 2066-11-16      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                                 | BSST MORTGAGE TRUST BSST 2021 1818 A 144A                 | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $565799.22    | 0.01%             | 2036-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 LTD                                                             | BXMT LTD BXMT 2020 FL3 A 144A                             | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  57900000 | PA      | $57012847.52  | 0.65%             | 2037-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                     | CANADIAN IMPERIAL BANK SR UNSECURED 12/23 VAR             | CUSIP: 13607GRT3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9967113.50   | 0.11%             | 2023-12-14      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2017-A5                               | CAPITAL ONE MULTI ASSET EXECUT COMET 2017 A5 A5           | CUSIP: 14041NFP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34100000 | PA      | $34058350.26  | 0.39%             | 2027-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-3R LTD 2014-3RA                     | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 3RA A1A 144A     | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4711205 | PA      | $4643830.01   | 0.05%             | 2031-07-27      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A                              | CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A     | CUSIP: 14310BAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  42118270 | PA      | $41662273.60  | 0.47%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD 2017-1A                                                    | CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A      | CUSIP: 14314BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $9840561.50   | 0.11%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                                     | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                  | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20892825 | PA      | $20594524.38  | 0.23%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINANCIAL SERVICES CORPORATION                                    | CATERPILLAR FINL SERVICE SR UNSECURED 05/23 VAR           | CUSIP: 14913Q2M0<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3102429.13   | 0.04%             | 2023-05-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CBAM LTD 2017-1A                                                              | CBAM CLO MANAGEMENT LLC CBAM 2017 1A A1 144A              | CUSIP: 12480VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6877531 | PA      | $6809081.41   | 0.08%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RESOURCES CORP                                             | CENTERPOINT ENERGY RES SR UNSECURED 03/23 VAR             | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |  31980000 | PA      | $31964943.82  | 0.36%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR             | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  54793000 | PA      | $55053928.10  | 0.63%             | 2024-02-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2019-2A                                             | CHESAPEAKE FUNDING II LLC CFII 2019 2A A2 144A            | CUSIP: 165183CE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    552671 | PA      | $552450.98    | 0.01%             | 2031-09-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2020-1A                                             | CHESAPEAKE FUNDING II LLC CFII 2020 1A A1 144A            | CUSIP: 165183CJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5870985 | PA      | $5789503.70   | 0.07%             | 2032-08-15      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2020-1A                                             | CHESAPEAKE FUNDING II LLC CFII 2020 1A A2 144A            | CUSIP: 165183CK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6393251 | PA      | $6388867.69   | 0.07%             | 2032-08-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CHUGOKU ELECTRIC POWER CO INC                                                 | CHUGOKU ELECTRIC POWER SR SECURED REGS 08/24 2.401        | CUSIP: ACI1F2P70<br>LEI: 353800MV866ELME96Q46 | Long             | DBT              | CORP              | JP        |  11600000 | PA      | $11033804.00  | 0.13%             | 2024-08-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                      | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                    | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  44000000 | PA      | $43561614.36  | 0.50%             | 2030-10-24      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                             | CIGNA CORP COMPANY GUAR 07/23 3.75                        | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   4942000 | PA      | $4910447.46   | 0.06%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                             | CIGNA CORP COMPANY GUAR 07/23 VAR                         | CUSIP: 125523AC4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |  25946000 | PA      | $25992753.91  | 0.30%             | 2023-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                    | CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A               | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3174754 | PA      | $3159803.98   | 0.04%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CITIBANK CREDIT CARD ISSUANCE TRUST 2017-A5                                   | CITIBANK CREDIT CARD ISSUANCE CCCIT 2017 A5 A5            | CUSIP: 17305EGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  55100000 | PA      | $55138261.44  | 0.63%             | 2026-04-22      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A5                                   | CITIBANK CREDIT CARD ISSUANCE CCCIT 2018 A5 A5            | CUSIP: 17305EGP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34100000 | PA      | $34099706.74  | 0.39%             | 2027-08-07      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 05/24 VAR                      | CUSIP: 172967LL3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8724000 | PA      | $8738245.16   | 0.10%             | 2024-05-17      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 06/24 VAR                      | CUSIP: 172967MA6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  55800000 | PA      | $55883872.42  | 0.64%             | 2024-06-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAPITAL LLC                                                    | CNH INDUSTRIAL CAP LLC COMPANY GUAR 01/24 4.2             | CUSIP: 12592BAJ3<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $19721013.80  | 0.22%             | 2024-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAPITAL LLC                                                    | CNH INDUSTRIAL CAP LLC COMPANY GUAR 07/23 1.95            | CUSIP: 12592BAK0<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   9860000 | PA      | $9693791.36   | 0.11%             | 2023-07-02      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL NV                                                             | CNH INDUSTRIAL NV SR UNSECURED 08/23 4.5                  | CUSIP: 12594KAA0<br>LEI: 549300WGC2HZ5J67V817 | Long             | DBT              | CORP              | NL        |  46930000 | PA      | $46644983.32  | 0.53%             | 2023-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLT 2021-4 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2021 4 A1 144A                      | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27849542 | PA      | $22747219.27  | 0.26%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                                 | COMM MORTGAGE TRUST COMM 2021 2400 A 144A                 | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9246124.00   | 0.11%             | 2038-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2017-AGS                                        | COMMONBOND STUDENT LOAN TRUST CBSLT 2017 AGS A2 144A      | CUSIP: 20267VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340432 | PA      | $335297.51    | 0.00%             | 2041-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                      | CUSIP: 20911MNH6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |  10250000 | PA      | $10226261.00  | 0.12%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                      | CUSIP: 20911MNJ2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |  10350000 | PA      | $10324664.96  | 0.12%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                      | CUSIP: 20911MNK9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |  10250000 | PA      | $10223555.00  | 0.12%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON COMPANY OF NEW YORK INC                                   | CONSOLIDATED ED CO N                                      | CUSIP: 20911MNL7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |  10250000 | PA      | $10222196.88  | 0.12%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC                                  | CUSIP: 21037DN91<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   4900000 | PA      | $4893353.69   | 0.06%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC                                  | CUSIP: 21037DNA8<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |  11200000 | PA      | $11183268.77  | 0.13%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC                                  | CUSIP: 21037DNB6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |  13450000 | PA      | $13428049.60  | 0.15%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC                                  | CUSIP: 21037DNC4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   4950000 | PA      | $4941237.66   | 0.06%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC                                  | CUSIP: 21037DNH3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |  27100000 | PA      | $27033171.40  | 0.31%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC                                  | CUSIP: 21037DNR1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |  13800000 | PA      | $13750356.02  | 0.16%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                                     | COREBRIDGE GLOB FUNDING SR SECURED 144A 09/23 0.4         | CUSIP: 00138CAT5<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1938009.14   | 0.02%             | 2023-09-13      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/NEW YORK BRANCH                                              | CREDIT SUISSE NEW YORK SR UNSECURED 02/24 VAR             | CUSIP: 22550UAB7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |  62400000 | PA      | $59705020.75  | 0.68%             | 2024-02-02      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/NEW YORK BRANCH                                              | CREDIT SUISSE NEW YORK SR UNSECURED 05/23 1               | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |  19750000 | PA      | $19294599.96  | 0.22%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/NEW YORK BRANCH                                              | CREDIT SUISSE NEW YORK SR UNSECURED 08/23 VAR             | CUSIP: 22550UAD3<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   5658000 | PA      | $5521065.37   | 0.06%             | 2023-08-09      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 06/23 3.8             | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  10800000 | PA      | $10518328.12  | 0.12%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/24 VAR        | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  10000000 | PA      | $9751636.50   | 0.11%             | 2024-06-12      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/24 VAR        | CUSIP: 225401AH1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   6000000 | PA      | $5683287.12   | 0.06%             | 2024-06-12      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP A 144A        | CUSIP: 12651QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $12260891.50  | 0.14%             | 2032-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CRESTLINE DENALI CLO XV 2017-1A                                               | CRESTLINE DENALI CLO XV, LTD. DEN15 2017 1A AR 144A       | CUSIP: 22616CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21585790 | PA      | $21315967.85  | 0.24%             | 2030-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                              | CUSIP: 22823QN56<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |  42500000 | PA      | $42465603.48  | 0.48%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                              | CUSIP: 22823QN98<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |  57100000 | PA      | $57022629.50  | 0.65%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                              | CUSIP: 22823QNX5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   9100000 | PA      | $9059757.80   | 0.10%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                                         | CRSNT TRUST CRSNT 2021 MOON A 144A                        | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  52400000 | PA      | $49346384.76  | 0.56%             | 2036-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A        | CUSIP: 126395AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8700000 | PA      | $8494884.45   | 0.10%             | 2037-10-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                      | DAIMLER TRUCKS FINAN NA COMPANY GUAR 144A 04/24 VAR       | CUSIP: 233853AK6<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996582.77    | 0.01%             | 2024-04-05      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                      | DAIMLER TRUCKS FINAN NA COMPANY GUAR 144A 06/23 VAR       | CUSIP: 233853AA8<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |  39800000 | PA      | $39753686.33  | 0.45%             | 2023-06-14      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                      | DAIMLER TRUCKS FINAN NA COMPANY GUAR 144A 12/23 VAR       | CUSIP: 233853AC4<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |  23400000 | PA      | $23262957.20  | 0.26%             | 2023-12-14      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS RETAIL TRUST 2022-1                                            | DAIMLER TRUCKS RETAIL TRUST DTRT 2022 1 A2                | CUSIP: 233869AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $699538.21    | 0.01%             | 2024-09-16      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED 144A 01/24 5.375             | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  17755000 | PA      | $17615123.62  | 0.20%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED 144A 09/23 VAR               | CUSIP: 23636AAQ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  20557000 | PA      | $20561541.04  | 0.23%             | 2023-09-12      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED REGS 01/24 5.375             | CUSIP: 23636BAT6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  28347000 | PA      | $28123678.37  | 0.32%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                               | DANSKE BANK A/S SR UNSECURED REGS 09/23 VAR               | CUSIP: 23636BAP4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  10128000 | PA      | $10130237.28  | 0.12%             | 2023-09-12      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| DBCG 2017-BBG MORTGAGE TRUST                                                  | DBCG MORTGAGE TRUST DBCG 2017 BBG A 144A                  | CUSIP: 233062AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  78640000 | PA      | $77312368.06  | 0.88%             | 2034-06-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| DBWF-2018-GLKS                                                                | DBWF MORTGAGE TRUST DBWF 2018 GLKS A 144A                 | CUSIP: 23307GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $874523.25    | 0.01%             | 2030-12-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 02/23 3.95                  | CUSIP: 251526BR9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  58408000 | PA      | $58209995.71  | 0.66%             | 2023-02-27      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 02/23 VAR                   | CUSIP: 251526BS7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1750000 | PA      | $1750497.70   | 0.02%             | 2023-02-27      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 11/23 VAR                   | CUSIP: 251526CL1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  32300000 | PA      | $32091310.35  | 0.37%             | 2023-11-08      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NOTE TRUST 2017-A5                                    | DISCOVER CARD EXECUTION NOTE T DCENT 2017 A5 A5           | CUSIP: 254683CA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34100000 | PA      | $34116558.96  | 0.39%             | 2026-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| DLLMT-2021-1A                                                                 | DLLMT LLC DLLMT 2021 1A A3 144A                           | CUSIP: 23345FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2849447.40   | 0.03%             | 2025-07-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                           | DOMINION RESOURCES                                        | CUSIP: 2574P1NX6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  10500000 | PA      | $10456543.97  | 0.12%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                           | DOMINION RESOURCES                                        | CUSIP: 2574P1P14<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  16300000 | PA      | $16230356.95  | 0.18%             | 2023-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN 47 SENIOR LOAN FUND 2017-47A                                           | DRYDEN SENIOR LOAN FUND DRSLF 2017 47A A1R 144A           | CUSIP: 26245EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4539404 | PA      | $4496692.10   | 0.05%             | 2028-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| DRYDEN 80 CLO LTD 2019-80A                                                    | DRYDEN SENIOR LOAN FUND DRSLF 2019 80A AR 144A            | CUSIP: 26245JAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3333919.98   | 0.04%             | 2033-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                      | EBAY INC SR UNSECURED 01/23 2.75                          | CUSIP: 278642AS2<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |   6100000 | PA      | $6090136.18   | 0.07%             | 2023-01-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EDUCATIONAL SERVICES OF AMERICA INC 2012-1                                    | EDUCATIONAL SERVICES OF AMERIC EDUSA 2012 1 A1 144A       | CUSIP: 281380AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23392 | PA      | $23376.54     | 0.00%             | 2040-09-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| EDUCATIONAL SERVICES OF AMERICA INC 2012-2                                    | EDUCATIONAL SERVICES OF AMERIC EDUSA 2012 2 A 144A        | CUSIP: 28137QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413765 | PA      | $409071.10    | 0.00%             | 2039-04-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA (EDF)                                                | ELECTRICITE DE FRANCE SA                                  | CUSIP: 28504HNL4<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |   4000000 | PA      | $3989196.68   | 0.05%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO LTD 2017-8A                                                     | ELEVATION CLO LTD AWPT 2017 8A A1R2 144A                  | CUSIP: 28622VAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15600000 | PA      | $15321206.16  | 0.17%             | 2030-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ELFI GRADUATE LOAN PROGRAM 2021-A LLC                                         | ELFI GRADUATE LOAN PROGRAM 202 ELFI 2021 A A 144A         | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7509460 | PA      | $6568886.60   | 0.07%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 1 A1 144A        | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  41676517 | PA      | $35061091.30  | 0.40%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                             | ENBRIDGE (US) INC                                         | CUSIP: 29251VN44<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |  18500000 | PA      | $18487818.31  | 0.21%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                             | ENBRIDGE (US) INC                                         | CUSIP: 29251VN93<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |  19000000 | PA      | $18974888.27  | 0.22%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                             | ENBRIDGE (US) INC                                         | CUSIP: 29251VNL6<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |  27800000 | PA      | $27722095.23  | 0.32%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                                                      | ENEL FINANCE AMERICA                                      | CUSIP: 29279HNC5<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |  43200000 | PA      | $43126617.46  | 0.49%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV COMPANY GUAR 144A 09/24 2.65         | CUSIP: 29278GAL2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  14100000 | PA      | $13499937.56  | 0.15%             | 2024-09-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER PARTNERS                                  | CUSIP: 29277FN56<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  47000000 | PA      | $46961961.49  | 0.53%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A           | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2342861 | PA      | $2278843.11   | 0.03%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                            | FANNIE MAE FNR 1998 22 FA                                 | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39445 | PA      | $39306.64     | 0.00%             | 2028-04-18      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                            | FANNIE MAE FNR 2001 46 F                                  | CUSIP: 313920ZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    249207 | PA      | $248217.36    | 0.00%             | 2031-09-18      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-57                                                            | FANNIE MAE FNR 2001 57 F                                  | CUSIP: 313921JD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52923 | PA      | $52530.54     | 0.00%             | 2031-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-13                                                            | FANNIE MAE FNR 2002 13 FB                                 | CUSIP: 31392B4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12455 | PA      | $12485.11     | 0.00%             | 2032-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-34                                                            | FANNIE MAE FNR 2002 34 FA                                 | CUSIP: 31392CM92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62834 | PA      | $62588.37     | 0.00%             | 2032-05-18      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-39                                                            | FANNIE MAE FNR 2002 39 FB                                 | CUSIP: 31392DQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72214 | PA      | $71749.27     | 0.00%             | 2032-03-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-65                                                            | FANNIE MAE FNR 2002 65 FC                                 | CUSIP: 31392EG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58513 | PA      | $58180.66     | 0.00%             | 2026-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                            | FANNIE MAE FNR 2005 79 NF                                 | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241942 | PA      | $238076.91    | 0.00%             | 2035-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-112                                                           | FANNIE MAE FNR 2006 112 DF                                | CUSIP: 31396LQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42817 | PA      | $41859.41     | 0.00%             | 2036-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-109                                                           | FANNIE MAE FNR 2007 109 GF                                | CUSIP: 31396X2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    267326 | PA      | $264966.95    | 0.00%             | 2037-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-16                                                            | FANNIE MAE FNR 2007 16 FC                                 | CUSIP: 31396PXY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39743 | PA      | $39442.53     | 0.00%             | 2037-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-3                                                             | FANNIE MAE FNR 2007 3 FG                                  | CUSIP: 31396PRM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    258925 | PA      | $251408.99    | 0.00%             | 2037-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                            | FANNIE MAE FNR 2007 42 AF                                 | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10592 | PA      | $10305.74     | 0.00%             | 2037-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-1                                                             | FANNIE MAE FNR 2008 1 LF                                  | CUSIP: 31396YCM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50373 | PA      | $50184.50     | 0.00%             | 2037-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-53                                                            | FANNIE MAE FNR 2008 53 LF                                 | CUSIP: 31397LC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11948 | PA      | $11930.79     | 0.00%             | 2038-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-4                                                             | FANNIE MAE FNR 2010 4 AF                                  | CUSIP: 31398GS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11486 | PA      | $11435.90     | 0.00%             | 2040-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-12                                                            | FANNIE MAE FNR 2020 12 WF                                 | CUSIP: 3136B8D55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8351605 | PA      | $8274106.61   | 0.09%             | 2060-03-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-22                                                     | FANNIE MAE FNR 2007 22 FY                                 | CUSIP: 31396PT76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    158468 | PA      | $155094.11    | 0.00%             | 2037-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-7                                                      | FANNIE MAE FNR 2007 7 F                                   | CUSIP: 31396PSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16931 | PA      | $16521.86     | 0.00%             | 2037-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-3                                                      | FANNIE MAE FNR 2008 3 FG                                  | CUSIP: 31396YJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    648544 | PA      | $647890.29    | 0.01%             | 2038-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-89                                                     | FANNIE MAE FNR 2010 89 CF                                 | CUSIP: 31398TNX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    264489 | PA      | $260205.67    | 0.00%             | 2038-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-42                                                     | FANNIE MAE FNR 2014 42 FA                                 | CUSIP: 3136AKPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2370031 | PA      | $2296578.53   | 0.03%             | 2044-07-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-49                                                     | FANNIE MAE FNR 2014 49 AF                                 | CUSIP: 3136AKWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2903906 | PA      | $2821546.24   | 0.03%             | 2044-08-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-50                                                     | FANNIE MAE FNR 2014 50 FC                                 | CUSIP: 3136AKXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5732729 | PA      | $5589452.00   | 0.06%             | 2044-08-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-61                                                     | FANNIE MAE FNR 2014 61 FA                                 | CUSIP: 3136ALFX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3758290 | PA      | $3642788.17   | 0.04%             | 2044-10-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-86                                                     | FANNIE MAE FNR 2014 86 PA                                 | CUSIP: 3136AMHN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    975593 | PA      | $855546.60    | 0.01%             | 2044-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-87                                                     | FANNIE MAE FNR 2015 87 BF                                 | CUSIP: 3136AQWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1842402 | PA      | $1794363.02   | 0.02%             | 2045-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-40                                                     | FANNIE MAE FNR 2016 40 AF                                 | CUSIP: 3136ASK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    273808 | PA      | $266620.68    | 0.00%             | 2046-07-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-40                                                     | FANNIE MAE FNR 2016 40 DF                                 | CUSIP: 3136ASL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4025352 | PA      | $3914691.52   | 0.04%             | 2046-07-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-40                                                     | FANNIE MAE FNR 2016 40 EF                                 | CUSIP: 3136ASL87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6001470 | PA      | $5841049.51   | 0.07%             | 2046-07-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-39                                                     | FANNIE MAE FNR 2018 39 FW                                 | CUSIP: 3136B2CD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8090317 | PA      | $7905823.66   | 0.09%             | 2048-06-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-28                                                     | FANNIE MAE FNR 2019 28 FJ                                 | CUSIP: 3136B4UP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5420279 | PA      | $5254699.12   | 0.06%             | 2059-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-53                                                     | FANNIE MAE FNR 2019 53 FA                                 | CUSIP: 3136B5K95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7253408 | PA      | $6994584.16   | 0.08%             | 2049-09-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-60                                                     | FANNIE MAE FNR 2019 60 WF                                 | CUSIP: 3136B6VA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4967025 | PA      | $4963923.45   | 0.06%             | 2059-10-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                                 | FEDERAL HOME LOAN BANK BONDS 01/23 VAR                    | CUSIP: 3130ATAD9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        | 336000000 | PA      | $336000924.00 | 3.82%             | 2023-01-10      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                                 | FEDERAL HOME LOAN BANK BONDS 01/23 VAR                    | CUSIP: 3130ATCZ8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        | 250000000 | PA      | $250002610.00 | 2.85%             | 2023-01-17      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FEDERATION DES CAISSES DESJARDINS DU QUEBEC                                   | FED CAISSES DESJARDINS SR UNSECURED 144A 05/24 0.7        | CUSIP: 31429KAE3<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   4000000 | PA      | $3749419.04   | 0.04%             | 2024-05-21      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR            | CUSIP: 31300MNY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1318145 | PA      | $1340008.85   | 0.02%             | 2037-09-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FIRST ABU DHABI BANK PJSC                                                     | FIRST ABU DHABI BANK PJS SR UNSECURED REGS 08/23 VAR      | CUSIP: ACI1DSTV8<br>LEI: 2138002Y3WMK6RZS8H90 | Long             | DBT              | CORP              | AE        |   9000000 | PA      | $8997147.00   | 0.10%             | 2023-08-08      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                    | FISERV INC                                                | CUSIP: 33774LN95<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |  15300000 | PA      | $15280458.53  | 0.17%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                             | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 A 144A             | CUSIP: 33844TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13494 | PA      | $13476.20     | 0.00%             | 2025-04-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL5548 FN 05/38 FLOATING VAR                    | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    233693 | PA      | $237375.39    | 0.00%             | 2038-05-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL7183 FN 01/36 FLOATING VAR                    | CUSIP: 3138EP6V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1731906 | PA      | $1765367.81   | 0.02%             | 2036-01-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2022-C                                           | FORD CREDIT AUTO OWNER TRUST FORDO 2022 C A2B             | CUSIP: 34535AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21300000 | PA      | $21327732.60  | 0.24%             | 2025-04-15      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST A 2020-1                             | FORD CREDIT FLOORPLAN MASTER O FORDF 2020 1 A2            | CUSIP: 34528QHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  47700000 | PA      | $47544626.79  | 0.54%             | 2025-09-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2022-1                         | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2022 1 A2 144A        | CUSIP: 35105JAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14843019 | PA      | $14580596.32  | 0.17%             | 2025-09-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3850                                                              | FREDDIE MAC FHR 3850 FC                                   | CUSIP: 3137A96V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164359 | PA      | $161477.24    | 0.00%             | 2041-04-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3898                                                              | FREDDIE MAC FHR 3898 TF                                   | CUSIP: 3137ADYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21993 | PA      | $21643.76     | 0.00%             | 2039-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4615                                                              | FREDDIE MAC FHR 4615 AF                                   | CUSIP: 3137BRYG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    418124 | PA      | $407080.59    | 0.00%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KF60             | FHLMC MULTIFAMILY STRUCTURED P FHMS KF60 A                | CUSIP: 3137FL7L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2711619 | PA      | $2690654.27   | 0.03%             | 2026-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4102                                                       | FREDDIE MAC FHR 4102 LF                                   | CUSIP: 3137AUMR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11488 | PA      | $11425.99     | 0.00%             | 2040-01-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4344                                                       | FREDDIE MAC FHR 4344 FA                                   | CUSIP: 3137BAJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1039281 | PA      | $1008079.96   | 0.01%             | 2037-12-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4367                                                       | FREDDIE MAC FHR 4367 GF                                   | CUSIP: 3137BCL48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5833857 | PA      | $5633367.17   | 0.06%             | 2037-03-15      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4521                                                       | FREDDIE MAC FHR 4521 AF                                   | CUSIP: 3137BLN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2141365 | PA      | $2079081.44   | 0.02%             | 2041-05-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4600                                                       | FREDDIE MAC FHR 4600 FA                                   | CUSIP: 3137BQX77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3474340 | PA      | $3474071.83   | 0.04%             | 2044-11-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4678                                                       | FREDDIE MAC FHR 4678 AF                                   | CUSIP: 3137BWWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1547879 | PA      | $1537463.27   | 0.02%             | 2042-12-15      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4722                                                       | FREDDIE MAC FHR 4722 FA                                   | CUSIP: 3137FAWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2001450 | PA      | $1974319.96   | 0.02%             | 2038-05-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4736                                                       | FREDDIE MAC FHR 4736 AF                                   | CUSIP: 3137FCHA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4134111 | PA      | $3825893.85   | 0.04%             | 2042-08-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4794                                                       | FREDDIE MAC FHR 4794 WF                                   | CUSIP: 3137F5MJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4847768 | PA      | $4807612.28   | 0.05%             | 2043-03-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4842                                                       | FREDDIE MAC FHR 4842 FW                                   | CUSIP: 3137FJG52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11578199 | PA      | $11610143.45  | 0.13%             | 2037-10-15      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4875                                                       | FREDDIE MAC FHR 4875 F                                    | CUSIP: 3137FLA87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3257039 | PA      | $3171153.36   | 0.04%             | 2049-04-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4903                                                       | FREDDIE MAC FHR 4903 F                                    | CUSIP: 3137FN4L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    892067 | PA      | $864145.72    | 0.01%             | 2048-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4913                                                       | FREDDIE MAC FHR 4913 FC                                   | CUSIP: 3137FNJC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6284072 | PA      | $6252169.92   | 0.07%             | 2044-06-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5104                                                       | FREDDIE MAC FHR 5104 DC                                   | CUSIP: 3137FYYN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4514168 | PA      | $3568530.47   | 0.04%             | 2044-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 242                                                        | FREDDIEMAC STRIP FHS 242 F29                              | CUSIP: 3128HWDU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2327 | PA      | $2304.84      | 0.00%             | 2036-11-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 328                                                        | FREDDIEMAC STRIP FHS 328 F4                               | CUSIP: 31351DC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4595940 | PA      | $4474626.17   | 0.05%             | 2038-02-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 330                                                        | FREDDIEMAC STRIP FHS 330 F4                               | CUSIP: 31351DDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2980154 | PA      | $2930337.76   | 0.03%             | 2037-10-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3279                                                              | FREDDIE MAC FHR 3279 FB                                   | CUSIP: 31397FB50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    632405 | PA      | $616907.69    | 0.01%             | 2037-02-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 04/24 1              | CUSIP: 36143L2B0<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  63200000 | PA      | $59235178.97  | 0.67%             | 2024-04-08      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 04/25 VAR            | CUSIP: 36143L2K0<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  17100000 | PA      | $16725093.62  | 0.19%             | 2025-04-11      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 09/24 VAR            | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  50570000 | PA      | $49137813.60  | 0.56%             | 2024-09-13      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GALAXY XV CLO LTD 2013-15A                                                    | GALAXY CLO LTD GALXY 2013 15A ARR 144A                    | CUSIP: 36318WAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6900000 | PA      | $6748469.86   | 0.08%             | 2030-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                            | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A       | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $5896500.00   | 0.07%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GCAT 2022-HX1 TRUST                                                           | GCAT GCAT 2022 HX1 A1 144A                                | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25634394 | PA      | $22915099.99  | 0.26%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| GCAT LLC 2019-RPL1                                                            | GCAT GCAT 2019 RPL1 A1 144A                               | CUSIP: 36167CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986946 | PA      | $1872628.07   | 0.02%             | 2068-10-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS COMPANY                                                        | GENERAL MOTORS CO SR UNSECURED 10/23 4.875                | CUSIP: 37045VAE0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   3242000 | PA      | $3232889.92   | 0.04%             | 2023-10-02      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 01/23 3.25            | CUSIP: 37045XCF1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  43000000 | PA      | $42997470.74  | 0.49%             | 2023-01-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 01/23 VAR             | CUSIP: 37045XCE4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  30240000 | PA      | $30237726.86  | 0.34%             | 2023-01-05      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 05/23 3.7             | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   6986000 | PA      | $6952417.53   | 0.08%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO COMPANY GUAR 05/23 4.25            | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $12948174.85  | 0.15%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO SR UNSECURED 01/24 5.1             | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4982252.70   | 0.06%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO SR UNSECURED 03/24 1.05            | CUSIP: 37045XDG8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    882000 | PA      | $837949.53    | 0.01%             | 2024-03-08      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO SR UNSECURED 06/23 4.15            | CUSIP: 37045XCL8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  17993000 | PA      | $17900032.33  | 0.20%             | 2023-06-19      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO SR UNSECURED 08/23 1.7             | CUSIP: 37045XCZ7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    865000 | PA      | $845370.57    | 0.01%             | 2023-08-18      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                                          | GENERAL MOTORS FINL CO SR UNSECURED 11/23 VAR             | CUSIP: 37045XDC7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  29931000 | PA      | $29853863.32  | 0.34%             | 2023-11-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2022-3                     | GM FINANCIAL SECURITIZED TERM GMCAR 2022 3 A2B            | CUSIP: 36265WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19200000 | PA      | $19226016.00  | 0.22%             | 2025-09-16      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2022-4                     | GM FINANCIAL SECURITIZED TERM GMCAR 2022 4 A2B            | CUSIP: 36265QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12500000 | PA      | $12525300.00  | 0.14%             | 2025-11-17      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 354798 GN 04/24 FIXED 7                         | CUSIP: 36203PDB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179 | PA      | $179.29       | 0.00%             | 2024-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 385437 GN 02/24 FIXED 7                         | CUSIP: 36205BEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $41.35        | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 388562 GN 07/24 FIXED 7.5                       | CUSIP: 36205ETT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8977 | PA      | $8972.83      | 0.00%             | 2024-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 402398 GN 08/24 FIXED 7                         | CUSIP: 36205V7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8664 | PA      | $8656.51      | 0.00%             | 2024-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 402438 GN 09/24 FIXED 7                         | CUSIP: 36205WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7703 | PA      | $7696.96      | 0.00%             | 2024-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 402453 GN 09/24 FIXED 7                         | CUSIP: 36205WBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12165 | PA      | $12155.62     | 0.00%             | 2024-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 429790 GN 12/33 FIXED 6.5                       | CUSIP: 36207ENF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1178 | PA      | $1212.95      | 0.00%             | 2033-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 441967 GN 06/31 FIXED 7                         | CUSIP: 36207T6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $652.04       | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 455301 GN 09/27 FIXED 7.5                       | CUSIP: 36208MX67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2780 | PA      | $2809.72      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 462512 GN 02/28 FIXED 7.5                       | CUSIP: 36208VYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6176 | PA      | $6190.08      | 0.00%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 462600 GN 03/28 FIXED 7                         | CUSIP: 36208V3H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29 | PA      | $29.17        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 462765 GN 06/28 FIXED 7.5                       | CUSIP: 36208WCA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6129 | PA      | $6253.12      | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 485867 GN 10/31 FIXED 7                         | CUSIP: 36209YW46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       459 | PA      | $460.13       | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 508472 GN 04/31 FIXED 7                         | CUSIP: 36211B2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125 | PA      | $126.66       | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 511872 GN 01/31 FIXED 7                         | CUSIP: 36211FT54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       147 | PA      | $147.61       | 0.00%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 543868 GN 01/31 FIXED 7                         | CUSIP: 36212UFH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       458 | PA      | $458.25       | 0.00%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 545862 GN 08/31 FIXED 7                         | CUSIP: 36212WMK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $91.15        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 551599 GN 08/31 FIXED 7                         | CUSIP: 36213DX45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       813 | PA      | $818.01       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 557712 GN 08/31 FIXED 7                         | CUSIP: 36213LR93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396 | PA      | $398.07       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 568048 GN 08/31 FIXED 7                         | CUSIP: 36213YBR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       627 | PA      | $627.78       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 569554 GN 01/32 FIXED 7                         | CUSIP: 36200QWP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1103 | PA      | $1135.81      | 0.00%             | 2032-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 571205 GN 09/31 FIXED 7                         | CUSIP: 36200SR28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       529 | PA      | $544.42       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 572369 GN 10/31 FIXED 7                         | CUSIP: 36200T2A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157 | PA      | $156.95       | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 590330 GN 07/32 FIXED 7                         | CUSIP: 36201QY31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       603 | PA      | $616.45       | 0.00%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 605375 GN 09/34 FIXED 6.5                       | CUSIP: 36200NQ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7156 | PA      | $7363.98      | 0.00%             | 2034-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 621752 GN 11/33 FIXED 6.5                       | CUSIP: 36290YWM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2426 | PA      | $2422.80      | 0.00%             | 2033-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 622628 GN 11/33 FIXED 6.5                       | CUSIP: 36291AVV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       932 | PA      | $959.49       | 0.00%             | 2033-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 628408 GN 11/33 FIXED 6.5                       | CUSIP: 36291HDM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3069 | PA      | $3158.11      | 0.00%             | 2033-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 781690 GN 12/33 FIXED 6                         | CUSIP: 36225B2X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10095 | PA      | $10708.05     | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD 2017-2A                               | GOLDENTREE LOAN MANAGEMENT US GLM 2017 2A AR 144A         | CUSIP: 38136MAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  31500000 | PA      | $31115016.45  | 0.35%             | 2030-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/23 VAR            | CUSIP: 38141GWU4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  21715000 | PA      | $21726621.43  | 0.25%             | 2023-02-23      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 VAR            | CUSIP: 38141GXW9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $496977.55    | 0.01%             | 2024-03-08      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 VAR            | CUSIP: 38141GZQ0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  16600000 | PA      | $16593932.87  | 0.19%             | 2024-03-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 10/24 VAR            | CUSIP: 38141GYQ1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  26600000 | PA      | $26192261.90  | 0.30%             | 2024-10-21      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 11/23 VAR            | CUSIP: 38141EB81<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2478000 | PA      | $2497267.91   | 0.03%             | 2023-11-29      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-115                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 115 FP            | CUSIP: 38377KEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3253588 | PA      | $3209046.09   | 0.04%             | 2040-09-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-129                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 129 FJ            | CUSIP: 38377MAP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5972186 | PA      | $5899385.03   | 0.07%             | 2040-10-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-15                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 15 AF             | CUSIP: 38376WXM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2055291 | PA      | $2048614.66   | 0.02%             | 2040-02-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-37                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 37 FG             | CUSIP: 38376XJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4443599 | PA      | $4437362.38   | 0.05%             | 2040-03-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-4                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 4 FM              | CUSIP: 38376TX98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2387180 | PA      | $2370930.47   | 0.03%             | 2040-01-16      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-50                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 50 GF             | CUSIP: 38376YGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4225720 | PA      | $4216592.00   | 0.05%             | 2040-04-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-69                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 69 FB             | CUSIP: 38377VE28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1741556 | PA      | $1719225.65   | 0.02%             | 2041-05-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-72                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 72 AF             | CUSIP: 38377WGH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6407334 | PA      | $6324083.08   | 0.07%             | 2041-05-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H11                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H11 FA            | CUSIP: 38375BLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750020 | PA      | $744694.56    | 0.01%             | 2061-03-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H13                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H13 FT            | CUSIP: 38375B2L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500502 | PA      | $498883.53    | 0.01%             | 2063-05-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H15                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H15 FC            | CUSIP: 38375B4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    476763 | PA      | $473633.72    | 0.01%             | 2063-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-H10                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 H10 FA            | CUSIP: 38375UFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    974123 | PA      | $969388.87    | 0.01%             | 2064-04-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H04                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H04 FA            | CUSIP: 38378U8L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5892004 | PA      | $5775811.31   | 0.07%             | 2064-12-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H12                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H12 FD            | CUSIP: 38376RBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6948623 | PA      | $6843555.89   | 0.08%             | 2065-05-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H25                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H25 FD            | CUSIP: 38376RJN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8356693 | PA      | $8215184.62   | 0.09%             | 2065-10-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H19                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H19 FA            | CUSIP: 38376RZN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1188733 | PA      | $1176576.04   | 0.01%             | 2066-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH            | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3627427 | PA      | $3579601.81   | 0.04%             | 2066-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FK            | CUSIP: 38376RQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8823534 | PA      | $8713451.72   | 0.10%             | 2066-02-20      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H06                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H06 FD            | CUSIP: 38376RSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3751393 | PA      | $3717937.09   | 0.04%             | 2065-07-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA            | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2187375 | PA      | $2167799.51   | 0.02%             | 2066-07-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FC            | CUSIP: 38376RXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    772678 | PA      | $764583.02    | 0.01%             | 2066-08-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE            | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    328036 | PA      | $313474.57    | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB            | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300836 | PA      | $1288085.94   | 0.01%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H12                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H12 FE            | CUSIP: 38376R2V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142447 | PA      | $141904.61    | 0.00%             | 2066-06-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FD            | CUSIP: 38376R5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    964686 | PA      | $941755.98    | 0.01%             | 2067-06-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FE            | CUSIP: 38376R5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4703784 | PA      | $4682778.72   | 0.05%             | 2067-06-20      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN            | CUSIP: 38376R5Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1827644 | PA      | $1810633.10   | 0.02%             | 2067-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-31                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 31 CF             | CUSIP: 38381RYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4579155 | PA      | $4470174.55   | 0.05%             | 2049-03-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-44                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 44 FE             | CUSIP: 38381TQQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4918392 | PA      | $4796355.77   | 0.05%             | 2049-04-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-78                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 78 FJ             | CUSIP: 38381WUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4657709 | PA      | $4545174.42   | 0.05%             | 2049-06-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H02 FB            | CUSIP: 38380LPZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5678412 | PA      | $5533112.53   | 0.06%             | 2068-12-20      | Floating      | 0.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-17                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 17 EU             | CUSIP: 38382CP47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1284655 | PA      | $1120576.99   | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-21                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 21 AC             | CUSIP: 38382DMC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1588897 | PA      | $1435652.01   | 0.02%             | 2049-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H07                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H07 FA            | CUSIP: 38380L8G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35538638 | PA      | $34280534.71  | 0.39%             | 2070-04-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-97                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 97 FA             | CUSIP: 38382VER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 116426240 | PA      | $100124237.89 | 1.14%             | 2051-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                             | GPMT LTD. GPMT 2021 FL3 A 144A                            | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  25387313 | PA      | $24914344.60  | 0.28%             | 2035-07-16      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                                    | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR A 144A         | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9100000 | PA      | $8689768.36   | 0.10%             | 2031-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18 2014-GC18                              | GS MORTGAGE SECURITIES TRUST GSMS 2014 GC18 AAB           | CUSIP: 36252RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1871027 | PA      | $1852180.79   | 0.02%             | 2047-01-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A1 144A     | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  54370642 | PA      | $49421260.46  | 0.56%             | 2060-12-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                                        | GSK CONSUMER HEALTHCARE COMPANY GUAR 03/24 VAR            | CUSIP: 36264FAJ0<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |  18900000 | PA      | $18838715.99  | 0.21%             | 2024-03-24      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 2 LTD                                                         | HALSEYPOINT CLO II, LTD. HLSY 2020 2A A1 144A             | CUSIP: 40638TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13193762 | PA      | $12990552.44  | 0.15%             | 2031-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                        | HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 02/23 3.35     | CUSIP: 41283LAS4<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |   9570000 | PA      | $9548262.99   | 0.11%             | 2023-02-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HEINEKEN NV                                                                   | HEINEKEN NV SR UNSECURED 144A 04/23 2.75                  | CUSIP: 423012AD5<br>LEI: 724500K5PTPSST86UQ23 | Long             | DBT              | CORP              | NL        |  24061000 | PA      | $23918499.69  | 0.27%             | 2023-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                     | HILTON USA TRUST HILT 2016 SFP A 144A                     | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11600000 | PA      | $11033711.20  | 0.13%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/25 VAR                  | CUSIP: 404280CA5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $2280669.17   | 0.03%             | 2025-03-11      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 05/24 VAR                  | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        | 134185000 | PA      | $133689874.79 | 1.52%             | 2024-05-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                    | HUMANA INC.                                               | CUSIP: 44486JNH8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3392062.70   | 0.04%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                    | HUMANA INC.                                               | CUSIP: 44486JP11<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1692686.74   | 0.02%             | 2023-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2022-C                                | HYUNDAI AUTO LEASE SECURITIZAT HALST 2022 C A2B 144A      | CUSIP: 448978AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $15012063.00  | 0.17%             | 2025-01-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/24 0.8       | CUSIP: 44891ABR7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3806803.84   | 0.04%             | 2024-01-08      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 02/23 2.375     | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5986734.36   | 0.07%             | 2023-02-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/23 1.25      | CUSIP: 44891ABM8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  18145000 | PA      | $17590600.03  | 0.20%             | 2023-09-18      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED REGS 09/23 1.25      | CUSIP: 44891CBM4<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    120000 | PA      | $116333.54    | 0.00%             | 2023-09-18      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                                                      | HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 03/23 3.75     | CUSIP: 44920UAM0<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |   2910000 | PA      | $2900987.24   | 0.03%             | 2023-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                                                      | HYUNDAI CAPITAL SERVICES SR UNSECURED 144A 09/23 0.75     | CUSIP: 44920UAQ1<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |  14476000 | PA      | $13923019.70  | 0.16%             | 2023-09-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL SERVICES                                                      | HYUNDAI CAPITAL SERVICES SR UNSECURED REGS 03/23 3.75     | CUSIP: Y3815NBA8<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |    500000 | PA      | $498451.42    | 0.01%             | 2023-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                                  | ILLUMINA INC SR UNSECURED 03/23 0.55                      | CUSIP: 452327AL3<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   8166000 | PA      | $8083026.17   | 0.09%             | 2023-03-23      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV SR UNSECURED 10/23 4.1                       | CUSIP: 456837AK9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  16246000 | PA      | $16119165.53  | 0.18%             | 2023-10-02      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV SR UNSECURED 10/23 VAR                       | CUSIP: 456837AL7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  37989000 | PA      | $38090478.88  | 0.43%             | 2023-10-02      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                     | VOYA CLO LTD INGIM 2012 4A A1R3 144A                      | CUSIP: 92916GBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14500000 | PA      | $14242206.10  | 0.16%             | 2030-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                          | JACKSON NATL LIFE GLOBAL SECURED 144A 06/24 VAR           | CUSIP: 46849CJL6<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |  40800000 | PA      | $40816862.64  | 0.46%             | 2024-06-28      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| JFIN CLO LTD 2017-2A                                                          | APEX CREDIT CLO LLC JFIN 2017 2A AR 144A                  | CUSIP: 46593CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8392886 | PA      | $8257340.43   | 0.09%             | 2029-09-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 02/26 VAR                | CUSIP: 46647PCX2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12682000 | PA      | $12479547.98  | 0.14%             | 2026-02-24      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/24 VAR                | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  35090000 | PA      | $34863236.84  | 0.40%             | 2024-04-23      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/24 VAR                | CUSIP: 46647PAQ9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  25991000 | PA      | $25998413.93  | 0.30%             | 2024-04-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                  | 7 ELEVEN INC SR UNSECURED 144A 02/23 0.625                | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |  13165000 | PA      | $13098079.28  | 0.15%             | 2023-02-10      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                  | 7 ELEVEN INC SR UNSECURED 144A 02/24 0.8                  | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |  30665000 | PA      | $29194465.14  | 0.33%             | 2024-02-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| JPMCC-2019-BKWD                                                               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 BKWD A 144A     | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39072477 | PA      | $37916287.15  | 0.43%             | 2029-09-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| KANSAI ELECTRIC POWER CO INC                                                  | KANSAI ELECTRIC POWER CO SR SECURED REGS 09/24 2.55       | CUSIP: ACI1FH4Q8<br>LEI: 353800PFUKP5ONPJNZ86 | Long             | DBT              | CORP              | JP        |  14272000 | PA      | $13603784.96  | 0.15%             | 2024-09-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| KEB HANA BANK (AKA: KOREA EXCHANGE BANK)                                      | HANA BANK SR UNSECURED REGS 03/23 VAR                     | CUSIP: ACI120FL8<br>LEI: 6RPK2YDJN6L35AS0M510 | Long             | DBT              | CORP              | KR        |  18900000 | PA      | $18913419.00  | 0.22%             | 2023-03-13      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| KEB HANA BANK (AKA: KOREA EXCHANGE BANK)                                      | HANA BANK SR UNSECURED REGS 06/24 VAR                     | CUSIP: BK1M80II9<br>LEI: 6RPK2YDJN6L35AS0M510 | Long             | DBT              | CORP              | KR        |   1900000 | PA      | $1901994.43   | 0.02%             | 2024-06-13      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| KEB HANA BANK (AKA: KOREA EXCHANGE BANK)                                      | HANA BANK SR UNSECURED REGS 07/23 VAR                     | CUSIP: ACI13X1V8<br>LEI: 6RPK2YDJN6L35AS0M510 | Long             | DBT              | CORP              | KR        |   3000000 | PA      | $3003900.45   | 0.03%             | 2023-07-26      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| KIA CORPORATION                                                               | KIA CORP SR UNSECURED 144A 04/23 3                        | CUSIP: 493738AE8<br>LEI: 988400V8MJK9N7OI5X76 | Long             | DBT              | CORP              | KR        |   1000000 | PA      | $992998.48    | 0.01%             | 2023-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KIA CORPORATION                                                               | KIA CORP SR UNSECURED 144A 04/24 1                        | CUSIP: 49374JAB9<br>LEI: 988400V8MJK9N7OI5X76 | Long             | DBT              | CORP              | KR        |   2200000 | PA      | $2072006.20   | 0.02%             | 2024-04-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                             | KINDER MORGAN INC COMPANY GUAR 144A 11/23 5.625           | CUSIP: 49456BAB7<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   2695000 | PA      | $2697225.18   | 0.03%             | 2023-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 18                                                                | KKR FINANCIAL CLO LTD KKR 18 AR 144A                      | CUSIP: 48251JAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3772529 | PA      | $3737514.04   | 0.04%             | 2030-07-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| KOOKMIN BANK                                                                  | KOOKMIN BANK SR UNSECURED REGS 03/23 2.875                | CUSIP: 50050HAK2<br>LEI: 549300XXMOJSIW8P4769 | Long             | DBT              | CORP              | KR        |   1180000 | PA      | $1174749.00   | 0.01%             | 2023-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KOREA NATIONAL OIL CORP (KNOC)                                                | KOREA NATIONAL OIL CORP SR UNSECURED REGS 07/23 VAR       | CUSIP: BD5JRZII0<br>LEI: 988400ZTQ08W926ONT36 | Long             | DBT              | CORP              | KR        |   7400000 | PA      | $7411988.00   | 0.08%             | 2023-07-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC (AKA: HARRIS CORP)                                  | L3HARRIS TECH INC SR UNSECURED 06/23 3.85                 | CUSIP: 502431AJ8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |  21693000 | PA      | $21569574.21  | 0.25%             | 2023-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LCM 29 LTD                                                                    | LCM LTD PARTNERSHIP LCM 29A AR 144A                       | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $982994.10    | 0.01%             | 2031-04-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| LCM LP 13A                                                                    | LCM LTD PARTNERSHIP LCM 13A AR3 144A                      | CUSIP: 50184KBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3938570 | PA      | $3896058.59   | 0.04%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XV LP 15A                                                                 | LCM LTD PARTNERSHIP LCM 15A AR2 144A                      | CUSIP: 50184NAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    770531 | PA      | $759003.05    | 0.01%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LCM XX LP 20A                                                                 | LCM LTD PARTNERSHIP LCM 20A AR 144A                       | CUSIP: 50188WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    993600 | PA      | $989022.79    | 0.01%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LCM XXII LTD 22A                                                              | LCM LTD PARTNERSHIP LCM 22A A1R 144A                      | CUSIP: 50189GAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5635758 | PA      | $5593209.37   | 0.06%             | 2028-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                          | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A         | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5521485 | PA      | $5072674.78   | 0.06%             | 2066-10-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                                                    | LEIDOS INC COMPANY GUAR 05/23 2.95                        | CUSIP: 52532XAB1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |  39357000 | PA      | $39046300.49  | 0.44%             | 2023-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 08/23 4.05          | CUSIP: 539439AS8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    720000 | PA      | $715290.47    | 0.01%             | 2023-08-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| LMREC 2021-CRE4 LLC                                                           | LATITUDE MANAGEMENT REAL ESTAT LMREC 2021 CRE4 A 144A     | CUSIP: 50210LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6336240 | PA      | $6276972.39   | 0.07%             | 2037-04-22      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE4                                                 | LOANCORE 2018 CRE1 ISSUER, LTD LNCR 2021 CRE4 A 144A      | CUSIP: 53946CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8464946 | PA      | $8219999.45   | 0.09%             | 2035-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                                          | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP A 144A      | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8998594 | PA      | $8620494.20   | 0.10%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MADISON AVENUE MORTGAGE TRUST 2017-330M                                       | MADISON AVENUE TRUST MAD 2017 330M A 144A                 | CUSIP: 55282MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3527800 | PA      | $3293778.45   | 0.04%             | 2034-08-15      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XIX LTD 2015-19A                                         | MADISON PARK FUNDING LTD MDPK 2015 19A A1R2 144A          | CUSIP: 55819QAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    458917 | PA      | $454568.87    | 0.01%             | 2028-01-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XVII LTD 2015-17A                                        | MADISON PARK FUNDING LTD MDPK 2015 17A AR2 144A           | CUSIP: 55818YBN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3965025 | PA      | $3914950.76   | 0.04%             | 2030-07-21      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                       | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A            | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7400000 | PA      | $7316154.30   | 0.08%             | 2031-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXVI LTD 2017-26A                                        | MADISON PARK FUNDING LTD MDPK 2017 26A AR 144A            | CUSIP: 55819YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3942833.48   | 0.04%             | 2030-07-29      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXIV LTD 2019-34A                                       | MADISON PARK FUNDING LTD MDPK 2019 34A AR 144A            | CUSIP: 55819GAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6800000 | PA      | $6693213.48   | 0.08%             | 2032-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXV LTD                                                 | MADISON PARK FUNDING LTD MDPK 2019 35A A1R 144A           | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4422670.65   | 0.05%             | 2032-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                | WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/24 3.528    | CUSIP: 55903VAB9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |  38100000 | PA      | $36941067.72  | 0.42%             | 2024-03-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                | WARNERMEDIA HOLDINGS INC COMPANY GUAR 144A 03/24 VAR      | CUSIP: 55903VAA1<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |  19700000 | PA      | $19642240.39  | 0.22%             | 2024-03-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XVIII LTD 2016-18A                                                  | MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A                 | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4534361 | PA      | $4485170.57   | 0.05%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO IX LTD 2017-9A                                                   | MARATHON CLO LTD MCLO 2017 9A A1AR 144A                   | CUSIP: 56577PAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13276550 | PA      | $13193671.87  | 0.15%             | 2029-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XI LTD 2017-2A                                               | MARBLE POINT CLO XI LTD MP11 2017 2A A 144A               | CUSIP: 56607FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5330615 | PA      | $5228822.11   | 0.06%             | 2030-12-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                        | MARVELL TECHNOLOGY INC COMPANY GUAR 06/23 4.2             | CUSIP: 573874AL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8949669.30   | 0.10%             | 2023-06-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTER CREDIT CARD TRUST II SERIES 2018-1A                                    | MASTER CREDIT CARD TRUST MCCT 2018 1A A 144A              | CUSIP: 576339BM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |  16213000 | PA      | $16213095.66  | 0.18%             | 2024-07-21      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & COMPANY INCORPORATED                                              | MCCORMICK + COMPANY                                       | CUSIP: 57978DNT2<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |  26600000 | PA      | $26502907.07  | 0.30%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                       | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1          | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349980 | PA      | $333279.02    | 0.00%             | 2031-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                       | MERCEDES BENZ FIN NA COMPANY GUAR 144A 05/23 VAR          | CUSIP: 233851DM3<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3200484.38   | 0.04%             | 2023-05-04      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                                       | MERCEDES BENZ FIN NORTH                                   | CUSIP: 58768KNW1<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |  52900000 | PA      | $52685446.59  | 0.60%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 A 144A        | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2552547.06   | 0.03%             | 2034-12-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                         | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11691306 | PA      | $10539440.72  | 0.12%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| ADCB FINANCE (CAYMAN) LIMITED                                                 | ADCB FINANCE CAYMAN LTD COMPANY GUAR REGS 03/23 4         | CUSIP: ACI11PK46<br>LEI: 213800R9XDKRM525M609 | Long             | DBT              | CORP              | KY        |   2366000 | PA      | $2360934.39   | 0.03%             | 2023-03-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS1                                        | MILL CITY MORTGAGE TRUST MCMLT 2019 GS1 A1 144A           | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    608240 | PA      | $568011.80    | 0.01%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER COMPANY                                                     | MISSISSIPPI POWE SR UNSECURED 06/24 VAR                   | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |  16575000 | PA      | $16248916.54  | 0.18%             | 2024-06-28      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC CAPITAL INC                                                     | MITSUBISHI HC CAPITAL SR UNSECURED 144A 09/23 3.96        | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |    210000 | PA      | $207650.10    | 0.00%             | 2023-09-19      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC CAPITAL INC                                                     | MITSUBISHI HC CAPITAL SR UNSECURED REGS 02/24 3.559       | CUSIP: J4706DKF6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |   7093000 | PA      | $6933237.76   | 0.08%             | 2024-02-28      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 07/23 VAR             | CUSIP: 606822AZ7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  37312000 | PA      | $37378864.22  | 0.43%             | 2023-07-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/25 VAR             | CUSIP: 606822CP7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5300000 | PA      | $5301001.54   | 0.06%             | 2025-09-12      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MITSUI FUDOSAN CO LTD                                                         | MITSUI FUDOSAN CO LTD SR UNSECURED REGS 01/23 2.95        | CUSIP: J4509LBW0<br>LEI: 353800ND4ZKNZDYKMF33 | Long             | DBT              | CORP              | JP        |   5000000 | PA      | $4994213.40   | 0.06%             | 2023-01-23      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 05/24 VAR             | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  13710000 | PA      | $13636498.63  | 0.16%             | 2024-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 05/26 VAR             | CUSIP: 60687YBY4<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  36640000 | PA      | $35976681.90  | 0.41%             | 2026-05-22      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 07/24 VAR             | CUSIP: 60687YBG3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   3760000 | PA      | $3751727.51   | 0.04%             | 2024-07-10      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 09/24 VAR             | CUSIP: 60687YBM0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  41300000 | PA      | $41040500.54  | 0.47%             | 2024-09-08      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2014-AA                                            | MMAF EQUIPMENT FINANCE LLC MMAF 2014 AA A5 144A           | CUSIP: 55315CAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48996 | PA      | $48971.36     | 0.00%             | 2025-12-08      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2022-B                                             | MMAF EQUIPMENT FINANCE LLC MMAF 2022 B A1 144A            | CUSIP: 606940AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21512616 | PA      | $21513231.68  | 0.24%             | 2023-12-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                                    | MONDELEZ INTERNATIONAL SR UNSECURED 03/24 2.125           | CUSIP: 609207AZ8<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   6400000 | PA      | $6174827.65   | 0.07%             | 2024-03-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 02/26 VAR                     | CUSIP: 61747YEN1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  66700000 | PA      | $65683147.16  | 0.75%             | 2026-02-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/24 VAR                     | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6400000 | PA      | $6366214.21   | 0.07%             | 2024-04-24      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A       | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  47200000 | PA      | $45265423.04  | 0.52%             | 2023-12-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                      | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF A 144A       | CUSIP: 61691KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4535244 | PA      | $4395239.20   | 0.05%             | 2034-11-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-SUN                                       | MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN A 144A        | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2256261.59   | 0.03%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LLC 2017-1A                                                 | MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A                    | CUSIP: 62432HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9341818 | PA      | $9242265.93   | 0.11%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LLC 2017-2A                                                 | MOUNTAIN VIEW CLO MVEW 2017 2A AR 144A                    | CUSIP: 62432LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16500000 | PA      | $16244250.00  | 0.18%             | 2031-01-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MP CLO VII LTD 2015-1A                                                        | MP CLO VII, LTD MP7 2015 1A AR3 144A                      | CUSIP: 55320RAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21480088 | PA      | $21211586.96  | 0.24%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MUFG BANK LTD (AKA: BANK OF TOKYO-MITSUBISHI UFJ LTD)                         | MUFG BANK LTD SR UNSECURED REGS 09/23 4.1                 | CUSIP: J0423YBK9<br>LEI: C3GTMMZIHMY46P4OIX74 | Long             | DBT              | CORP              | JP        |   1757000 | PA      | $1743061.93   | 0.02%             | 2023-09-09      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NASSAU LTD 2017-IA                                                            | NASSAU LTD NCC 2017 IA A1AS 144A                          | CUSIP: 631707AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21599719 | PA      | $21325597.48  | 0.24%             | 2029-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/24 VAR       | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   8677000 | PA      | $8630054.22   | 0.10%             | 2024-03-08      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL                        | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A      | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2824473.30   | 0.03%             | 2038-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 06/24 VAR                  | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   7500000 | PA      | $7502889.23   | 0.09%             | 2024-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 DA A 144A           | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8773672 | PA      | $7893181.16   | 0.09%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA                             | NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A           | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16851591 | PA      | $15136355.09  | 0.17%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A                              | NAVIENT STUDENT LOAN TRUST NAVSL 2021 A A 144A            | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5510797 | PA      | $4769481.26   | 0.05%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-G                              | NAVIENT STUDENT LOAN TRUST NAVSL 2021 GA A 144A           | CUSIP: 63942KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36101050 | PA      | $30614333.21  | 0.35%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2022-A                              | NAVIENT STUDENT LOAN TRUST NAVSL 2022 A A 144A            | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  28334986 | PA      | $24624766.41  | 0.28%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2014-AA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2014 AA A2B 144A         | CUSIP: 63939CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44657 | PA      | $44652.72     | 0.00%             | 2029-02-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2017-2                                             | NAVIENT STUDENT LOAN TRUST NAVSL 2017 2A A 144A           | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15440110 | PA      | $15187953.23  | 0.17%             | 2066-12-27      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2017-5A                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2017 5A A 144A           | CUSIP: 63940CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5762826 | PA      | $5619997.42   | 0.06%             | 2066-07-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2019-CA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2019 CA A2 144A          | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2998599 | PA      | $2832816.91   | 0.03%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                            | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A         | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10090379 | PA      | $9823038.37   | 0.11%             | 2069-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2005-3                                              | NELNET STUDENT LOAN TRUST NSLT 2005 3 A5                  | CUSIP: 64031QCD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2279540 | PA      | $2210710.64   | 0.03%             | 2035-12-24      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2014-2A                                             | NELNET STUDENT LOAN TRUST NSLT 2014 2A A2 144A            | CUSIP: 64033LAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565514 | PA      | $564275.57    | 0.01%             | 2030-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2016-1A                                             | NELNET STUDENT LOAN TRUST NSLT 2016 1A A 144A             | CUSIP: 64033UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10653229 | PA      | $10535043.32  | 0.12%             | 2065-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2017-3A                                             | NELNET STUDENT LOAN TRUST NSLT 2017 3A A 144A             | CUSIP: 64032KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8316574 | PA      | $8164297.01   | 0.09%             | 2066-02-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2019-3A                                             | NELNET STUDENT LOAN TRUST NSLT 2019 3A A 144A             | CUSIP: 64031DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16865561 | PA      | $16593445.32  | 0.19%             | 2067-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                                     | NEUBERGER BERMAN CLO LTD NEUB 2017 25A AR 144A            | CUSIP: 64131JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1969515.60   | 0.02%             | 2029-10-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 09/23 VAR           | CUSIP: 00774MBA2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  12450000 | PA      | $12223368.17  | 0.14%             | 2023-09-29      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 31 LTD                                     | NEUBERGER BERMAN CLO LTD NEUB 2019 31A AR 144A            | CUSIP: 64132JAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $590096.40    | 0.01%             | 2031-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO LTD 2017-24A                               | NEUBERGER BERMAN CLO LTD NEUB 2017 24A AR 144A            | CUSIP: 64130HAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1381813 | PA      | $1365202.45   | 0.02%             | 2030-04-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/23 1.15          | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  10000000 | PA      | $9625043.40   | 0.11%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/24 1.75          | CUSIP: 00774MBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  23800000 | PA      | $21901337.63  | 0.25%             | 2024-10-29      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                           | NEXTERA ENERGY CAPITAL COMPANY GUAR 03/23 VAR             | CUSIP: 65339KBV1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  28500000 | PA      | $28488094.70  | 0.32%             | 2023-03-01      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                           | NEXTERA ENERGY CAPITAL COMPANY GUAR 11/23 VAR             | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2035000 | PA      | $2026913.85   | 0.02%             | 2023-11-03      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                           | NEXTERA ENERGY CAPITAL SR UNSECURED 03/24 VAR             | CUSIP: 65339KCE8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  28000000 | PA      | $27849720.64  | 0.32%             | 2024-03-21      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/23 3.45      | CUSIP: 654740BH1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   3421000 | PA      | $3406516.27   | 0.04%             | 2023-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/24 VAR       | CUSIP: 654740BR9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |  39530000 | PA      | $38908330.27  | 0.44%             | 2024-03-08      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/23 3.875     | CUSIP: 654740BL2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6381601.79   | 0.07%             | 2023-09-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED REGS 09/23 3.875     | CUSIP: U65478BQ8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196356.98    | 0.00%             | 2023-09-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   3821000 | PA      | $3744766.54   | 0.04%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/25 2.648              | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        | 100795000 | PA      | $95245709.10  | 1.08%             | 2025-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP SR UNSECURED 144A 06/25 VAR               | CUSIP: 65558RAB5<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  12000000 | PA      | $11938635.00  | 0.14%             | 2025-06-06      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                               | NORDEA BANK ABP SR UNSECURED 144A 08/23 VAR               | CUSIP: 65557CAZ6<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1549000 | PA      | $1550980.58   | 0.02%             | 2023-08-30      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| NORTHSTAR EDUCATION FINANCE INC 2012-1                                        | NORTHSTAR EDUCATION FINANCE I NEF 2012 1 A 144A           | CUSIP: 66705EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289238 | PA      | $287414.15    | 0.00%             | 2031-12-26      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NSLT-2021-BA                                                                  | NELNET STUDENT LOAN TRUST NSLT 2021 BA AFX 144A           | CUSIP: 64034QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    877159 | PA      | $779983.23    | 0.01%             | 2062-04-20      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM1 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM1 A1 144A            | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45773716 | PA      | $39437122.92  | 0.45%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM2 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM2 A1A 144A           | CUSIP: 67448DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  48295966 | PA      | $43512752.72  | 0.50%             | 2062-01-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS XXI LTD 2014-1A                                   | OCTAGON INVESTMENT PARTNERS XX OCT21 2014 1A AAR3 144A    | CUSIP: 67590QBK2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3900000 | PA      | $3836396.11   | 0.04%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-NQM4                                      | ONSLOW BAY FINANCIAL LLC OBX 2021 NQM4 A1 144A            | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32802306 | PA      | $26250114.58  | 0.30%             | 2061-10-25      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| ORIX CORPORATION                                                              | ORIX CORP SR UNSECURED 01/24 4.05                         | CUSIP: 686330AL5<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |   4916000 | PA      | $4847630.73   | 0.06%             | 2024-01-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST XIII LLC 2021-2A                                       | OSCAR US FUNDING TRUST OSCAR 2021 2A A2 144A              | CUSIP: 68785BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |   3724819 | PA      | $3695619.01   | 0.04%             | 2024-08-12      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XIV LLC 2022-1A                                              | OSCAR US FUNDING TRUST OSCAR 2022 1A A2 144A              | CUSIP: 68784HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |  35202013 | PA      | $34372878.92  | 0.39%             | 2025-03-10      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| OZLM VII LTD 2014-7RA                                                         | OZLM LTD OZLM 2014 7RA A1R 144A                           | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3281299 | PA      | $3244172.34   | 0.04%             | 2029-07-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| OZLM VIII LTD 2014-8A                                                         | OZLM LTD OZLM 2014 8A A1R3 144A                           | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  29765861 | PA      | $29336538.93  | 0.33%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| OZLM XVI LTD 2017-16A                                                         | OZLM LTD OZLM 2017 16A A1R 144A                           | CUSIP: 67111KAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6774117 | PA      | $6671391.43   | 0.08%             | 2030-05-16      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/23 4.25            | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  24070000 | PA      | $23951649.49  | 0.27%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 1.7             | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $13554228.10  | 0.15%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2020-1 LTD                                         | PALMER SQUARE LOAN FUNDING LTD PSTAT 2020 1A A1 144A      | CUSIP: 69701EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10403543 | PA      | $10334388.58  | 0.12%             | 2028-02-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-1 LTD                                         | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 1A A1 144A      | CUSIP: 69701YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2842170 | PA      | $2808841.07   | 0.03%             | 2029-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| PAWNEE EQUIPMENT RECEIVABLES 2022-1                                           | PAWNEE EQUIPMENT RECEIVABLES PWNE 2022 1 A1 144A          | CUSIP: 70410DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    862760 | PA      | $861941.63    | 0.01%             | 2023-08-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| PAWNEE EQUIPMENT RECEIVABLES 2022-1                                           | PAWNEE EQUIPMENT RECEIVABLES PWNE 2022 1 A2 144A          | CUSIP: 70410DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800000 | PA      | $4763377.44   | 0.05%             | 2028-02-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                 | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 08/23 4.125    | CUSIP: 709599BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2143000 | PA      | $2131448.12   | 0.02%             | 2023-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PFP III LTD 2021-7                                                            | PFP III PFP 2021 7 A 144A                                 | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   6180444 | PA      | $6017230.73   | 0.07%             | 2038-04-14      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PHEAA STUDENT LOAN TRUST 2016-2A                                              | PENNSYLVANIA HIGHER EDUCATION PHEAA 2016 2A A 144A        | CUSIP: 69343VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4689955 | PA      | $4654478.34   | 0.05%             | 2065-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A1 144A     | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4844383 | PA      | $4299780.63   | 0.05%             | 2051-07-25      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| QNB FINANCE LTD                                                               | QNB FINANCE LTD COMPANY GUAR 03/24 VAR                    | CUSIP: ACI23SGL3<br>LEI: 549300MY0DXTHQEX5O57 | Long             | DBT              | CORP              | KY        |  25000000 | PA      | $25150750.00  | 0.29%             | 2024-03-21      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC                                       | CUSIP: 74767HN97<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  13950000 | PA      | $13930962.16  | 0.16%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC                                       | CUSIP: 74767HNB2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  13550000 | PA      | $13527750.90  | 0.15%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC                                       | CUSIP: 74767HND8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  11300000 | PA      | $11278300.27  | 0.13%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                           | QUANTA SERVICES INC                                       | CUSIP: 74767HNK2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   6650000 | PA      | $6631716.22   | 0.08%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                              | ALTRIA GROUP INC COMPANY GUAR 05/23 2.95                  | CUSIP: 02209SAP8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2382517.94   | 0.03%             | 2023-05-02      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2021-FL5 LLC                                 | READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL5 A 144A       | CUSIP: 75574YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17777753 | PA      | $17299939.54  | 0.20%             | 2038-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC                                 | READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL8 A 144A       | CUSIP: 75574PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25000000 | PA      | $24404922.50  | 0.28%             | 2037-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC (AKA: REED ELSEVIER CAPITAL INC)                             | RELX CAPITAL INC COMPANY GUAR 03/23 3.5                   | CUSIP: 74949LAB8<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |  16870000 | PA      | $16803188.56  | 0.19%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                         | REPUBLIC SVCS INC                                         | CUSIP: 76076GNC3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |   4550000 | PA      | $4542456.74   | 0.05%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIMAC BASTILLE TRUST SERIES 2021-2NCA                                       | RESIMAC RESI 2021 2NCA A1A 144A                           | CUSIP: 76120BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |  21872214 | PA      | $21636332.90  | 0.25%             | 2053-02-03      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| RESIMAC PREMIER SERIES 2021-1A                                                | RESIMAC RESI 2021 1A A1 144A                              | CUSIP: 76123EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   5688550 | PA      | $5643445.81   | 0.06%             | 2052-07-10      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                                        | ROMARK CLO LTD RMRK 2017 1A A1R 144A                      | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  40500000 | PA      | $39781125.00  | 0.45%             | 2030-10-23      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                          | ROYAL BANK OF CANADA SR UNSECURED 01/26 VAR               | CUSIP: 78016EZP5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  31476000 | PA      | $30575217.94  | 0.35%             | 2026-01-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-2                                 | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 2 A2            | CUSIP: 80286MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4379902 | PA      | $4366417.37   | 0.05%             | 2026-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 01/24 VAR           | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1020000 | PA      | $1020000.00   | 0.01%             | 2024-01-05      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 03/25 VAR           | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  35000000 | PA      | $32716778.85  | 0.37%             | 2025-03-15      | Floating      | 1.09%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                       | SARANAC CLO LTD SRANC 2018 6A A1R 144A                    | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |  16400000 | PA      | $15892186.46  | 0.18%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC                                           | AMERICAN ELECTRIC POWER SR UNSECURED 11/23 VAR            | CUSIP: 025537AS0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        | 111100000 | PA      | $110600405.52 | 1.26%             | 2023-11-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| SGSP AUSTRALIA ASSETS PTY LTD (AKA: SPI AUSTRALIA ASSETS PTY LTD)             | SGSP AUSTRALIA ASSETS COMPANY GUAR REGS 04/23 3.3         | CUSIP: ACI02IL67<br>LEI: 254900BJJ12X7PJT5072 | Long             | DBT              | CORP              | AU        |  11350000 | PA      | $11295592.53  | 0.13%             | 2023-04-09      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                                                  | SK HYNIX INC SR UNSECURED 144A 01/24 1                    | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   4000000 | PA      | $3801688.12   | 0.04%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SK TELECOM CO LTD                                                             | SK TELECOM CO LTD SR UNSECURED REGS 04/23 3.75            | CUSIP: Y4935NAM6<br>LEI: 9884003WEA1PHW006037 | Long             | DBT              | CORP              | KR        |   1400000 | PA      | $1394587.22   | 0.02%             | 2023-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                                              | SKANDINAVISKA ENSKILDA SR UNSECURED 144A 06/25 VAR        | CUSIP: 830505AY9<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |  31750000 | PA      | $31491675.33  | 0.36%             | 2025-06-09      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-4                                                 | SLM STUDENT LOAN TRUST SLMA 2005 4 A3                     | CUSIP: 78442GPG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1512529 | PA      | $1510409.48   | 0.02%             | 2027-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-5                                                 | SLM STUDENT LOAN TRUST SLMA 2005 5 A4                     | CUSIP: 78442GPQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    541802 | PA      | $539113.71    | 0.01%             | 2028-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-A                                                 | SLM STUDENT LOAN TRUST SLMA 2005 A A4                     | CUSIP: 78443CBV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5108045 | PA      | $4870344.45   | 0.06%             | 2038-12-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-9                                                 | SLM STUDENT LOAN TRUST SLMA 2008 9 A                      | CUSIP: 78445JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176698 | PA      | $175110.09    | 0.00%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2012-2                                                 | SLM STUDENT LOAN TRUST SLMA 2012 2 A                      | CUSIP: 78446YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2427537 | PA      | $2321939.50   | 0.03%             | 2029-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2012-3                                                 | SLM STUDENT LOAN TRUST SLMA 2012 3 A                      | CUSIP: 78447AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2105844 | PA      | $2020412.37   | 0.02%             | 2038-12-27      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2016-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2016 C A2A 144A        | CUSIP: 78449KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3062090 | PA      | $2917366.78   | 0.03%             | 2034-09-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2016-C                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2016 C A2B 144A        | CUSIP: 78449KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2390577 | PA      | $2382287.17   | 0.03%             | 2034-09-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2017-A                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2017 A A2B 144A        | CUSIP: 78448WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5812784 | PA      | $5745162.91   | 0.07%             | 2034-09-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A        | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16723202 | PA      | $14766480.57  | 0.17%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A        | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2108791 | PA      | $2044046.19   | 0.02%             | 2053-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-D                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 D A1B 144A        | CUSIP: 78449MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7049950 | PA      | $6800524.66   | 0.08%             | 2053-03-17      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 03/24 3.875            | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  32990000 | PA      | $32238267.43  | 0.37%             | 2024-03-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 09/23 4.25             | CUSIP: 83368RAL6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  21608000 | PA      | $21423610.72  | 0.24%             | 2023-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM 2016-F LLC                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 F A1 144A        | CUSIP: 78471AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    424425 | PA      | $423859.60    | 0.00%             | 2040-02-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 D A1 144A        | CUSIP: 83404LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59494 | PA      | $59344.87     | 0.00%             | 2039-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-A                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 A A1 144A        | CUSIP: 83404FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215949 | PA      | $215601.54    | 0.00%             | 2040-03-26      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B A2FX 144A      | CUSIP: 83403YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531124 | PA      | $524515.57    | 0.01%             | 2040-05-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C A1 144A        | CUSIP: 83405DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198169 | PA      | $197422.44    | 0.00%             | 2040-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D A2FX 144A      | CUSIP: 78471CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1210063 | PA      | $1157072.97   | 0.01%             | 2040-09-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2018-A                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2018 A A1 144A        | CUSIP: 83406EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83083 | PA      | $82905.73     | 0.00%             | 2042-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C                                     | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A       | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14106506 | PA      | $12646961.95  | 0.14%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO LTD 2018-2A                                                   | SOUND POINT CLO LTD SNDPT 2018 2A A 144A                  | CUSIP: 83611JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $584157.00    | 0.01%             | 2031-07-26      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO VIII-R LTD 2015-1RA                                           | SOUND POINT CLO LTD SNDPT 2015 1RA AR 144A                | CUSIP: 83607HAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3055000 | PA      | $3008944.35   | 0.03%             | 2030-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XII LTD 2016-2A                                               | SOUND POINT CLO LTD SNDPT 2016 2A AR2 144A                | CUSIP: 83610CAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1743601 | PA      | $1729808.21   | 0.02%             | 2028-10-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIV LTD 2016-3A                                               | SOUND POINT CLO LTD SNDPT 2016 3A AR2 144A                | CUSIP: 83609NAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13461417 | PA      | $13392515.58  | 0.15%             | 2029-01-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XV LTD 2017-1A                                                | SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A                | CUSIP: 83609RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6571148 | PA      | $6489552.68   | 0.07%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVI LTD 2017-2A                                               | SOUND POINT CLO LTD SNDPT 2017 2A AR 144A                 | CUSIP: 83610KAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  29350000 | PA      | $28909750.00  | 0.33%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVII 2017-3A                                                  | SOUND POINT CLO LTD SNDPT 2017 3A A1R 144A                | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4439040.75   | 0.05%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUNDS POINT CLO IV-R LTD 2013-3RA                                            | SOUND POINT CLO LTD SNDPT 2013 3RA A 144A                 | CUSIP: 83609YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $978589.37    | 0.01%             | 2031-04-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 04/23 0.7                | CUSIP: 842400GZ0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  27400000 | PA      | $27125527.35  | 0.31%             | 2023-04-03      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 04/23 VAR                | CUSIP: 842400HA4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  62700000 | PA      | $62608303.13  | 0.71%             | 2023-04-03      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                               | SOUTHERN CALIF GAS CO SR UNSECURED 09/23 VAR              | CUSIP: 842434CV2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1994507.38   | 0.02%             | 2023-09-14      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 06/23 3                  | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   6100000 | PA      | $6036202.66   | 0.07%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 03/24 VAR        | CUSIP: 853254BJ8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5200000 | PA      | $5175363.91   | 0.06%             | 2024-03-15      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 03/26 VAR        | CUSIP: 853254CK4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5300000 | PA      | $5215652.51   | 0.06%             | 2026-03-30      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR        | CUSIP: 853254CF5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  50400000 | PA      | $48986658.00  | 0.56%             | 2025-11-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A1 144A      | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4780444 | PA      | $4420322.73   | 0.05%             | 2055-11-25      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-LIH                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 LIH A 144A       | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17200000 | PA      | $16601808.08  | 0.19%             | 2036-11-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                                                                 | STELLANTIS NV SR UNSECURED 04/23 5.25                     | CUSIP: 31562QAF4<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |  25565000 | PA      | $25588008.50  | 0.29%             | 2023-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-2A LTD                                                       | STRATUS CLO STRAS 2021 2A A 144A                          | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4627655 | PA      | $4574356.92   | 0.05%             | 2029-12-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                             | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A       | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23200000 | PA      | $22476489.44  | 0.26%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/23 VAR           | CUSIP: 86562MAW0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    943000 | PA      | $942997.48    | 0.01%             | 2023-01-17      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                            | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/25 2.55     | CUSIP: 86563VAZ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   4100000 | PA      | $3867388.35   | 0.04%             | 2025-03-10      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                            | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/23 0.8      | CUSIP: 86563VAQ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   6000000 | PA      | $5821659.90   | 0.07%             | 2023-09-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                            | SUMITOMO MITSUI TR BK LT SR UNSECURED REGS 09/24 VAR      | CUSIP: J7771YLH8<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   3700000 | PA      | $3677442.95   | 0.04%             | 2024-09-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED                                    | SYDNEY AIRPORT FINANCE SR SECURED 144A 03/23 3.9          | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |   3410000 | PA      | $3400892.71   | 0.04%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                                 | SYMPHONY CLO LTD SYMP 2014 14A AR 144A                    | CUSIP: 87159QBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    894649 | PA      | $895201.27    | 0.01%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SYMPHONY STATIC CLO 2021-1A                                                   | SYMPHONY STATIC CLO LTD SSTAT 2021 1A A 144A              | CUSIP: 87190TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3777184 | PA      | $3719903.86   | 0.04%             | 2029-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 20 LTD 2017-20A                                                      | AMERICAN MONEY MANAGEMENT CORP AMMC 2017 20A AR 144A      | CUSIP: 00177TAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11090218 | PA      | $11036837.91  | 0.13%             | 2029-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC COMPANY                                                        | TAMPA ELECTRIC CO                                         | CUSIP: 87513MNC8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |  65300000 | PA      | $65191270.28  | 0.74%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                          | TARGA RES CORP                                            | CUSIP: 87613LND7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |  95800000 | PA      | $95639503.39  | 1.09%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TCW CLO LTD 2018-1A                                                           | TCW CLO TCW 2018 1A A1R 144A                              | CUSIP: 87240UAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  19100000 | PA      | $18809076.44  | 0.21%             | 2031-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                                         | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL A 144A       | CUSIP: 88327HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4466783 | PA      | $4346382.67   | 0.05%             | 2034-11-11      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                       | BANK OF NOVA SCOTIA SR UNSECURED 03/24 VAR                | CUSIP: 06418BAD0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  24100000 | PA      | $24065918.99  | 0.27%             | 2024-03-11      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                  | THERMO FISHER SCIENTIFIC SR UNSECURED 04/23 VAR           | CUSIP: 883556CN0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |  44000000 | PA      | $43903111.56  | 0.50%             | 2023-04-18      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                  | THERMO FISHER SCIENTIFIC SR UNSECURED 10/23 VAR           | CUSIP: 883556CR1<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |  39900000 | PA      | $39761759.27  | 0.45%             | 2023-10-18      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| THOMSON REUTERS CORPORATION                                                   | THOMSON REUTERS CORP                                      | CUSIP: 88513BNR7<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |  88700000 | PA      | $88412814.24  | 1.01%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO II LTD 2018-IIA                                                      | TICP CLO LTD TICP 2018 IIA A1 144A                        | CUSIP: 87249TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    410558 | PA      | $409359.31    | 0.00%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTERPRISES LLC                                             | TIME WARNER CABLE ENTRMN SR SECURED 03/23 8.375           | CUSIP: 88731EAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13192000 | PA      | $13275480.43  | 0.15%             | 2023-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                         | TORONTO DOMINION BANK SR UNSECURED 03/24 VAR              | CUSIP: 89114TZS4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  41800000 | PA      | $41742303.88  | 0.48%             | 2024-03-08      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/NEW YORK BRANCH                                         | TORONTO DOMINION BK                                       | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2300000 | PA      | $2301361.03   | 0.03%             | 2023-04-21      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT HE TRUST 2021-HE1                                                  | TOWD POINT ASSET FUNDING, LLC TPHT 2021 HE1 A1 144A       | CUSIP: 89180DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9243747 | PA      | $8685456.34   | 0.10%             | 2063-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-5                                              | TOWD POINT MORTGAGE TRUST TPMT 2017 5 A1 144A             | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758568 | PA      | $751074.41    | 0.01%             | 2057-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A             | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15993427 | PA      | $14925755.53  | 0.17%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A          | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1696718 | PA      | $1680343.30   | 0.02%             | 2059-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A             | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19045177 | PA      | $17544774.94  | 0.20%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A            | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  58962303 | PA      | $51923825.16  | 0.59%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2020-1A                                  | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2020 1A A 144A       | CUSIP: 89237JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  41800000 | PA      | $38271745.60  | 0.44%             | 2033-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2022-C OWNER TRUST                                    | TOYOTA AUTO RECEIVABLES OWNER TAOT 2022 C A2B             | CUSIP: 89231CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10009151.00  | 0.11%             | 2025-08-15      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD 2015-6A                                             | ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A          | CUSIP: 03328QAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4399734 | PA      | $4340036.28   | 0.05%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TPMT-2019-1                                                                   | TOWD POINT MORTGAGE TRUST TPMT 2019 1 A1 144A             | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10405233 | PA      | $9838095.34   | 0.11%             | 2058-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LIMITED                                                 | TRANSCANADA PIPELINES LTD                                 | CUSIP: 89355QNK8<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   3200000 | PA      | $3191744.00   | 0.04%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG/LONDON BRANCH                                                          | UBS AG LONDON SR UNSECURED 144A 02/24 VAR                 | CUSIP: 902674YC8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |  14800000 | PA      | $14732847.81  | 0.17%             | 2024-02-09      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 05/26 VAR                  | CUSIP: 902613AN8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  21200000 | PA      | $21373141.67  | 0.24%             | 2026-05-12      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| AOZORA BANK LTD                                                               | AOZORA BANK SR UNSECURED REGS 09/24 1.05                  | CUSIP: ACI208763<br>LEI: X0XUGKC9FD2CYUQNC010 | Long             | DBT              | CORP              | JP        |  50280000 | PA      | $46658331.60  | 0.53%             | 2024-09-09      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 2017-27A                                                           | APIDOS CLO APID 2017 27A A1R 144A                         | CUSIP: 03767JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15800000 | PA      | $15630846.31  | 0.18%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XV 2013-15A                                                        | APIDOS CLO APID 2013 15A A1RR 144A                        | CUSIP: 03764QBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9450000 | PA      | $9315802.72   | 0.11%             | 2031-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXVI LLC 2017-26A                                                  | APIDOS CLO APID 2017 26A A1AR 144A                        | CUSIP: 03766GAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24900000 | PA      | $24606747.97  | 0.28%             | 2029-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL2                      | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL2 A 144A      | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6400000 | PA      | $6188357.12   | 0.07%             | 2036-05-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| VENTURE CDO LTD 2016-25A                                                      | VENTURE CDO LTD VENTR 2016 25A ARR 144A                   | CUSIP: 92329VAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24255017 | PA      | $24015829.14  | 0.27%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2013-4A                                                       | VENTURE CDO LTD VENTR 2013 14A ARR 144A                   | CUSIP: 92328GBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  32180367 | PA      | $31851527.68  | 0.36%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| VENTURE XXI CLO LTD 2015-21A                                                  | VENTURE XXI CLO VENTR 2015 21A AR 144A                    | CUSIP: 92330MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2647120 | PA      | $2652712.84   | 0.03%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                                | VENTURE CDO LTD VENTR 2017 27A AR 144A                    | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8494024 | PA      | $8298745.88   | 0.09%             | 2030-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                                               | VENTURE CDO LTD VENTR 2017 28A A2R 144A                   | CUSIP: 92331AAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  34400000 | PA      | $33682129.45  | 0.38%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                    | VERIZON COMMUNICATIONS SR UNSECURED 05/25 VAR             | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        | 120952000 | PA      | $121974949.12 | 1.39%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-6                                             | VERUS SECURITIZATION TRUST VERUS 2021 6 A1 144A           | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39511295 | PA      | $32066529.05  | 0.36%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-R1                                            | VERUS SECURITIZATION TRUST VERUS 2021 R1 A1 144A          | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7139206 | PA      | $6406763.36   | 0.07%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO VI LTD 2017-6A                                                    | VIBRANT CLO LTD VIBR 2017 6A AR 144A                      | CUSIP: 92558EAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6465664 | PA      | $6379296.43   | 0.07%             | 2029-06-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2019-CRE3                                                         | AREIT CRE TRUST AREIT 2019 CRE3 A 144A                    | CUSIP: 00217LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657317 | PA      | $646358.21    | 0.01%             | 2036-09-14      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2021-CRE5                                                         | AREIT CRE TRUST AREIT 2021 CRE5 A 144A                    | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  22897723 | PA      | $21921593.40  | 0.25%             | 2038-11-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2021-FL4 LLC                                                      | VMC FINANCE LLC VMC 2021 FL4 A 144A                       | CUSIP: 91835RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11292688 | PA      | $10598753.33  | 0.12%             | 2036-06-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                                         | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                    | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  38787999 | PA      | $37064892.38  | 0.42%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                    | VMWARE INC SR UNSECURED 08/23 0.6                         | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |  48511000 | PA      | $47255434.42  | 0.54%             | 2023-08-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                                            | VODAFONE GROUP PLC                                        | CUSIP: 92857MN57<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | US        |  80700000 | PA      | $80637915.07  | 0.92%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                       | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/23 4.25     | CUSIP: 928668AR3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  11148000 | PA      | $11042769.68  | 0.13%             | 2023-11-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-2A                                                              | VOYA CLO LTD VOYA 2017 2A A1R 144A                        | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9609095 | PA      | $9440943.61   | 0.11%             | 2030-06-07      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                          | VOYA CLO LTD VOYA 2017 1A A1R 144A                        | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  28828294 | PA      | $28471379.80  | 0.32%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                                 | VW CR INC                                                 | CUSIP: 91842KNS1<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |  55500000 | PA      | $55304903.63  | 0.63%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                                 | VW CR INC                                                 | CUSIP: 91842KNT9<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |  22100000 | PA      | $22019332.57  | 0.25%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE INC                                                  | WALGREENS BOOTS                                           | CUSIP: 93142XNB3<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |  38150000 | PA      | $38090854.91  | 0.43%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE INC                                                  | WALGREENS BOOTS                                           | CUSIP: 93142XNJ6<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |  32050000 | PA      | $31970362.80  | 0.36%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY                                                           | DISNEY (WALT) CO THE                                      | CUSIP: 2546R3PM0<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |  11500000 | PA      | $11422898.25  | 0.13%             | 2023-02-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARES XL CLO LTD 2016-40A                                                      | ARES CLO LTD ARES 2016 40A A1RR 144A                      | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7028670 | PA      | $6937922.78   | 0.08%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ARES XXXIX CLO LTD 2016-39A                                                   | ARES CLO LTD ARES 2016 39A A1R2 144A                      | CUSIP: 04015WBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2161500.00   | 0.02%             | 2031-04-18      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2015-1                                                      | WELLFLEET CLO LTD WELF 2015 1A AR4 144A                   | CUSIP: 949496BJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14344142 | PA      | $14158716.42  | 0.16%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2017-1A                                                     | WELLFLEET CLO LTD WELF 2017 1A A1RR 144A                  | CUSIP: 94950GAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7142550 | PA      | $7056839.64   | 0.08%             | 2029-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2013 LC12 A3FL 144A   | CUSIP: 94988QBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3931829 | PA      | $3926488.62   | 0.04%             | 2046-07-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 HSDB A 144A      | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5400000 | PA      | $5329195.74   | 0.06%             | 2031-12-13      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                   | WESTPAC BANKING CORP SR UNSECURED 01/23 VAR               | CUSIP: 961214DT7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   3619000 | PA      | $3618771.03   | 0.04%             | 2023-01-11      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORPORATION                                                   | WESTPAC BANKING CORP SR UNSECURED 01/23 VAR               | CUSIP: 961214EK5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   6353000 | PA      | $6352228.36   | 0.07%             | 2023-01-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| WOORI BANK                                                                    | WOORI BANK SR UNSECURED REGS 02/23 VAR                    | CUSIP: ACI101VM8<br>LEI: 549300VUVMRL6RE7R376 | Long             | DBT              | CORP              | KR        |   2000000 | PA      | $2000640.00   | 0.02%             | 2023-02-01      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                    | ZOETIS INC SR UNSECURED 02/23 3.25                        | CUSIP: 98978VAB9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   6600000 | PA      | $6590589.79   | 0.08%             | 2023-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | FIXED INC CLEARING CORP.REPO                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    502257 | PA      | $502256.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PARIBAS REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        | 137500000 | PA      | $137500000.00 | 1.56%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PARIBAS REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  24400000 | PA      | $24400000.00  | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| ARKANSAS STUDENT LOAN AUTHORITY 2010-1                                        | ARKANSAS ST STUDENT LOAN AUTH ARSSTD 11/43 FLOATINOID VAR | CUSIP: 041150DJ9<br>LEI: N/A                  | Long             | ABS-O            | MUN               | US        |    270217 | PA      | $266161.40    | 0.00%             | 2043-11-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2021-1R                                                 | ARROYO MORTGAGE TRUST ARRW 2021 1R A1 144A                | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15128337 | PA      | $11954295.23  | 0.14%             | 2048-10-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                           | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A           | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1818931 | PA      | $1759457.92   | 0.02%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-KEYS                                           | ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS A 144A           | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9300000 | PA      | $8966624.76   | 0.10%             | 2035-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                               | ASTRAZENECA PLC SR UNSECURED 08/23 VAR                    | CUSIP: 046353AS7<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |   1895000 | PA      | $1895356.68   | 0.02%             | 2023-08-17      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 02/23 VAR                           | CUSIP: 00206RFY3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  74811000 | PA      | $74830621.43  | 0.85%             | 2023-02-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 06/24 VAR                           | CUSIP: 00206RGD8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3265000 | PA      | $3289063.83   | 0.04%             | 2024-06-12      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING SECURED 144A 10/23 1.2              | CUSIP: 04685A2Q3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7733133.12   | 0.09%             | 2023-10-13      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-9A                                            | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 9A A 144A           | CUSIP: 04941VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    965478 | PA      | $959041.88    | 0.01%             | 2028-04-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XIII                                                   | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 13A A1NR 144A       | CUSIP: 04942VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1947814.40   | 0.02%             | 2031-04-22      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORPORATION                                                      | ATMOS ENERGY CORP SR UNSECURED 03/23 VAR                  | CUSIP: 049560AV7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        | 102934000 | PA      | $102875485.11 | 1.17%             | 2023-03-09      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AUSGRID FINANCE PTY LTD                                                       | AUSGRID FINANCE PTY LTD SR SECURED 144A 05/23 3.85        | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |  20000000 | PA      | $19900724.40  | 0.23%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                    | AVIATION CAPITAL GROUP SR UNSECURED 144A 05/23 3.875      | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   6351000 | PA      | $6300182.85   | 0.07%             | 2023-05-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                                 | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5       | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   9645000 | PA      | $9621912.76   | 0.11%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/23 5.5      | CUSIP: 05401AAA9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3003000 | PA      | $2995325.77   | 0.03%             | 2023-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer