# EDGAR Filing Document

**Accession Number:** 0001819559
**File Stem:** 0001752724-23-046439
**Filing Date:** 2023-2
**Character Count:** 137685
**Document Hash:** 26fd66fac93b250cf168ea6f00aee43d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046439.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046439

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Western Asset Diversified Income Fund
- **CENTRAL INDEX KEY:** 0001819559
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23598
- **FILM NUMBER:** 23682457

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON
- **STREET 2:** 620 EIGHTH AVENUE, 47TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 2128056026

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON
- **STREET 2:** 620 EIGHTH AVENUE, 47TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Western Asset Diversified Income Fund

- **b. Investment Company Act file number:** 811-23598

- **c. CIK number of Registrant:** 0001819559

- **d. LEI of Registrant:** 549300M67UHXW4GHZ644

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

  - **Street Address 1:** 620 EIGHTH AVENUE

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-888-777-0102

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

- **a. Name of Series:** Western Asset Diversified Income Fund

- **c. LEI of Series:** 549300M67UHXW4GHZ644

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

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

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1130181147.71

**Total Liabilities:** $366866890.98

**Net Assets:** $763314256.73

**Cash Not Reported:** $11291484.86

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7622.27000000 | **1-Year:** -2140.51000000 | **5-Year:** 1574.47000000 | **10-Year:** -15527.45000000 | **30-Year:** -11163.79000000

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

- **3-Month:** 596.54000000 | **1-Year:** 95072.06000000 | **5-Year:** 244978.95000000 | **10-Year:** 66467.36000000 | **30-Year:** 5515.12000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | -0.31%               | 10.57%               | -5.76%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-7365568.02             | $-4438829.49                               |
| Month 2  | $-3025665.67             | $22125690.64                               |
| Month 3  | $-14023029.94            | $-583982.06                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| HORNBLOWER SUB LLC                                      | Hornblower Sub LLC                                                         | CUSIP: 44055EAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7439723 | PA      | $5239722.42   | 0.69%             | 2025-04-27      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | NOK/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1023160.81   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trus                          | BSREP Commercial Mortgage Trust 2021-DC                                    | CUSIP: 05591UAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18664000 | PA      | $15441784.52  | 2.02%             | 2038-08-15      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                       | Newell Brands Inc                                                          | CUSIP: 651229AY2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $2995683.64   | 0.39%             | 2046-04-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| AMC ENTERTAINMENT HLDGS                                 | AMC Entertainment Holdings Inc                                             | CUSIP: 00165CBA1<br>LEI: 549300ZO77UNR6NRBR11 | Long             | DBT              | CORP              | US        |    4780000 | PA      | $2575009.90   | 0.34%             | 2029-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CNTRL PARENT/CDK GLB INC                                | Central Parent Inc / CDK Global Inc                                        | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1958793.68   | 0.26%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                           | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4098075.00   | 0.54%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IDEAL STANDARD INTL SA                                  | Ideal Standard International SA                                            | CUSIP: 000000000<br>LEI: 5299004EW24BCHXOHD09 | Long             | DBT              | CORP              | LU        |    1690000 | PA      | $778800.55    | 0.10%             | 2026-07-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA1                                    | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9482500 | PA      | $7372229.36   | 0.97%             | 2051-01-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| ROCC HOLDINGS LLC                                       | ROCC Holdings LLC                                                          | CUSIP: 70789PAA2<br>LEI: 6XOCUKRR0UU0LF5P1W14 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7974804.24   | 1.04%             | 2026-08-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT              | CUSIP: 46645WBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3386211.20   | 0.44%             | 2033-07-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                              | CUSIP: 143658BS0<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    5000000 | PA      | $4073753.40   | 0.53%             | 2030-06-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| AKUMIN INC                                              | Akumin Inc                                                                 | CUSIP: 01021FAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $717447.46    | 0.09%             | 2025-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                   | Bausch Health Cos Inc                                                      | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    7616000 | PA      | $3679004.08   | 0.48%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                   | Bath & Body Works Inc                                                      | CUSIP: 532716AN7<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2539905.00   | 0.33%             | 2037-07-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                                | Blue Racer Midstream LLC / Blue Racer Finance Corp                         | CUSIP: 095796AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     362000 | PA      | $350966.24    | 0.05%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| VT TOPCO INC                                            | VT Topco Inc                                                               | CUSIP: 91838LAE0<br>LEI: 5493007T812R37X02Y38 | Long             | LON              | CORP              | US        |    2700000 | PA      | $2592000.00   | 0.34%             | 2026-07-31      | Floating      | 11.12%                | No            |                  3 | On Loan: No      |
| KNIGHT HEALTH HOLDINGS L                                | Knight Health Holdings LLC                                                 | CUSIP: 49902TAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4950000 | PA      | $2982375.00   | 0.39%             | 2028-12-23      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                           | CommScope Inc                                                              | CUSIP: 203372AV9<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    7770000 | PA      | $5567156.90   | 0.73%             | 2028-07-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CHINA AOYUAN GROUP LTD                                  | China Aoyuan Group Ltd                                                     | CUSIP: 000000000<br>LEI: 549300YSOKQO5QD6MP25 | Long             | DBT              | CORP              | KY        |    3200000 | PA      | $270400.00    | 0.04%             | 2024-02-08      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                                | EQM Midstream Partners LP                                                  | CUSIP: 26885BAE0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2254125.15   | 0.30%             | 2048-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| XPO ESCROW SUB LLC                                      | XPO Escrow Sub LLC                                                         | CUSIP: 98379JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1013220.01   | 0.13%             | 2027-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| B3 SA-BRASIL BOLSA BALCA                                | B3 SA - Brasil Bolsa Balcao                                                | CUSIP: 11778EAA4<br>LEI: 4GTK5S46E6H318LMDS44 | Long             | DBT              | CORP              | BR        |    2200000 | PA      | $1856565.66   | 0.24%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                      | Angolan Government International Bond                                      | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    3500000 | PA      | $3039400.00   | 0.40%             | 2032-04-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                        | GREYWOLF CLO VI Ltd                                                        | CUSIP: 39809HAA1<br>LEI: 5493006V5AX99BBCEZ73 | Long             | ABS-CBDO         | CORP              | KY        |    3800000 | PA      | $3303200.74   | 0.43%             | 2031-04-26      | Floating      | 10.06%                | No            |                  2 | On Loan: No      |
| LTR INTERMEDIATE HOLDING                                | LTR Intermediate Holdings Inc                                              | CUSIP: 50219UAB1<br>LEI: 549300J0IFHJE2TQGX07 | Long             | LON              | CORP              | US        |    4925000 | PA      | $4494062.50   | 0.59%             | 2028-05-07      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| ACCELERATE360 HOLD LLC                                  | Accelerate360 Holdings LLC                                                 | CUSIP: 00456LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4259550 | PA      | $4572030.76   | 0.60%             | 2028-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR ULTRA                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        170 | NC      | $-29513.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VIRGIN PULSE INC                                        | Virgin Pulse Inc                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6500000 | PA      | $5070000.00   | 0.66%             | 2029-04-06      | Floating      | 11.62%                | No            |                  3 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE                                 | Global Medical Response Inc                                                | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |    4924623 | PA      | $3481117.61   | 0.46%             | 2025-10-02      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                                 | International Bank for Reconstruction & Development                        | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       | 1660000000 | PA      | $3512521.11   | 0.46%             | 2023-06-14      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B27 Mortgage Trust                                          | CUSIP: 08163HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $2313177.00   | 0.30%             | 2054-07-15      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| River Haus 2021                                         | River Haus 2021                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8500000 | PA      | $8497481.45   | 1.11%             | 2024-08-15      | Fixed         | 6.95%                 | No            |                  3 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves                    | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |   39523080 | NS      | $39523080.00  | 5.18%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2018-NYCH                                    | CUSIP: 90266HAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1833994.20   | 0.24%             | 2032-02-15      | Floating      | 9.16%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2020-2A                                | CUSIP: 64830XCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4837892 | PA      | $4371645.98   | 0.57%             | 2046-10-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                        | Marathon CLO XIII Ltd                                                      | CUSIP: 56579AAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4625000 | PA      | $4350817.96   | 0.57%             | 2032-04-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| TRANSALTA CORP                                          | TransAlta Corp                                                             | CUSIP: 89346DAE7<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |    4000000 | PA      | $3692254.92   | 0.48%             | 2040-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 13-1 A PASS T                                | American Airlines 2013-1 Class A Pass Through Trust                        | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2182424 | PA      | $1895787.11   | 0.25%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CA MAGNUM HOLDINGS                                      | CA Magnum Holdings                                                         | CUSIP: 12674CAA1<br>LEI: 549300ZRDHFR078MFZ78 | Long             | DBT              | CORP              | MU        |    1500000 | PA      | $1370592.08   | 0.18%             | 2026-10-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                                        | TCI-Symphony CLO 2016-1 Ltd                                                | CUSIP: 87230XAD8<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3095789.42   | 0.41%             | 2032-10-13      | Floating      | 10.69%                | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA TREASURY BOND                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        235 | NC      | $-87302.17    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                           | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1391378.06   | 0.18%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD                                 | Global Aircraft Leasing Co Ltd                                             | CUSIP: 37960JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   13479094 | PA      | $11486209.95  | 1.50%             | 2024-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 95 CLO Ltd                                                          | CUSIP: 262485AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6870000 | PA      | $5149075.67   | 0.67%             | 2034-08-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TWO HARBORS INV CORP                                    | Two Harbors Investment Corp                                                | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $863183.80    | 0.11%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XVIII Ltd                                                     | CUSIP: 87154FAG2<br>LEI: 549300JQYSBIW1AM8R32 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2694712.33   | 0.35%             | 2033-07-23      | Floating      | 11.39%                | No            |                  2 | On Loan: No      |
| CLOUDERA INC                                            | Cloudera Inc                                                               | CUSIP: 74339VAE8<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |    5000000 | PA      | $4193750.00   | 0.55%             | 2029-10-08      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-136500.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ABERCROMBIE & FITCH MANA                                | Abercrombie & Fitch Management Co                                          | CUSIP: 003000AA4<br>LEI: 5493003QMCFDA98NPT74 | Long             | DBT              | CORP              | US        |    7155000 | PA      | $7023436.72   | 0.92%             | 2025-07-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HLDGS                                    | Country Garden Holdings Co Ltd                                             | CUSIP: 000000000<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    3500000 | PA      | $2713036.90   | 0.36%             | 2024-01-27      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| VICTORIA PLC                                            | Victoria PLC                                                               | CUSIP: 000000000<br>LEI: 2138002K6ECECHVCQN25 | Long             | DBT              | CORP              | GB        |    2970000 | PA      | $2619576.42   | 0.34%             | 2026-08-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                                      | Whitebox Clo II Ltd                                                        | CUSIP: 96466EAE4<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    2175000 | PA      | $1982271.92   | 0.26%             | 2034-10-24      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                  | First Brands Group LLC                                                     | CUSIP: 31935HAF4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5390000 | PA      | $4886951.30   | 0.64%             | 2028-03-30      | Floating      | 12.73%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |    -978733 | PA      | $-978733.33   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Hayfin US XIV LTD                                       | Hayfin US XIV Ltd                                                          | CUSIP: 42088QAA7<br>LEI: 5493000YWK38UXBNS724 | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6404794.02   | 0.84%             | 2034-07-20      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| MAGENTA BUYER LLC                                       | Magenta Buyer LLC                                                          | CUSIP: 55910RAE3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6500000 | PA      | $5167500.00   | 0.68%             | 2029-07-27      | Floating      | 12.64%                | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                          | Wynn Macau Ltd                                                             | CUSIP: 98313RAD8<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    3000000 | PA      | $2627010.00   | 0.34%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                | Burford Capital Global Finance LLC                                         | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $4919704.90   | 0.64%             | 2030-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA3                                    | CUSIP: 35564KFH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4232880.50   | 0.55%             | 2033-10-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                    | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6700000 | PA      | $5287835.64   | 0.69%             | 2034-01-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                                            | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3000000 | PA      | $2454936.24   | 0.32%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $185340.89    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                                | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp         | CUSIP: 505742AP1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5661810.00   | 0.74%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STRATHCONA RESOURCES                                    | Strathcona Resources Ltd/Alberta                                           | CUSIP: 86304TAA6<br>LEI: 549300YNIUISTSZMLF56 | Long             | DBT              | CORP              | CA        |    4000000 | PA      | $2924180.12   | 0.38%             | 2026-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2015-C                                    | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |       7570 | PA      | $3211369.43   | 0.42%             | 2046-09-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                   | Directv Financing LLC / Directv Financing Co-Obligor Inc                   | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14000000 | PA      | $12551840.00  | 1.64%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GREYSTONE SELECT FINANCI                                | Greystone Select Financial LLC                                             | CUSIP: 39808KAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3445988 | PA      | $3325378.08   | 0.44%             | 2028-06-17      | Floating      | 9.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                    | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6590000 | PA      | $5636765.73   | 0.74%             | 2041-10-25      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| INTL FINANCE CORP                                       | International Finance Corp                                                 | CUSIP: 000000000<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | NUSS              | N/A       |  225000000 | PA      | $5238470.32   | 0.69%             | 2024-06-03      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Fortress Credit BSL Limited                             | Fortress Credit BSL XII Ltd                                                | CUSIP: 34963GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4557859.02   | 0.60%             | 2034-10-15      | Floating      | 11.21%                | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                      | Wind River 2021-4 CLO Ltd                                                  | CUSIP: 97316VAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2450000 | PA      | $1748436.59   | 0.23%             | 2035-01-20      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails Clo X                                                         | CUSIP: 67516BAE1<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | KY        |    3750000 | PA      | $3364900.08   | 0.44%             | 2034-10-15      | Floating      | 11.65%                | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                                | Vertiv Group Corp                                                          | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2553540.00   | 0.33%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                              | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3259528.62   | 0.43%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                     | LCM 29 Ltd                                                                 | CUSIP: 50201LAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1664504.77   | 0.22%             | 2031-04-15      | Floating      | 10.91%                | No            |                  2 | On Loan: No      |
| EQUINOX HOLDINGS INC                                    | Equinox Holdings Inc                                                       | CUSIP: 29446CAR5<br>LEI: 549300W05QKLNGQIIA73 | Long             | LON              | CORP              | US        |    1173000 | PA      | $944265.00    | 0.12%             | 2024-03-08      | Floating      | 13.27%                | No            |                  3 | On Loan: No      |
| HIGHLAND HOLDINGS BOND                                  | Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc | CUSIP: 43103QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   10094427 | PA      | $9444680.63   | 1.24%             | 2025-10-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -2274306 | PA      | $-2274306.13  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $1158253.53   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| RISING TIDE HOLDINGS INC                                | Rising Tide Holdings Inc                                                   | CUSIP: 76770EAB3<br>LEI: 254900T03WM6VU0KWL83 | Long             | LON              | CORP              | US        |    6305000 | PA      | $2994875.00   | 0.39%             | 2028-06-01      | Floating      | 9.12%                 | No            |                  3 | On Loan: No      |
| Helios Issuer, LLC                                      | SUNNOVA HELIOS II ISSUER LLC 2018-1                                        | CUSIP: 86745JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4295576 | PA      | $3564279.74   | 0.47%             | 2048-07-20      | Fixed         | 7.71%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                    | YPF SA                                                                     | CUSIP: 000000000<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |    6300000 | PA      | $5293434.26   | 0.69%             | 2025-07-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                    | Michaels Cos Inc/The                                                       | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $6699482.80   | 0.88%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                                       | Riserva Clo Ltd                                                            | CUSIP: 76761TAJ4<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $1968060.36   | 0.26%             | 2034-01-18      | Floating      | 12.70%                | No            |                  2 | On Loan: No      |
| REDSTONE HOLDCO 2 LP                                    | Redstone Holdco 2 LP                                                       | CUSIP: 75774EAK1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2690000 | PA      | $1363507.20   | 0.18%             | 2029-08-06      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| WHEEL BIDCO LTD                                         | Wheel Bidco Ltd                                                            | CUSIP: 000000000<br>LEI: 213800GGDN5YSVU1G348 | Long             | DBT              | CORP              | JE        |    5180000 | PA      | $5060927.04   | 0.66%             | 2026-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                          | Tharaldson Hotel Portfolio Trust 2018-THPT                                 | CUSIP: 88327HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4455441 | PA      | $4196175.29   | 0.55%             | 2034-11-11      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                             | CUSIP: 36266CAS5<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4416780.50   | 0.58%             | 2026-11-15      | Floating      | 10.25%                | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                           | TransDigm Inc                                                              | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2033980.00   | 0.27%             | 2025-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA FINANCE X DAC 2019-1                           | Credit Suisse European Mortgage Capital Ltd                                | CUSIP: 55960WAB7<br>LEI: 213800FNSN9L4EI3LC40 | Long             | ABS-O            | CORP              | IE        |    2011600 | PA      | $1968499.66   | 0.26%             | 2024-08-09      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5 YEAR TREASURY NOTE                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -446 | NC      | $115702.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| RVR DEALERSHIP HOLDINGS                                 | RVR Dealership Holdings LLC                                                | CUSIP: 75001CAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     920294 | PA      | $851272.22    | 0.11%             | 2028-02-08      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC                                       | Rent-A-Center Inc/TX                                                       | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5266614.02   | 0.69%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                           | TransDigm Inc                                                              | CUSIP: 893647BH9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    1680000 | PA      | $1664858.58   | 0.22%             | 2027-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PLANVIEW PARENT INC                                     | Planview Parent Inc                                                        | CUSIP: 72751PAC8<br>LEI: 549300SEALM1D9FKMA32 | Long             | LON              | CORP              | US        |    4216926 | PA      | $3938292.41   | 0.52%             | 2027-12-17      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| CB POLY US HOLDINGS INC                                 | CB Poly US Holdings Inc                                                    | CUSIP: 12511PAB7<br>LEI: 254900TSH6NNRZ0GUN05 | Long             | LON              | CORP              | US        |    4987500 | PA      | $4682015.63   | 0.61%             | 2029-05-20      | Floating      | 9.82%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019                                    | Huarong Finance 2019 Co Ltd                                                | CUSIP: 000000000<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    2520000 | PA      | $2501100.00   | 0.33%             | 2023-02-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LD HOLDINGS GROUP LLC                                   | LD Holdings Group LLC                                                      | CUSIP: 521088AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3377233.15   | 0.44%             | 2025-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                       | DISH Network Corp                                                          | CUSIP: 25470MAF6<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $1607500.00   | 0.21%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                 | Crescent Energy Finance LLC                                                | CUSIP: 45344LAA1<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    4670000 | PA      | $4406682.05   | 0.58%             | 2026-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| INTERGEN NV                                             | InterGen NV                                                                | CUSIP: 45867XAG9<br>LEI: 549300E3XRGX2JMPEC79 | Long             | DBT              | CORP              | NL        |    5915000 | PA      | $5750319.66   | 0.75%             | 2023-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IMM EURODOLLAR TIME DEPOSIT                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         17 | NC      | $956.25       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wind River CLO Ltd                                      | Wind River 2021-4 CLO Ltd                                                  | CUSIP: 97316VAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2580718.25   | 0.34%             | 2035-01-20      | Floating      | 12.49%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-ADV                                                              | CUSIP: 12660WAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8350000 | PA      | $7189726.59   | 0.94%             | 2038-07-15      | Floating      | 10.57%                | No            |                  2 | On Loan: No      |
| REPUBLIC OF GABON                                       | Gabon Government International Bond                                        | CUSIP: 362420AE1<br>LEI: N/A                  | Long             | DBT              | NUSS              | GA        |    1540000 | PA      | $1266496.00   | 0.17%             | 2031-11-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi                          | Park Avenue Institutional Advisers CLO Ltd 2019-1                          | CUSIP: 70017XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6950000 | PA      | $5904284.31   | 0.77%             | 2032-05-15      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                                | CHS/Community Health Systems Inc                                           | CUSIP: 12543DBL3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $9941062.80   | 1.30%             | 2030-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                    | Soho Trust 2021-SOHO                                                       | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $4517473.10   | 0.59%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| TRANSPORT DE GAS DEL SUR                                | Transportadora de Gas del Sur SA                                           | CUSIP: 893870AX3<br>LEI: 5299002TRC7IFQYSW596 | Long             | DBT              | CORP              | AR        |    5250000 | PA      | $4872971.46   | 0.64%             | 2025-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ONE CALL CORP                                           | One Call Corp                                                              | CUSIP: 000000000<br>LEI: 549300WUCCV86ZQHG041 | Long             | LON              | CORP              | US        |    6912500 | PA      | $5714356.38   | 0.75%             | 2027-04-22      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| RESOLUTE INVESMENT MANA                                 | Resolute Investment Managers Inc                                           | CUSIP: 04635WAH7<br>LEI: 5493000DRVCSZDWGPC49 | Long             | LON              | CORP              | US        |    3502936 | PA      | $2854892.98   | 0.37%             | 2024-04-30      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| XPO CNW INC                                             | XPO CNW Inc                                                                | CUSIP: 12612WAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3280000 | PA      | $2919085.20   | 0.38%             | 2034-05-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| CSEMC 2020-1OTF A                                       | CSEMC 2020-1OTF A                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1105327 | PA      | $1080622.59   | 0.14%             | 2024-08-09      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B27 Mortgage Trust                                          | CUSIP: 08163HBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $2387176.00   | 0.31%             | 2054-07-15      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                       | GEO Group Inc/The                                                          | CUSIP: 36162JAD8<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |    6048000 | PA      | $5817809.37   | 0.76%             | 2028-12-31      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD EQUITY PARTNER                                | Crestwood Equity Partners LP                                               | CUSIP: 226344307<br>LEI: 549300CUY0F1TYDLDL45 | Long             | EP               | CORP              | US        |     750000 | NS      | $6495000.00   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1199 | NC      | $-600320.40   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| US RENAL CARE INC                                       | US Renal Care Inc                                                          | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    5900899 | PA      | $3330319.87   | 0.44%             | 2026-07-26      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| NSG HOLDINGS LLC/NSG HLD                                | NSG Holdings LLC / NSG Holdings Inc                                        | CUSIP: 62940QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2449813 | PA      | $2383790.33   | 0.31%             | 2025-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                    | CUSIP: 55336V308<br>LEI: 5493000CZJ19CK4P3G36 | Long             | EP               | CORP              | US        |     501254 | NS      | $18045144.00  | 2.36%             |  |  |  | No            |                  3 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS FORD MOTOR COMPANY                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $239747.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XXVIII Ltd                                                    | CUSIP: 87168DAC0<br>LEI: 54930054F3QGDZOYIH14 | Long             | ABS-CBDO         | CORP              | KY        |    6045000 | PA      | $4219124.78   | 0.55%             | 2050-10-23      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                   | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2223830 | PA      | $2321788.05   | 0.30%             | 2029-01-25      | Floating      | 14.64%                | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2018-3                          | CUSIP: 35563PGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9539276 | PA      | $3314421.32   | 0.43%             | 2057-08-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| MAGENTA BUYER LLC                                       | Magenta Buyer LLC                                                          | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5940000 | PA      | $5113983.60   | 0.67%             | 2028-07-27      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                | Rockies Express Pipeline LLC                                               | CUSIP: 77340RAD9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9320550.00   | 1.22%             | 2038-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                     | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     680000 | PA      | $698121.82    | 0.09%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        155 | NC      | $14374.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2022-1                          | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3912122.50   | 0.51%             | 2061-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| VERICAST CORP                                           | Vericast Corp                                                              | CUSIP: 92342NAK9<br>LEI: 549300J73P7FL8TVF308 | Long             | DBT              | CORP              | US        |     590000 | PA      | $671862.50    | 0.09%             | 2027-12-15      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |
| WP CPP HOLDINGS LLC                                     | WP CPP Holdings LLC                                                        | CUSIP: 92937JAM5<br>LEI: 549300HT8KGOLU7VM426 | Long             | LON              | CORP              | US        |    3696076 | PA      | $3232089.28   | 0.42%             | 2025-04-30      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| SARAT 2013-1A F1R3                                      | SARAT 2013-1A F1R3                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3538700.00   | 0.46%             | 2033-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UNIQUIFY INC                                            | Uniquify Inc                                                               | CUSIP: 90915UAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3952500 | PA      | $3876559.09   | 0.51%             | 2024-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | Three-Month SOFR                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         12 | NC      | $-43812.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TRIUMPH GROUP INC                                       | Triumph Group Inc                                                          | CUSIP: 896818AP6<br>LEI: 5493007L6S47Q14SL582 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3408680.00   | 0.45%             | 2025-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DOMAN BUILDING MATERIALS                                | Doman Building Materials Group Ltd                                         | CUSIP: 13874XAD5<br>LEI: 529900HEUBRUITK08D78 | Long             | DBT              | CORP              | CA        |    1950000 | PA      | $1286251.11   | 0.17%             | 2026-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2017 CO                                 | Huarong Finance 2017 Co Ltd                                                | CUSIP: 000000000<br>LEI: 5493006V07LYI3HE6G83 | Long             | DBT              | CORP              | VG        |    1240000 | PA      | $1229538.19   | 0.16%             | 2023-07-03      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                       | Wellfleet CLO 2017-2A Ltd                                                  | CUSIP: 94952DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3287000 | PA      | $2728108.76   | 0.36%             | 2029-10-20      | Floating      | 10.99%                | No            |                  2 | On Loan: No      |
| AUTOKINITON US HOLDINGS                                 | Autokiniton US Holdings Inc                                                | CUSIP: 05278HAB2<br>LEI: 254900EHNKMJ1OSEZL85 | Long             | LON              | CORP              | US        |    3940000 | PA      | $3824282.20   | 0.50%             | 2028-04-06      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OP CO LP/FIVE                                | Five Point Operating Co LP / Five Point Capital Corp                       | CUSIP: 33834YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5500000 | PA      | $4632105.67   | 0.61%             | 2025-11-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| National Collegiate Commutatio                          | National Collegiate VI 2007-4 Class A-3L Commutation Trust                 | CUSIP: 63546VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27730208 | PA      | $5442108.74   | 0.71%             | 2038-03-29      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                  | RR 18 Ltd                                                                  | CUSIP: 749737AA0<br>LEI: 54930003V8ISBLDELD80 | Long             | ABS-CBDO         | CORP              | KY        |    7190000 | PA      | $6259925.60   | 0.82%             | 2034-10-15      | Floating      | 10.33%                | No            |                  2 | On Loan: No      |
| ASURION LLC                                             | Asurion LLC                                                                | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    5000000 | PA      | $3916075.00   | 0.51%             | 2029-01-15      | Floating      | 9.61%                 | No            |                  2 | On Loan: No      |
| MED Trust                                               | Med Trust 2021-MDLN                                                        | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6590000 | PA      | $6092052.35   | 0.80%             | 2038-11-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN              | CUSIP: 46652BBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1580000 | PA      | $1265279.17   | 0.17%             | 2037-01-16      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| EARTHSTONE ENERGY HOL                                   | Earthstone Energy Holdings LLC                                             | CUSIP: 27034RAA1<br>LEI: 549300HGVO86L8G72J25 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2394750.00   | 0.31%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| PACTIV LLC                                              | Pactiv LLC                                                                 | CUSIP: 880394AE1<br>LEI: 549300O4WTC6DL4JIE57 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9780108.60   | 1.28%             | 2027-04-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                         | Gen Digital Inc                                                            | CUSIP: 668771AL2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2459625.00   | 0.32%             | 2030-09-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                | Rockies Express Pipeline LLC                                               | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $842590.97    | 0.11%             | 2040-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                                  | Russian Federal Bond - OFZ                                                 | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |  239730000 | PA      | $877655.59    | 0.11%             | 2033-03-23      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                       | GEO Group Inc/The                                                          | CUSIP: 36162JAC0<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3811556.25   | 0.50%             | 2028-06-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                    | KIND Trust 2021-KIND                                                       | CUSIP: 482606AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7446184 | PA      | $6629939.16   | 0.87%             | 2038-08-15      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| BED BATH & BEYOND INC                                   | Bed Bath & Beyond Inc                                                      | CUSIP: 075896AC4<br>LEI: 529900ZBUWWUV7BKGX39 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $508125.00    | 0.07%             | 2044-08-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                                | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd       | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $906900.00    | 0.12%             | 2026-01-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| B RILEY FINANCIAL INC                                   | B Riley Financial Inc                                                      | CUSIP: 05580M801<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      80219 | NS      | $1761609.24   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| BED BATH & BEYOND INC                                   | Bed Bath & Beyond Inc                                                      | CUSIP: 075896AB6<br>LEI: 529900ZBUWWUV7BKGX39 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $99361.36     | 0.01%             | 2034-08-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/EUR FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3821.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS GENERAL MOTORS CO                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-435520.15   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019                                    | Huarong Finance 2019 Co Ltd                                                | CUSIP: 000000000<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    1210000 | PA      | $1164627.44   | 0.15%             | 2023-09-30      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                                          | Barings CLO Ltd 2020-IV                                                    | CUSIP: 06762DAA4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |    1090000 | PA      | $946014.20    | 0.12%             | 2032-01-20      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2022-JERI                     | CUSIP: 63875LAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2235892.75   | 0.29%             | 2039-01-15      | Floating      | 11.79%                | No            |                  2 | On Loan: No      |
| TUTOR PERINI CORP                                       | Tutor Perini Corp                                                          | CUSIP: 901109AF5<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | DBT              | CORP              | US        |    7745000 | PA      | $6789086.39   | 0.89%             | 2025-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AKUMIN ESCROW INC                                       | Akumin Escrow Inc                                                          | CUSIP: 01021FAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    7395000 | PA      | $4514472.09   | 0.59%             | 2028-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CARNIVAL HLDGS BM LTD                                   | Carnival Holdings Bermuda Ltd                                              | CUSIP: 14366RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5141925.00   | 0.67%             | 2028-05-01      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Carlyle US CLO 2020-1, Ltd                              | CARLYLE US CLO 2020-1 LTD                                                  | CUSIP: 14315UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $3981154.79   | 0.52%             | 2034-07-20      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| CARRIAGE PURCHASER INC                                  | Carriage Purchaser Inc                                                     | CUSIP: 14445LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4267800.00   | 0.56%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME 3 Month Eurodollar                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        456 | NC      | $-3181170.10  | -0.42%            |  |  |  | No            |                  1 | On Loan: No      |
| PECF USS INTERMEDIATE HO                                | PECF USS Intermediate Holding III Corp                                     | CUSIP: 69291HAA3<br>LEI: 254900DIL842DEXPYJ91 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $1952970.00   | 0.26%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NCR CORP                                                | NCR Corp                                                                   | CUSIP: 62886EBA5<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2514324.60   | 0.33%             | 2029-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Stacr Remic Trust 2020-DNA1                                    | CUSIP: 35565HBE4<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |    2225000 | PA      | $1924526.21   | 0.25%             | 2050-01-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2018-LUAU                                | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4649397.50   | 0.61%             | 2032-11-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE EXPRESS INC                                   | Worldwide Express Inc                                                      | CUSIP: 00435UAE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    7000000 | PA      | $5866875.00   | 0.77%             | 2029-07-26      | Floating      | 11.39%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | MXN/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLEN MEDIA LLC/CO-ISSR                                 | Allen Media LLC / Allen Media Co-Issuer Inc                                | CUSIP: 01771YAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9160000 | PA      | $3495272.80   | 0.46%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -1532427 | PA      | $-1532426.87  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                                       | Riserva Clo Ltd                                                            | CUSIP: 76761TAG0<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |    2450000 | PA      | $2105513.73   | 0.28%             | 2034-01-18      | Floating      | 10.69%                | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                         | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    9842000 | PA      | $8242675.00   | 1.08%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| STONEMOR INC                                            | StoneMor Inc                                                               | CUSIP: 86184WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11000000 | PA      | $8814300.00   | 1.15%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA5                                    | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1832673.20   | 0.24%             | 2034-01-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                    | Chart Industries Inc                                                       | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3019620.00   | 0.40%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                       | DISH Network Corp                                                          | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1258000.00   | 0.16%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | EUR/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-659346.63   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET                                 | Samhallsbyggnadsbolaget i Norden AB                                        | CUSIP: 000000000<br>LEI: 549300HX9MRFY47AH564 | Long             | DBT              | CORP              | SE        |    5000000 | PA      | $2116065.56   | 0.28%             | N/A             | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                     | LCM 33 Ltd                                                                 | CUSIP: 50202FAA5<br>LEI: 5493006LYYH2XWCWW153 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2540952.82   | 0.33%             | 2034-07-20      | Floating      | 10.59%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/CAD FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $4301.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                | Clear Channel Outdoor Holdings Inc                                         | CUSIP: 18453HAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1110000 | PA      | $811747.80    | 0.11%             | 2028-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -2234320 | PA      | $-2234320.00  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                   | Bausch Health Cos Inc                                                      | CUSIP: 071734AD9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    5000000 | PA      | $2424641.05   | 0.32%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                                         | Dcert Buyer Inc                                                            | CUSIP: 000000000<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |     500000 | PA      | $458500.00    | 0.06%             | 2029-02-16      | Floating      | 11.35%                | No            |                  2 | On Loan: No      |
| PARK-OHIO INDUSTRIES INC                                | Park-Ohio Industries Inc                                                   | CUSIP: 700677AR8<br>LEI: 5493006LQUO5SLMNYM18 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $4085520.00   | 0.54%             | 2027-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYMZ             | CUSIP: 46654GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9583886.50   | 1.26%             | 2026-06-15      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                      | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |    4775031 | PA      | $4979238.89   | 0.65%             | 2043-05-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                          | Palmer Square Loan Funding 2022-3 Ltd                                      | CUSIP: 69690CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2950000 | PA      | $2938823.47   | 0.39%             | 2031-04-15      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust                               | CUSIP: 63875JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3311239.75   | 0.43%             | 2035-03-15      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| FAGE INTL / FAGE USA                                    | FAGE International SA / FAGE USA Dairy Industry Inc                        | CUSIP: 30257WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    8000000 | PA      | $7433760.00   | 0.97%             | 2026-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                            | Navient Corp                                                               | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $7141854.10   | 0.94%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| REDSTONE HOLDCO 2 LP                                    | Redstone Holdco 2 LP                                                       | CUSIP: 75774EAG0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6930000 | PA      | $4831180.20   | 0.63%             | 2028-04-27      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| RP ESCROW ISSUER LLC                                    | RP Escrow Issuer LLC                                                       | CUSIP: 74969PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1147350.80   | 0.15%             | 2025-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2021-B LLC                                       | CUSIP: 19425A104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      17241 | PA      | $6028224.54   | 0.79%             | 2052-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                | Plains All American Pipeline LP                                            | CUSIP: 726503AE5<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8700000.00   | 1.14%             | N/A             | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                   | American Airlines Inc                                                      | CUSIP: 023771S58<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $8211695.47   | 1.08%             | 2025-07-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| PLASTICS MANAGEMENT LLC                                 | Plastics Management LLC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4955892 | PA      | $4578999.27   | 0.60%             | 2027-08-17      | Floating      | 9.35%                 | No            |                  3 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | NOK/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1306.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Structured Agency Credit Risk Debt Notes                       | CUSIP: 35564KDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5116137.60   | 0.67%             | 2033-08-25      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL2Trust                                                        | CUSIP: 12656TAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6233900 | PA      | $3516693.85   | 0.46%             | 2060-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Maps LTD                                                | MAPS 2021-1 Trust                                                          | CUSIP: 55292RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3178818 | PA      | $2004550.87   | 0.26%             | 2046-06-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                  | AthenaHealth Group Inc                                                     | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $1728808.78   | 0.23%             | 2030-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue                          | Multifamily Connecticut Avenue Securities Trust 2019-01                    | CUSIP: 62547NAD1<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1868718.00   | 0.24%             | 2049-10-25      | Floating      | 13.14%                | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                    | Ciudad Autonoma De Buenos Aires/Government Bonds                           | CUSIP: 11942GAD4<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | NUSS              | AR        |    5100000 | PA      | $4698260.35   | 0.62%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2021-KF117 Mortgage Trust                                            | CUSIP: 30320YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7994993 | PA      | $7684155.55   | 1.01%             | 2031-07-25      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                        | Great Wolf Trust 2019-WOLF                                                 | CUSIP: 39152TAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3943000 | PA      | $3739247.84   | 0.49%             | 2036-12-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -1777176 | PA      | $-1777176.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                  | CUSIP: 674599DX0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    8610000 | PA      | $8780632.98   | 1.15%             | 2096-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TURK IHRACAT KR                                         | Turkiye Ihracat Kredi Bankasi AS                                           | CUSIP: 90016LAA4<br>LEI: 789000JVRVYLAXGDWR11 | Long             | DBT              | NUSS              | TR        |    3200000 | PA      | $2920249.60   | 0.38%             | 2026-07-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                                 | LIBERTY INTERACTIVE LLC                                                    | CUSIP: 530715AD3<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |   10011000 | PA      | $4930417.50   | 0.65%             | 2029-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                        | Symphony CLO XXI Ltd                                                       | CUSIP: 87167CAW9<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2484269.28   | 0.33%             | 2032-07-15      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                     | Sound Point CLO XXVI Ltd                                                   | CUSIP: 83615BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $2943420.60   | 0.39%             | 2034-07-20      | Floating      | 11.10%                | No            |                  2 | On Loan: No      |
| SPENCER SPIRIT IH LLC                                   | Spencer Spirit IH LLC                                                      | CUSIP: 84823UAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8813889 | PA      | $8691331.59   | 1.14%             | 2026-06-19      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| WEWORK COS INC                                          | WeWork Cos Inc                                                             | CUSIP: 96208LAA9<br>LEI: 549300D8U9TF7WBED521 | Long             | DBT              | CORP              | US        |    8750000 | PA      | $3338825.00   | 0.44%             | 2025-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| PARTICLE INVESTMENTS SAR                                | Particle Investments Sarl                                                  | CUSIP: 000000000<br>LEI: 549300TH5VH623DTW562 | Long             | LON              | CORP              | LU        |    1725703 | PA      | $1684717.58   | 0.22%             | 2027-05-22      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | GBP/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-767408.61   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNT COS INC                                            | Hunt Cos Inc                                                               | CUSIP: 445587AE8<br>LEI: 549300ODPWDNCH5TKM49 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $5471780.67   | 0.72%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2017-2                                 | CUSIP: 64829KBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2819937 | PA      | $2350011.79   | 0.31%             | 2057-03-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                | Altice France Holding SA                                                   | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    7000000 | PA      | $5352550.00   | 0.70%             | 2027-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | CBOT US Long Bond                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          5 | NC      | $-1824.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BERRY PETROLEUM CO LLC                                  | Berry Petroleum Co LLC                                                     | CUSIP: 08580BAA4<br>LEI: DQ2XTZKV7SILNNV77403 | Long             | DBT              | CORP              | US        |    6022000 | PA      | $5540333.82   | 0.73%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO XXIX Ltd                                                  | CUSIP: 09630LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $6202357.32   | 0.81%             | 2034-07-25      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                     | Ecuador Government International Bond                                      | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    1609000 | PA      | $1041937.68   | 0.14%             | 2030-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION                                | Adtalem Global Education Inc                                               | CUSIP: 00737RAE0<br>LEI: 549300Z467EZLMODV621 | Long             | LON              | CORP              | US        |    1729616 | PA      | $1719264.26   | 0.23%             | 2028-08-12      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                                | Hilcorp Energy I LP / Hilcorp Finance Co                                   | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6050700.60   | 0.79%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                             | Stratus CLO 2022-2 Ltd                                                     | CUSIP: 86317UAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    8200000 | PA      | $7470772.75   | 0.98%             | 2030-07-20      | Floating      | 9.98%                 | No            |                  2 | On Loan: No      |
| VIKING OCEAN CRUISES SHI                                | Viking Ocean Cruises Ship VII Ltd                                          | CUSIP: 92682RAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2000000 | PA      | $1612600.00   | 0.21%             | 2029-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ALLEN MEDIA LLC                                         | Allen Media LLC                                                            | CUSIP: 01771JAG8<br>LEI: 549300ERNJNM4RN5JP79 | Long             | LON              | CORP              | US        |    7386171 | PA      | $6082068.76   | 0.80%             | 2027-02-10      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -2222477 | PA      | $-2222476.80  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                | Service Properties Trust                                                   | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4553257.60   | 0.60%             | 2024-10-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MBRT 2019 MBR                                           | MBRT 2019-MBR                                                              | CUSIP: 55282DBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2862493.20   | 0.38%             | 2036-11-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Zais Matrix CDO I                                       | Zais Clo 17 Ltd                                                            | CUSIP: 98888KAA4<br>LEI: 549300PCGOXUK8XLNY49 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $5031550.10   | 0.66%             | 2033-10-20      | Floating      | 12.49%                | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2021-1 Ltd                                                        | CUSIP: 92918PAA0<br>LEI: 549300TZK6NKU72KPL60 | Long             | ABS-CBDO         | CORP              | KY        |    2250000 | PA      | $1998627.36   | 0.26%             | 2034-07-15      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| WP CPP HOLDINGS LLC                                     | WP CPP Holdings LLC                                                        | CUSIP: 000000000<br>LEI: 549300HT8KGOLU7VM426 | Long             | LON              | CORP              | US        |    6000000 | PA      | $5055000.00   | 0.66%             | 2026-04-30      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CORECIVIC INC                                           | CoreCivic Inc                                                              | CUSIP: 21871NAB7<br>LEI: 529900JFA3K6PTLT8B15 | Long             | DBT              | CORP              | US        |   11596000 | PA      | $11907816.44  | 1.56%             | 2026-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                                | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp         | CUSIP: 505742AM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1090000 | PA      | $917539.36    | 0.12%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -2001602 | PA      | $-2001602.40  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                            | Voya CLO 2018-2 Ltd                                                        | CUSIP: 92917TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6750000 | PA      | $5200727.13   | 0.68%             | 2031-07-15      | Floating      | 9.33%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain Fuji US Clo II Ltd                                            | CUSIP: 09629HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5350000 | PA      | $4200862.46   | 0.55%             | 2030-10-20      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                             | Rad CLO 1 Ltd                                                              | CUSIP: 48661BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $2522082.76   | 0.33%             | 2031-07-15      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                           | Lunar 2021-1 Structured Aircraft Portfolio Notes                           | CUSIP: 83438LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    6054035 | PA      | $4685972.29   | 0.61%             | 2046-10-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FIRST BRANDS GROUP LLC                                  | First Brands Group LLC                                                     | CUSIP: 31935HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5904850 | PA      | $5618464.38   | 0.74%             | 2027-03-30      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                                | Blue Racer Midstream LLC / Blue Racer Finance Corp                         | CUSIP: 095796AH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1987597.90   | 0.26%             | 2025-12-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FRANCHISE GROUP INC                                     | Franchise Group Inc                                                        | CUSIP: 35180YAB9<br>LEI: 549300MWCHSL8BSOMV77 | Long             | LON              | CORP              | US        |    5955440 | PA      | $5745153.45   | 0.75%             | 2026-03-10      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                 | CUSIP: 335934AR6<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    3000000 | PA      | $2845519.80   | 0.37%             | 2026-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VISTAJET MALTA/XO MGMT                                  | VistaJet Malta Finance PLC / XO Management Holding Inc                     | CUSIP: 92840JAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     650000 | PA      | $522031.25    | 0.07%             | 2030-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PM GENERAL PURCHASER LLC                                | PM General Purchaser LLC                                                   | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5347131.58   | 0.70%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                    | Ciudad Autonoma De Buenos Aires/Government Bonds                           | CUSIP: 000000000<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | NUSS              | AR        |    2000000 | PA      | $1842455.04   | 0.24%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                | Service Properties Trust                                                   | CUSIP: 44106MAT9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1728253.78   | 0.23%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | USD/JPY FORWARD                                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9268.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                | Clear Channel Outdoor Holdings Inc                                         | CUSIP: 18453HAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2500000 | PA      | $1840362.50   | 0.24%             | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                           | Freddie Mac Multifamily Structured Credit Risk                             | CUSIP: 35563JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2046974.25   | 0.27%             | 2041-07-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                              | CUSIP: 345370CA6<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2048734.00   | 0.27%             | 2031-07-16      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| TKC HOLDINGS INC                                        | TKC Holdings Inc                                                           | CUSIP: 87256YAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4050000 | PA      | $3169731.57   | 0.42%             | 2028-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE                          | Multifamily Connecticut Avenue Securities Trust 2020-01                    | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2328445.75   | 0.31%             | 2050-03-25      | Floating      | 11.89%                | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                        | Greywolf CLO V Ltd                                                         | CUSIP: 39808TAE8<br>LEI: 549300RJBZLY8V18YD77 | Long             | ABS-CBDO         | CORP              | KY        |    6250000 | PA      | $5356425.12   | 0.70%             | 2031-01-27      | Floating      | 10.21%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/JPY FORWARD                                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-25709.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -2341174 | PA      | $-2341174.40  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA SCE GRP HLDGS LTD                                 | China SCE Group Holdings Ltd                                               | CUSIP: 000000000<br>LEI: 549300Q8UEI2ERAP6P49 | Long             | DBT              | CORP              | KY        |    3100000 | PA      | $1414375.00   | 0.19%             | 2024-04-09      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN NEWS COMPANY                                   | American News Co LLC                                                       | CUSIP: 02862PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1871941 | PA      | $2089554.14   | 0.27%             | 2026-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VERICAST CORP                                           | Vericast Corp                                                              | CUSIP: 92348BAA1<br>LEI: 549300J73P7FL8TVF308 | Long             | DBT              | CORP              | US        |    7020000 | PA      | $7511400.00   | 0.98%             | 2026-09-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| EYECARE PARTNERS LLC                                    | Eyecare Partners LLC                                                       | CUSIP: 30233PAK6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |    2590000 | PA      | $2162650.00   | 0.28%             | 2029-11-15      | Floating      | 11.09%                | No            |                  2 | On Loan: No      |
| SAGA PLC                                                | Saga PLC                                                                   | CUSIP: 000000000<br>LEI: 2138004WWUJN94K2LH95 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $2720137.50   | 0.36%             | 2026-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                           | DISH DBS Corp                                                              | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4500000 | PA      | $3600000.00   | 0.47%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                           | AGL CLO 6 LTD                                                              | CUSIP: 00119WAE7<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |    6990000 | PA      | $6163531.61   | 0.81%             | 2034-07-20      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                         | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    7298000 | PA      | $6212422.50   | 0.81%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE CORDOBA                                    | Provincia de Cordoba                                                       | CUSIP: 74408DAC8<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |    6500000 | PA      | $5273125.00   | 0.69%             | 2025-12-10      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/JPY FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $88258.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                 | Macy's Retail Holdings LLC                                                 | CUSIP: 55617LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1136700.00   | 0.15%             | 2032-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GRANITE POINT MTGE TRST                                 | Granite Point Mortgage Trust Inc                                           | CUSIP: 38741L305<br>LEI: 529900VX2HQZ76AYIE02 | Long             | EP               | CORP              | US        |     170333 | NS      | $2921210.95   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| CINEMARK USA INC                                        | Cinemark USA Inc                                                           | CUSIP: 172441BF3<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $1859487.50   | 0.24%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2019-R07                               | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4940000 | PA      | $4792536.06   | 0.63%             | 2039-10-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                     | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7092480.00   | 0.93%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                | Northern Oil and Gas Inc                                                   | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $961444.00    | 0.13%             | 2028-03-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| MCLAREN FINANCE PLC                                     | Mclaren Finance PLC                                                        | CUSIP: 58175LAA8<br>LEI: 213800BKPDWMWX3GSG36 | Long             | DBT              | CORP              | GB        |    7140000 | PA      | $5390700.00   | 0.71%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CLUBCORP HOLDINGS INC                                   | ClubCorp Holdings Inc                                                      | CUSIP: 18948TAB9<br>LEI: 549300XWSO7KBICXNW37 | Long             | LON              | CORP              | US        |    7383117 | PA      | $6683603.47   | 0.88%             | 2024-09-18      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                     | Elmwood CLO II Ltd                                                         | CUSIP: 29001RAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4600000 | PA      | $3390086.79   | 0.44%             | 2034-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| 888 ACQUISITIONS LTD                                    | 888 Acquisitions Ltd                                                       | CUSIP: 000000000<br>LEI: 254900RFD0BP3JOPZU89 | Long             | DBT              | CORP              | GI        |    2000000 | PA      | $1846534.81   | 0.24%             | 2027-07-15      | Fixed         | 7.56%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MID PARTNER LP                                | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp         | CUSIP: 67421QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $597930.19    | 0.08%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                      | CUSIP: 25714PEN4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    2600000 | PA      | $2355085.23   | 0.31%             | 2033-02-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EMPIRE TODAY LLC                                        | Empire Today LLC                                                           | CUSIP: 29210RAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2462500 | PA      | $1855346.00   | 0.24%             | 2028-04-01      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                               | Anchorage Capital CLO 3-R Ltd                                              | CUSIP: 03330BAA8<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |    3625000 | PA      | $3035115.73   | 0.40%             | 2031-01-28      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| KKR APPLE BIDCO LLC                                     | KKR Apple Bidco LLC                                                        | CUSIP: 000000000<br>LEI: 2549001SCJD3WEYJFM53 | Long             | LON              | CORP              | US        |    1000000 | PA      | $970000.00    | 0.13%             | 2029-09-23      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2021-L6                                     | CUSIP: 61692CAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7195000 | PA      | $3536126.65   | 0.46%             | 2054-06-15      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                          | Wynn Macau Ltd                                                             | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    5000000 | PA      | $4594600.00   | 0.60%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                        | StoneX Group Inc                                                           | CUSIP: 46116VAE5<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3035250.00   | 0.40%             | 2025-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| WEATHERFORD INTL LTD                                    | Weatherford International Ltd                                              | CUSIP: 947075AP2<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |     231000 | PA      | $236491.83    | 0.03%             | 2024-12-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |    -939584 | PA      | $-939583.96   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| YUZHOU GROUP                                            | Yuzhou Group Holdings Co Ltd                                               | CUSIP: 000000000<br>LEI: 213800MP59KHGJSPHE82 | Long             | DBT              | CORP              | KY        |    5550000 | PA      | $501997.50    | 0.07%             | 2024-10-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                        | CSC Holdings LLC                                                           | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $3397170.00   | 0.45%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                      | Ford Motor Co                                                              | CUSIP: 345370BV1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5276880.00   | 0.69%             | 2032-01-15      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                             | Asurion LLC                                                                | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    5000000 | PA      | $3929150.00   | 0.51%             | 2028-02-03      | Floating      | 9.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2020-DNA6                                    | CUSIP: 35566CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4272216.50   | 0.56%             | 2050-12-25      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Remic Trust 2020-DNA2                                    | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |    7250000 | PA      | $5970925.28   | 0.78%             | 2050-02-25      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                       | Republic of Kenya Government International Bond                            | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    3200000 | PA      | $2479968.00   | 0.32%             | 2034-01-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Mach I                                                  | MACH 1 Cayman 2019-1 Ltd                                                   | CUSIP: 55446MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     868376 | PA      | $621651.16    | 0.08%             | 2039-10-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXVI Ltd                                                         | CUSIP: 55955CAE2<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |    6750000 | PA      | $6082793.20   | 0.80%             | 2034-07-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                           | Goldentree Loan Management US Clo 8 Ltd                                    | CUSIP: 38136QAJ8<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $5484419.90   | 0.72%             | 2034-10-20      | Floating      | 12.29%                | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $500937.52    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| SIZZLING PLATT/FIN CO                                   | Sizzling Platter LLC / Sizzling Platter Finance Corp                       | CUSIP: 830146AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6449706.41   | 0.84%             | 2025-11-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                     | Ecuador Government International Bond                                      | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    5593000 | PA      | $2212349.91   | 0.29%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                   | Melco Resorts Finance Ltd                                                  | CUSIP: 58547DAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     800000 | PA      | $736045.99    | 0.10%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                       | US Renal Care Inc                                                          | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |    5380000 | PA      | $1183600.00   | 0.16%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                           | CommScope Inc                                                              | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1849900.00   | 0.24%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                             | SMR 2022-IND Mortgage Trust                                                | CUSIP: 78458MAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2401830 | PA      | $2228776.74   | 0.29%             | 2039-02-15      | Floating      | 10.34%                | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                                | CUSIP: 780153BL5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    3500000 | PA      | $3520860.00   | 0.46%             | 2027-08-15      | Fixed         | 11.62%                | No            |                  2 | On Loan: No      |
| CARNIVAL PLC                                            | Carnival PLC                                                               | CUSIP: 693070AD6<br>LEI: 4DR1VPDQMHD3N3QW8W95 | Long             | DBT              | CORP              | GB        |    2556000 | PA      | $2483703.54   | 0.33%             | 2027-06-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | Goldman Sachs & Co                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Short            | RA               | CORP              | US        |   -2069420 | PA      | $-2069419.73  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust 2018-NYCH                                    | CUSIP: 90266HAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5572434.00   | 0.73%             | 2032-02-15      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | AUD/USD FORWARD                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-20137.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TITAN INTERNATIONAL INC                                 | Titan International Inc                                                    | CUSIP: 88830MAM4<br>LEI: 254900CXRGBE7C4B5A06 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3781665.64   | 0.50%             | 2028-04-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Western Asset Diversified Income Fund

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer