# EDGAR Filing Document

**Accession Number:** 0000908187
**File Stem:** 0000908187-23-000009
**Filing Date:** 2023-3
**Character Count:** 147246
**Document Hash:** 9e29d10a00b11953b67573c3ba16b190
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000908187-23-000009.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0000908187-23-000009

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PCM FUND, INC.
- **CENTRAL INDEX KEY:** 0000908187
- **IRS NUMBER:** 521834031
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07816
- **FILM NUMBER:** 23688673

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PIMCO COMMERCIAL MORTGAGE SECURITIES TRUST INC
- **DATE OF NAME CHANGE:** 19930624

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PCM Fund, Inc.

- **b. Investment Company Act file number:** 811-07816

- **c. CIK number of Registrant:** 0000908187

- **d. LEI of Registrant:** FZICY1WZ0I8IZ2XD3R19

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $158458648.11

**Total Liabilities:** $75541054.76

**Net Assets:** $82917593.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1272.390400 | **1-Year:** 5242.614400 | **5-Year:** 11012.708000 | **10-Year:** -9712.466500 | **30-Year:** -9710.666000

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

- **3-Month:** 6556.849800 | **1-Year:** 5808.116900 | **5-Year:** 22190.667600 | **10-Year:** 11838.463800 | **30-Year:** 584.267200

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 4.17%                | 6.59%                | -8.52%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-232057.42              | $-1136150.01                               |
| Month 2  | $2813150.71              | $-5355115.92                               |
| Month 3  | $262705.27               | $-1330535.52                               |

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                       | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANC OF AMERICA ALT LOAN TRUST 2007-1                                   | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 1 2A1              | CUSIP: 059496AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74540 | PA      | $64569.77     | 0.08%             | 2037-04-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A2              | CUSIP: 05946XHW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191979 | PA      | $136087.38    | 0.16%             | 2034-12-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 7A1              | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42101 | PA      | $34720.60     | 0.04%             | 2036-03-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 TA1B             | CUSIP: 05951GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39521 | PA      | $38450.51     | 0.05%             | 2037-03-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 2A1              | CUSIP: 05953LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336934 | PA      | $230857.95    | 0.28%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 0.25000 06/16/21-3Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34268.49     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 0.50000 06/16/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-24067.55    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.00000 12/16/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $124052.71    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.25000 06/17/20-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-711998.63   | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.25000 12/15/21-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-21347.37    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.35000 01/20/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $126319.91    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.36000 02/15/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $89132.82     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.36000 07/20/21-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18372.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.37000 07/19/21-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18300.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.45000 02/17/22-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $141551.17    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.45000 04/07/21-30Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $494266.09    | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.50000 01/12/22-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $120149.28    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.50000 12/15/21-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52553.95     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.55000 10/20/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-533363.22   | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.60000 11/15/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-322774.36   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.62500 01/16/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $136136.64    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.62500 02/03/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $136028.52    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.70000 10/12/21-7Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-398411.29   | -0.48%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.70000 11/17/21-5Y* CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-499256.08   | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.75000 01/22/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $222590.13    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.75000 12/21/16-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-281756.85   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 1.75000 12/21/16-7Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1061769.34  | -1.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.00000 01/15/20-30Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $27307.19     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 2.75000 12/19/18-5Y CME                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-353934.92   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 3.00000 06/19/19-10Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-419126.60   | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS USD 3.00000 12/19/18-20Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $512464.05    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS USD FEDL01/0.10000 01/13/22-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $45377.20     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $895592.21    | 1.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $698688.07    | 0.84%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 12/21/22-30Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $771761.26    | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.30000 01/17/24-2Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7151.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.35000 01/17/24-1Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $28155.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.45000 12/20/23-1Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $56567.56     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2                             | THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A        | CUSIP: 05972AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580156 | PA      | $1568583.56   | 1.89%             | 2032-08-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | WINDSTREAM HOLDINGS II, LLC 8725909B2                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     43518 | NC      | $880972.52    | 1.06%             |  |  |  | No            |                  3 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-E                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 E A1              | CUSIP: 06050HJH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174432 | PA      | $169673.12    | 0.20%             | 2031-06-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 3A1             | CUSIP: 05949A6L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38419 | PA      | $33180.41     | 0.04%             | 2035-06-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                      | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                   | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    108013 | NS      | $113413.65    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                 | BCAP LLC TRUST BCAP 2011 R11 8A7 144A                       | CUSIP: 05533FCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71624 | PA      | $60425.41     | 0.07%             | 2036-07-26      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                    | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A        | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42562 | PA      | $39905.37     | 0.05%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                         | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                   | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64180 | PA      | $61321.07     | 0.07%             | 2034-09-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                         | BEAR STEARNS ALT A TRUST BALTA 2005 5 26A1                  | CUSIP: 07386HUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104932 | PA      | $75796.64     | 0.09%             | 2035-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                         | BEAR STEARNS ALT A TRUST BALTA 2006 3 22A1                  | CUSIP: 07386HL33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30581 | PA      | $23905.78     | 0.03%             | 2036-05-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                         | BEAR STEARNS ALT A TRUST BALTA 2006 3 23A1                  | CUSIP: 07386HL66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125082 | PA      | $90328.62     | 0.11%             | 2036-05-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                         | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                   | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192621 | PA      | $102507.21    | 0.12%             | 2036-08-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                         | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1                  | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493026 | PA      | $264058.16    | 0.32%             | 2036-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-1                                         | BEAR STEARNS ALT A TRUST BALTA 2007 1 21A1                  | CUSIP: 07386XAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21786 | PA      | $10342.87     | 0.01%             | 2047-01-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                         | BEAR STEARNS ALT A TRUST BALTA 2007 2 1A1                   | CUSIP: 073870AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    401989 | PA      | $345374.86    | 0.42%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                     | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 21A1          | CUSIP: 07387UCT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30114 | PA      | $20689.23     | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                     | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A1          | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62504 | PA      | $61687.58     | 0.07%             | 2036-07-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC-2006-HE3                                     | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE3 M2            | CUSIP: 07387UHT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1982246 | PA      | $2718756.14   | 3.28%             | 2036-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BHP TRUST 2019-BXHP                                                     | BHP TRUST BHPT 2019 BXHP F 144A                             | CUSIP: 05550TAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588000 | PA      | $546375.95    | 0.66%             | 2036-08-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                  | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3                | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1184532 | PA      | $177871.98    | 0.21%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                              | CARVANA CO COMPANY GUAR 144A 05/30 10.25                    | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    400000 | PA      | $188701.38    | 0.23%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE CMM 2006-2A                                | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A          | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120743 | PA      | $111169.68    | 0.13%             | 2039-01-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4            | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160966 | PA      | $87429.85     | 0.11%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                     | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329067 | PA      | $209991.44    | 0.25%             | 2046-03-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                        | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8            | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     78000 | PA      | $71175.00     | 0.09%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                                 | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ              | CUSIP: 17311QBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224341 | PA      | $110712.13    | 0.13%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MTGE TRUST 2007-C6                                 | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJFX 144A       | CUSIP: 17311QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120799 | PA      | $59614.22     | 0.07%             | 2049-12-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HE3                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2003 HE3 M3             | CUSIP: 17307GCX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1003000 | PA      | $1011092.00   | 1.22%             | 2033-12-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-4                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 4 3A6 144A         | CUSIP: 17315QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    647145 | PA      | $304973.47    | 0.37%             | 2037-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-6                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 6 3A3 144A         | CUSIP: 17322WAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1126448 | PA      | $650437.42    | 0.78%             | 2035-11-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 1A4A           | CUSIP: 172987AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1907 | PA      | $1980.55      | 0.00%             | 2036-11-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-SHL1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 SHL1 M1 144A       | CUSIP: 17309UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102426 | PA      | $102259.26    | 0.12%             | 2045-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A       | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081919 | PA      | $609982.74    | 0.74%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C           | CUSIP: 17311BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658805 | PA      | $276505.86    | 0.33%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A       | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $900798.25    | 1.09%             | 2046-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-5                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 5 3A2A             | CUSIP: 17307GZG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267876 | PA      | $165090.13    | 0.20%             | 2035-10-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 2A3A             | CUSIP: 17307GB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65209 | PA      | $47711.92     | 0.06%             | 2035-09-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                 | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63185 | PA      | $55718.16     | 0.07%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1                                 | COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM             | CUSIP: 20173WAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171664 | PA      | $27487.67     | 0.03%             | 2049-12-10      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| COMMRCL MRTG LEASE-BACKED CRT 2001-CMLB                                 | COMMERCIAL MORTGAGE LEASE BACK CMLBC 2001 CMLB H 144A       | CUSIP: 201736AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1542025 | PA      | $1495313.64   | 1.80%             | 2031-06-20      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                            | FANNIE MAE   CAS CAS 2021 R01 1B1 144A                      | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $754045.84    | 0.91%             | 2041-10-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-2                                       | CONSECO FINANCE SECURITIZATION CNF 2002 2 M2                | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741095 | PA      | $674127.94    | 0.81%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                   | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324847 | PA      | $104816.32    | 0.13%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A2           | CUSIP: 12667F2R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374954 | PA      | $171006.75    | 0.21%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1            | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590430 | PA      | $479987.05    | 0.58%             | 2035-12-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 2A1          | CUSIP: 12668AA62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162066 | PA      | $33416.35     | 0.04%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1             | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126801 | PA      | $103020.23    | 0.12%             | 2037-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-24                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 24 A1             | CUSIP: 02151GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3501461 | PA      | $806690.75    | 0.97%             | 2037-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-8T1                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 8T1 1A5           | CUSIP: 12668BMJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2135458 | PA      | $1036697.63   | 1.25%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 2A3           | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382925 | PA      | $335722.82    | 0.40%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A              | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501977 | PA      | $488078.58    | 0.59%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2005-BC3                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC3 M5              | CUSIP: 1266733G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3904014.40   | 4.71%             | 2035-06-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A3              | CUSIP: 12667HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59318 | PA      | $59179.30     | 0.07%             | 2047-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-4                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 MV7               | CUSIP: 126673R53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2208647 | PA      | $1732523.23   | 2.09%             | 2035-10-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-11                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 MV1              | CUSIP: 12666TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4129575 | PA      | $3359290.26   | 4.05%             | 2046-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A               | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    759188 | PA      | $696214.41    | 0.84%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A3             | CUSIP: 23242NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7682367 | PA      | $6325628.34   | 7.63%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                           | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                      | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70497 | PA      | $59046.55     | 0.07%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                        | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A                  | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2623 | PA      | $2176.51      | 0.00%             | 2036-02-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                        | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1                   | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62853 | PA      | $54441.40     | 0.07%             | 2036-09-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                           | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A1                      | CUSIP: 12544RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180273 | PA      | $86610.35     | 0.10%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                         | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1                    | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178707 | PA      | $155442.92    | 0.19%             | 2047-09-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A               | CUSIP: 225470M67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148220 | PA      | $81092.59     | 0.10%             | 2036-04-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 9A1                | CUSIP: 12637HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143654 | PA      | $58493.48     | 0.07%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A3                | CUSIP: 22942JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876935 | PA      | $469645.00    | 0.57%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS A COMMON STOCK                      | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     25745 | NS      | $157816.85    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS B COMMON STOCK                      | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     20009 | NS      | $110389.65    | 0.13%             |  |  |  | No            |                  3 | On Loan: No      |
| CROWN CITY CLO 2020-2A                                                  | CROWN CITY CLO CCITY 2020 2A SUB 144A                       | CUSIP: 22823JAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $405433.80    | 0.49%             | 2035-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC 2003-1                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 1 1A1              | CUSIP: 2254W0FJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31819 | PA      | $31223.13     | 0.04%             | 2033-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                  | CVS PASS THROUGH TRUST PASS THRU CE 01/28 5.88              | CUSIP: 126650BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    710758 | PA      | $703188.68    | 0.85%             | 2028-01-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                            | DBGS MORTGAGE TRUST DBGS 2021 W52 XCP 144A                  | CUSIP: 23308LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 147870000 | PA      | $491423.76    | 0.59%             | 2036-10-15      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                            | DBGS MORTGAGE TRUST DBGS 2018 5BP E 144A                    | CUSIP: 33830CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $724950.27    | 0.87%             | 2033-06-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                            | DBGS MORTGAGE TRUST DBGS 2018 5BP F 144A                    | CUSIP: 33830CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $155762.20    | 0.19%             | 2033-06-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                    | DISH DBS CORP SR SECURED 144A 12/26 5.25                    | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    660000 | PA      | $557178.60    | 0.67%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                    | DISH DBS CORP SR SECURED 144A 12/28 5.75                    | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $320000.00    | 0.39%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2002-B                                          | EMC MORTGAGE LOAN TRUST EMCM 2002 B A1 144A                 | CUSIP: 268668BD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183773 | PA      | $177667.26    | 0.21%             | 2041-02-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                         | EMC MORTGAGE LOAN TRUST EMCM 2001 A M1 144A                 | CUSIP: 268668AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127566 | PA      | $116200.41    | 0.14%             | 2040-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                              | ENCINA PRIVATE CREDIT LLC NOTE                              | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2572860 | PA      | $2517677.00   | 3.04%             | 2025-11-30      | Floating      | 4.08%                 | No            |                  3 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                              | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5         | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17000 | PA      | $2975.00      | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                    | EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878573 | PA      | $827202.49    | 1.00%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                      | FANNIE MAE FNR 2020 37 IA                                   | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    704767 | PA      | $123343.50    | 0.15%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                      | FANNIE MAE FNR 2020 37 IM                                   | CUSIP: 3136B9W45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2479980 | PA      | $502133.43    | 0.61%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01                      | FANNIE MAE   CAS CAS 2017 C01 1B1                           | CUSIP: 30711XEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $251089.48    | 0.30%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                             | MCDERMOTT INTERNATIONAL LTD COMMON STOCK                    | CUSIP: G5924V106<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |      7216 | NS      | $2309.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2           | CUSIP: 32051GPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2610 | PA      | $229.90       | 0.00%             | 2035-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2019-1                                       | FLAGSHIP CREDIT AUTO TRUST FCAT 2019 1 R 144A               | CUSIP: 33844RAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000 | PA      | $82427.37     | 0.10%             | 2026-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-1                                       | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 1 R 144A               | CUSIP: 33845V101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14000 | PA      | $2907158.91   | 3.51%             | 2029-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NMG PARENT                                                              | NEIMAN MARCUS USD COMMON STOCK EQUITY                       | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     13191 | NS      | $2322330.40   | 2.80%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOBLE CORPORATION PLC                                                   | NOBLE CORP PLC COMMON STOCK                                 | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |      1645 | NS      | $62032.95     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                              | FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN        | CUSIP: 943UMZII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      7127 | PA      | $0.00         | 0.00%             | 2023-06-30      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| FORBES ENERGY SERVICES LLC                                              | FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN               | CUSIP: 962XCSII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    513916 | PA      | $0.01         | 0.00%             | 2023-06-30      | Fixed         | 5.30%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                  | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A       | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6048004 | PA      | $387217.73    | 0.47%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071       | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                 | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1027000 | PA      | $82774.35     | 0.10%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4265                                                 | FREDDIE MAC FHR 4265 IA                                     | CUSIP: 3137B5RQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    452418 | PA      | $22931.71     | 0.03%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                 | FREDDIE MAC FHR 4988 LI                                     | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4507275 | PA      | $1005527.50   | 1.21%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                 | FREDDIE MAC FHR 4990 BI                                     | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1415487 | PA      | $317958.25    | 0.38%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                 | FREDDIE MAC FHR 4990 SN                                     | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1669928 | PA      | $192083.67    | 0.23%             | 2050-05-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                 | FREDDIE MAC FHR 5069 DI                                     | CUSIP: 3137F9BQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1912412 | PA      | $251805.35    | 0.30%             | 2041-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                 | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $940886.54    | 1.13%             | 2041-10-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                 | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                 | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $941158.79    | 1.14%             | 2041-11-25      | Floating      | 11.73%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2          | FREDDIE MAC   STACR STACR 2015 DNA2 B                       | CUSIP: 3137G0FZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    421729 | PA      | $423565.68    | 0.51%             | 2027-12-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2          | FREDDIE MAC   STACR STACR 2017 DNA2 B1                      | CUSIP: 3137G0PR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $268993.53    | 0.32%             | 2029-10-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| AXIS ENERGY SERVICES HOLDINGS LLC                                       | AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES | CUSIP: 942WZK900<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3344 | NS      | $116743.38    | 0.14%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GE CAPITAL MTG SERVICES 1999-HE1                                        | GE CAPITAL MTG SERVICES INC GECMS 1999 HE1 M                | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31497 | PA      | $26007.20     | 0.03%             | 2029-04-25      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                   | SYNIVERSE PFD PIK PFDJJZ917                                 | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    331150 | NS      | $318235.51    | 0.38%             |  |  |  | Yes           |                  3 | On Loan: No      |
| TEXGEN POWER LLC                                                        | TEXGEN POWER LLC                                            | CUSIP: 933KFF900<br>LEI: 5493003XDLS9LCQ3SY55 | Long             | EC               | CORP              | US        |      9914 | NS      | $277592.00    | 0.33%             |  |  |  | No            |                  3 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2010-C1                                  | GS MORTGAGE SECURITIES TRUST GSMS 2010 C1 X 144A            | CUSIP: 36249KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1808772 | PA      | $15952.20     | 0.02%             | 2043-08-10      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                 | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A           | CUSIP: 36255MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $755171.76    | 0.91%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2017-SLP                                 | GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A           | CUSIP: 36255MAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93580.10     | 0.11%             | 2032-10-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE3                                                    | GSAMP TRUST GSAMP 2005 HE3 M4                               | CUSIP: 362341BT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2106990.16   | 2.54%             | 2035-06-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-SD1                                                    | GSAMP TRUST GSAMP 2005 SD1 M3 144A                          | CUSIP: 36242DWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2151057 | PA      | $1664463.86   | 2.01%             | 2034-12-25      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)               | UNITI GROUP INC REIT USD.0001                               | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |     46851 | NS      | $259086.03    | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                        | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 2A1                    | CUSIP: 362290AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    592471 | PA      | $388878.45    | 0.47%             | 2047-03-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A           | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405978 | PA      | $247574.13    | 0.30%             | 2036-01-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                     | VICI PROPERTIES INC REIT USD.01                             | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     13531 | NS      | $438404.40    | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                       | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3            | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4338178 | PA      | $1176508.23   | 1.42%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                     | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A1            | CUSIP: 40430RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2921181 | PA      | $1538395.95   | 1.86%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                           | VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9      | CUSIP: 942UCF009<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | EC               | CORP              | US        |       307 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TRUST 2007-AR2                               | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR2 A1             | CUSIP: 456679AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101754 | PA      | $76740.58     | 0.09%             | 2037-06-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND MINING HOLDINGS L COMMON                       | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9231 | NS      | $69232.50     | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR7                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR7 4A1            | CUSIP: 45661EDC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94146 | PA      | $48445.61     | 0.06%             | 2036-05-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A           | CUSIP: 45660N2J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56342 | PA      | $48475.37     | 0.06%             | 2034-11-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-C                                 | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 C M2              | CUSIP: 456606HV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131999 | PA      | $128138.98    | 0.15%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                 | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3             | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3420065 | PA      | $2262081.17   | 2.73%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A19           | CUSIP: 46627MER4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    759399 | PA      | $443170.02    | 0.53%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2011-C3             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2011 C3 XB 144A        | CUSIP: 46635TAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  53895182 | PA      | $117829.42    | 0.14%             | 2046-02-15      | Fixed         | 0.39%                 | No            |                  3 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2007-CB20          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 CB20 D 144A       | CUSIP: 46631QAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32457 | PA      | $268583.83    | 0.32%             | 2051-02-12      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-HTL5          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 HTL5 H 144A       | CUSIP: 46654PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $789008.13    | 0.95%             | 2038-11-15      | Floating      | 10.71%                | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A1                  | CUSIP: 46630GAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11641 | PA      | $11355.75     | 0.01%             | 2035-07-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                               | AMERICAN AIRLINES, INC. 2021 TERM LOAN                      | CUSIP: 02376CBJ3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |    800000 | PA      | $797876.00    | 0.96%             | 2028-04-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL             | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     27142 | PA      | $17642.03     | 0.02%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL              | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    197999 | PA      | $106282.93    | 0.13%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                            | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                        | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114737 | PA      | $75954.58     | 0.09%             | 2036-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-4                                            | LEHMAN MORTGAGE TRUST LMT 2007 4 4A1                        | CUSIP: 52521LBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7199 | PA      | $6993.37      | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                  | LEHMAN XS TRUST LXS 2005 6 3A3A                             | CUSIP: 525221DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    754178 | PA      | $379982.70    | 0.46%             | 2035-11-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| LUMMUS TECHNOLOGY (ILLUMINATE BUYER LLC / ILLUMINATE HOLDINGS IV INC)   | ILLUMINATE BUYER/HLDG SR UNSECURED 144A 07/28 9             | CUSIP: 45232TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $419425.71    | 0.51%             | 2028-07-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                           | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4885 | PA      | $372732.45    | 0.45%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                          | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8397 | PA      | $306505.58    | 0.37%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-R5                                       | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 R5 A1 144A         | CUSIP: 57645WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233341 | PA      | $149692.05    | 0.18%             | 2035-11-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                      | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3              | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2561023 | PA      | $1039445.32   | 1.25%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                 | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A11            | CUSIP: 55274QAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154938 | PA      | $103255.08    | 0.12%             | 2036-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 3A              | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2375 | PA      | $2191.77      | 0.00%             | 2033-05-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 2A2             | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2826 | PA      | $2600.95      | 0.00%             | 2034-02-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| MFA 2022-NQM1 TRUST                                                     | MFRA TRUST MFRA 2022 NQM1 B1 144A                           | CUSIP: 55284PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $687872.30    | 0.83%             | 2066-12-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TRUST                                                     | MFRA TRUST MFRA 2022 RPL1 M1 144A                           | CUSIP: 55285TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $740367.70    | 0.89%             | 2061-08-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                   | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 1A1             | CUSIP: 007036TA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59607 | PA      | $51672.80     | 0.06%             | 2036-01-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                      | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A1                  | CUSIP: 59020UJP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49982 | PA      | $44122.55     | 0.05%             | 2029-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                      | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A                  | CUSIP: 59020UL37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40249 | PA      | $38394.36     | 0.05%             | 2035-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-B                                      | MLCC MORTGAGE INVESTORS INC MLCC 2005 B A1                  | CUSIP: 59020UWU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18989 | PA      | $17526.52     | 0.02%             | 2030-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M3                 | CUSIP: 61744CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100042 | PA      | $95496.87     | 0.12%             | 2034-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C                | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8227831 | PA      | $3949284.69   | 4.76%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I 2007-T25                                       | MORGAN STANLEY CAPITAL I TRUST MSC 2007 T25 X 144A          | CUSIP: 61751XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007294 | PA      | $7.25         | 0.00%             | 2049-11-12      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF F 144A         | CUSIP: 61691KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $365351.12    | 0.44%             | 2034-11-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2005-2                                    | MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M6              | CUSIP: 61744CQQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1916610 | PA      | $1623748.50   | 1.96%             | 2035-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                 | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR B1             | CUSIP: 61748HHP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185991 | PA      | $152137.86    | 0.18%             | 2035-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1              | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139713 | PA      | $61202.65     | 0.07%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R3                           | MORGAN STANLEY REREMIC TRUST MSRR 2014 R3 3B 144A           | CUSIP: 61763PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1858098 | PA      | $1628383.30   | 1.96%             | 2037-03-26      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                 | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A          | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105725 | PA      | $94728.21     | 0.11%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN CORPORATION                                                   | MULTIPLAN CORP SR UNSECURED 144A 10/27 6                    | CUSIP: 17144CAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $449750.00    | 0.54%             | 2027-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                       | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A      | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $345400.00    | 0.42%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                       | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A      | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $347452.60    | 0.42%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                       | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A      | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $372218.60    | 0.45%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                   | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI D 144A         | CUSIP: 63875JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $334228.34    | 0.40%             | 2035-03-15      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2022-RRI                   | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2022 RRI E 144A         | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $662247.95    | 0.80%             | 2035-03-15      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORPORATION                                                     | NAVIENT CORP SR UNSECURED 01/25 5.625                       | CUSIP: 78442FDJ4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     51000 | PA      | $46084.88     | 0.06%             | 2025-01-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 B5 144A        | CUSIP: 64828XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $1266884.43   | 1.53%             | 2059-11-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                   | NOBLE FINANCE CO SECURED 02/28 11                           | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      5122 | PA      | $5698.23      | 0.01%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                   | NOBLE FINANCE CO SECURED 144A 02/28 11                      | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |      3660 | PA      | $4071.75      | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR1                                   | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR1 M1              | CUSIP: 65535VJB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214925 | PA      | $210208.12    | 0.25%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                    | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A          | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1126891 | PA      | $770132.09    | 0.93%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                      | ORACLE CORP SR UNSECURED 03/61 4.1                          | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $69872.48     | 0.08%             | 2061-03-25      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75              | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1471000 | PA      | $1131080.61   | 1.36%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2               | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $447478.90    | 0.54%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3               | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    463000 | PA      | $329981.33    | 0.40%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45              | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     22000 | PA      | $16454.46     | 0.02%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6               | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      9000 | PA      | $6832.56      | 0.01%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95              | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    825500 | PA      | $643170.31    | 0.78%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75              | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1348.72      | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5               | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     26000 | PA      | $18448.40     | 0.02%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                 | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1346.34      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                 | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 1A2             | CUSIP: 71103XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5740198 | PA      | $1150694.53   | 1.39%             | 2036-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| PIPER SANDLER COMPANIES                                                 | PIPER SANDLER COS SR UNSECURED 144A 10/23 5.2               | CUSIP: 724078AE0<br>LEI: QUQDBTUSOAKFEVMRMF78 | Long             | DBT              | CORP              | US        |    900000 | PA      | $892080.00    | 1.08%             | 2023-10-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                           | PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25         | CUSIP: 74165HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $84658.45     | 0.10%             | 2025-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                        | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                 | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |   1418450 | PA      | $622344.98    | 0.75%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                        | PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR                 | CUSIP: 74514L4G9<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |    191755 | PA      | $64717.33     | 0.08%             | 2051-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                   | REGAL TRUST IV REGAL 1999 1 A 144A                          | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11234 | PA      | $10807.59     | 0.01%             | 2031-09-29      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF3              | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3378031 | PA      | $1585248.35   | 1.91%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A            | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129229 | PA      | $107698.72    | 0.13%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA1                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A21            | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169154 | PA      | $132082.72    | 0.16%             | 2036-01-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS7                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A1             | CUSIP: 748940AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68322 | PA      | $54216.87     | 0.07%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1            | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123758 | PA      | $97826.14     | 0.12%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                     | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A8              | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181249 | PA      | $62575.20     | 0.08%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S5                                   | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S5 A12             | CUSIP: 74957EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93354 | PA      | $77794.44     | 0.09%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RSA SECURITY (REDSTONE HOLDCO 2 LP)                                     | REDSTONE HOLDCO 2 LP 2021 TERM LOAN                         | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1236256 | PA      | $861843.70    | 1.04%             | 2028-04-27      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-EC1                       | SECURITIZED ASSET BACKED RECEI SABR 2005 EC1 M2             | CUSIP: 81375WDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262837 | PA      | $258642.16    | 0.31%             | 2035-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A            | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       188 | PA      | $280806.18    | 0.34%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D                               | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 D R 144A           | CUSIP: 83404L101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $78643.21     | 0.09%             | 2039-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B                               | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A           | CUSIP: 83403Y104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $101398.60    | 0.12%             | 2040-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D                               | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A          | CUSIP: 78471C109<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    339000 | PA      | $46377.73     | 0.06%             | 2040-09-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOFTBANK VISION FUND II                                                 | SOFTBANK VISION FUND II FIXED TERM LOAN                     | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    749367 | PA      | $720879.59    | 0.87%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2           | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1732678 | PA      | $1280744.75   | 1.54%             | 2037-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-3                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A               | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161189 | PA      | $99529.07     | 0.12%             | 2036-04-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 4A3              | CUSIP: 86361JAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29355 | PA      | $26703.15     | 0.03%             | 2036-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1             | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179125 | PA      | $112786.77    | 0.14%             | 2036-01-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INV LN TR 2003-BC10                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC10 B             | CUSIP: 86359A2N2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67685 | PA      | $72912.72     | 0.09%             | 2033-10-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-9                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 9 M3               | CUSIP: 86358EMV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1985940 | PA      | $1914377.84   | 2.31%             | 2034-10-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A            | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318973 | PA      | $251328.11    | 0.30%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                       | PUG LLC USD TERM LOAN                                       | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    695160 | PA      | $578720.78    | 0.70%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                  | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                      | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |   2018648 | PA      | $1771363.53   | 2.14%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                   | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 4A1               | CUSIP: 878048AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103911 | PA      | $41955.57     | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                                                | TEAM HEALTH INC DEL TERM LOAN B                             | CUSIP: 87817JAE8<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |   1776501 | PA      | $1527791.12   | 1.84%             | 2024-02-06      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN            | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2829999 | PA      | $2315872.88   | 2.79%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| TEXGEN POWER LLC                                                        | EXGEN TEXAS POWER LLC 2021 2ND LIEN TERM LOAN               | CUSIP: 941VXVII2<br>LEI: 5493003XDLS9LCQ3SY55 | Long             | LON              | CORP              | US        |   1337665 | PA      | $1344353.44   | 1.62%             | 2026-10-08      | Floating      | 10.58%                | No            |                  3 | On Loan: No      |
| THARALDSON HOTEL PORTFOLIO TRUST 2018                                   | THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A         | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1126012 | PA      | $1055380.46   | 1.27%             | 2034-11-11      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN  | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    215385 | PA      | $210808.77    | 0.25%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN               | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1184615 | PA      | $1159448.23   | 1.40%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875           | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    278862 | PA      | $248170.45    | 0.30%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75            | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1899657 | PA      | $1805699.96   | 2.18%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                   | UBER TECHNOLOGIES, INC. 2021 TERM LOAN B                    | CUSIP: 90351JAF1<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |    296842 | PA      | $296683.31    | 0.36%             | 2027-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| UCFC MANU HOUSING 1996-1                                                | UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M               | CUSIP: 90263AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86090 | PA      | $76348.38     | 0.09%             | 2028-01-15      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 01/23 0.00000                                 | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    248000 | PA      | $247949.99    | 0.30%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 03/23 0.00000                                 | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $248294.69    | 0.30%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC             | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6           | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1065000 | PA      | $675294.35    | 0.81%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC             | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875         | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2420000 | PA      | $2347697.66   | 2.83%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | U.S. RENAL CARE, INC. 2019 TERM LOAN B                      | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    198972 | PA      | $112294.66    | 0.14%             | 2026-06-26      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | US RENAL CARE INC 2021 TERM LOAN B                          | CUSIP: 90290PAQ7<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |   1185746 | PA      | $669205.52    | 0.81%             | 2026-06-26      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625            | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |    712000 | PA      | $156640.00    | 0.19%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                      | VIKING CRUISES LTD SR SECURED 144A 05/25 13                 | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $1056636.92   | 1.27%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHIP VII LTD                                       | VIKING OCEAN CRUISES SHI SR SECURED 144A 02/29 5.625        | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1200000 | PA      | $967560.00    | 1.17%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                           | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5             | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |   2205000 | PA      | $1750218.75   | 2.11%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WACHOVIA BANK COMM MTGE TR 2004-C15                                     | WACHOVIA BANK COMMERCIAL MORTG WBCMT 2004 C15 XC 144A       | CUSIP: 929766WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19647 | PA      | $0.41         | 0.00%             | 2041-10-15      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| CAYENNE AVIATION LLC                                                    | VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5         | CUSIP: 942UCF900<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      1842 | NS      | $494355.67    | 0.60%             |  |  |  | No            |                  3 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1            | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159649 | PA      | $141465.14    | 0.17%             | 2036-12-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A3             | CUSIP: 92922FUP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174670 | PA      | $158078.08    | 0.19%             | 2044-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 B1            | CUSIP: 92922F4Y1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2469536 | PA      | $2051937.20   | 2.47%             | 2045-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A            | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711034 | PA      | $630888.08    | 0.76%             | 2046-10-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A            | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457864 | PA      | $395337.16    | 0.48%             | 2046-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-6 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 6 1CB1            | CUSIP: 93935GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    673148 | PA      | $537746.40    | 0.65%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                          | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A         | CUSIP: 95003WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042000 | PA      | $901644.89    | 1.09%             | 2039-12-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| WESCO AIRCRAFT HOLDINGS INC                                             | WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5          | CUSIP: 950814AA1<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |   4179837 | PA      | $3855899.63   | 4.65%             | 2026-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| WEST MARINE (RISING TIDE HOLDINGS INC)                                  | RISING TIDE HOLDINGS INC TERM LOAN                          | CUSIP: 76770EAB3<br>LEI: 254900T03WM6VU0KWL83 | Long             | LON              | CORP              | US        |   1086250 | PA      | $515968.75    | 0.62%             | 2028-06-01      | Floating      | 9.48%                 | No            |                  3 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND COAL CO PIK TERM LOAN                          | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    868472 | PA      | $675237.11    | 0.81%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                         | CBL + ASSOCIATES PROPERTIES REIT USD.01                     | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |      4345 | NS      | $100282.60    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                              | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B               | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |    165704 | PA      | $150707.73    | 0.18%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES LLC (AKA: WINDSTREAM CORP)                          | WINDSTREAM ESCROW LLC SR SECURED 144A 08/28 7.75            | CUSIP: 97382WAA1<br>LEI: 549300L3SXBFJVGRCF66 | Long             | DBT              | CORP              | US        |   1552000 | PA      | $1268279.30   | 1.53%             | 2028-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                          | WORLDWIDE PLAZA TRUST WPT 2017 WWP F 144A                   | CUSIP: 98162JAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $1367628.72   | 1.65%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                    | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2             | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |    419000 | PA      | $379065.11    | 0.46%             | 2027-09-01      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | FIXED INC CLEARING CORP.REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   3597000 | PA      | $3597000.00   | 4.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2493878 | PA      | $-2518199.88  | -3.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF NEW YORK                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4873744 | PA      | $-4929079.98  | -5.94%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -638502 | PA      | $-646004.65   | -0.78%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -581829 | PA      | $-589028.84   | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -645263 | PA      | $-652029.22   | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -743784 | PA      | $-751599.69   | -0.91%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5543642 | PA      | $-5616833.56  | -6.77%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2767828 | PA      | $-2777743.39  | -3.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1192262 | PA      | $-1196791.77  | -1.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2950911 | PA      | $-2961481.34  | -3.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2152557 | PA      | $-2158180.13  | -2.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -218949 | PA      | $-220611.39   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1134610 | PA      | $-1148000.49  | -1.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1434767 | PA      | $-1437857.26  | -1.73%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1493690 | PA      | $-1497094.37  | -1.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1140300 | PA      | $-1156147.64  | -1.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3746060 | PA      | $-3787613.19  | -4.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -608960 | PA      | $-613307.30   | -0.74%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -792433 | PA      | $-799685.71   | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -288575 | PA      | $-290877.83   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1354760 | PA      | $-1365876.02  | -1.65%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2258505 | PA      | $-2272831.52  | -2.74%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO JPM CHASE                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1620533 | PA      | $-1634053.90  | -1.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO ROYAL BANK OF CAN                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -675122 | PA      | $-681407.86   | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -689742 | PA      | $-694965.57   | -0.84%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -78672 | PA      | $-79493.00    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -373448 | PA      | $-379289.46   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -987695 | PA      | $-995498.56   | -1.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -624375 | PA      | $-629743.07   | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO SOCIETE GENERALE REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -430706 | PA      | $-431675.34   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3474011 | PA      | $-3512206.98  | -4.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5925706 | PA      | $-5992207.58  | -7.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -141549 | PA      | $-143125.31   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -67267 | PA      | $-68019.76    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -735956 | PA      | $-742090.60   | -0.89%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WARBURG REVERSE REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -4453052 | PA      | $-4466213.67  | -5.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CITIGROUP REPO REPO                     5807                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  12900000 | PA      | $12900000.00  | 15.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -13947 | PA      | $-14086.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -541292 | PA      | $-542501.74   | -0.65%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -123462 | PA      | $-123738.79   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -701172 | PA      | $-702747.47   | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO TORONTO DOMINIO                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -257854 | PA      | $-258435.21   | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -633245 | PA      | $-641533.99   | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -451328 | PA      | $-456123.87   | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -283858 | PA      | $-286614.58   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BNP PARIBAS REPU REGIONS BANK                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -344293 | PA      | $-344293.40   | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NOMURA                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1425931 | PA      | $-1436714.50  | -1.73%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO PARIBAS                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -868762 | PA      | $-880537.10   | -1.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO WOOD GUNDY REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -24780 | PA      | $-25027.23    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2041204 | PA      | $-2066975.65  | -2.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ABX.HE.AA.06-1 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-143100.91   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ABX.HE.PENAAA.07-1 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-64990.89    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOEING CO/THE SNR S* ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1369.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3            | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1437956 | PA      | $1415048.13   | 1.71%             | 2035-02-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 1999-LB1                                  | ASSET BACKED SECURITIES CORP H ABSHE 1999 LB1 B1            | CUSIP: 04541GAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57558 | PA      | $55055.57     | 0.07%             | 2029-06-21      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $56175.75     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  DEC23 XCME 20240319                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -5 | NC      | $23414.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  DEC24 XCME 20250318                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $3017.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  DEC25 XCME 20260317                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2769.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  JUN24 XCME 20240917                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $7060.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  JUN25 XCME 20250916                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $5492.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  MAR24 XCME 20240618                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $16306.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  MAR25 XCME 20250617                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $5592.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  MAR26 XCME 20260616                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2756.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  SEP24 XCME 20241217                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $6212.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  SEP25 XCME 20251216                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $2804.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PCM Fund, Inc.

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer