# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-25-052547
**Filing Date:** 2025-8
**Character Count:** 327986
**Document Hash:** 49d92ad13adac2fcf2a2a40b833f342a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-052547.hdr.sgml**: 20250822

**ACCESSION NUMBER**: 0001145549-25-052547

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250822

**DATE AS OF CHANGE**: 20250822

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 251244770

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $3221069265.06

**Total Liabilities:** $346605666.80

**Net Assets:** $2874463598.26

**Delayed Delivery Securities:** $331795422.35

**Stand-by Commitments:** $4566400.24

**Cash Not Reported:** $267079.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 178326.623200000000 | **1-Year:** 18763.310900000000 | **5-Year:** 70836.472400000000 | **10-Year:** 128177.079400000000 | **30-Year:** 489660.245900000000

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

- **3-Month:** 679.372400000000 | **1-Year:** 7707.550000000000 | **5-Year:** 32193.442100000000 | **10-Year:** 66055.482300000000 | **30-Year:** 118199.789300000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087814 | 0.53%                | -0.85%               | 1.72%                |
| Class ID C000087815 | 0.54%                | -0.96%               | 1.73%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-262604.81              | $349892.76                                 |
| Month 2  | $-7150679.09             | $-19897425.15                              |
| Month 3  | $-5069983.57             | $40645546.65                               |

**Designated Index Information**

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

- **Index Identifier:** LEH_AGG

### Schedule of Portfolio Investments

| Name                                                             | Title                                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SUEZ SA (FR)                                                     | SUEZ SA (FR)                                                            | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |   1400000 | PA      | $1540829.16   | 0.05%             | 2034-05-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                               | MVM ENERGETIKA ZRT                                                      | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | NUSS              | HU        |    469000 | PA      | $485691.43    | 0.02%             | 2031-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GALDERMA FINANCE EUROPE BV                                       | GALDERMA FINANCE EUROPE BV                                              | CUSIP: 000000000<br>LEI: 7245004RN4I1ORSTHY93 | Long             | DBT              | CORP              | NL        |    730000 | PA      | $867524.55    | 0.03%             | 2030-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FDJ UNITED                                                       | LA FRANCAISE DES JEUX SA                                                | CUSIP: 000000000<br>LEI: 969500R4CLSQFTYYI535 | Long             | DBT              | CORP              | FR        |   1300000 | PA      | $1510413.60   | 0.05%             | 2033-11-21      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LONZA FINANCE INTERNATIONAL NV/SA                                | LONZA FINANCE INTERNATIONAL NV/SA                                       | CUSIP: 000000000<br>LEI: 549300AS6XQBD4ETT379 | Long             | DBT              | CORP              | BE        |    765000 | PA      | $911406.93    | 0.03%             | 2036-04-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MOLNLYCKE HOLDING AB                                             | MOLNLYCKE HOLDING AB                                                    | CUSIP: 000000000<br>LEI: 549300WAUZKYD5PU9L16 | Long             | DBT              | CORP              | SE        |    285000 | PA      | $346051.35    | 0.01%             | 2034-06-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                  | PHILIP MORRIS INTERNATIONAL INC                                         | CUSIP: 000000000<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    570000 | PA      | $666544.88    | 0.02%             | 2029-06-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                             | SARTORIUS FINANCE BV                                                    | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $370026.28    | 0.01%             | 2032-09-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PERNOD-RICARD SA                                                 | PERNOD-RICARD SA                                                        | CUSIP: 000000000<br>LEI: 52990097YFPX9J0H5D87 | Long             | DBT              | CORP              | FR        |   1400000 | PA      | $1669848.07   | 0.06%             | 2033-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DELIVERY HERO FINCO LLC                                          | DELIVERY HERO FINCO LLC TLB 5.0                                         | CUSIP: 000000000<br>LEI: 529900KR9IO53KSCSQ67 | Long             | LON              | CORP              | US        |    593276 | PA      | $597357.64    | 0.02%             | 2029-12-12      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| GATWICK FUNDING LTD                                              | GATWICK FUNDING LTD                                                     | CUSIP: 000000000<br>LEI: 213800NK8FA3GKS6X167 | Long             | DBT              | CORP              | JE        |    270000 | PA      | $315997.43    | 0.01%             | 2033-10-16      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BLACKROCK INC                                                    | BLACKROCK INC                                                           | CUSIP: 000000000<br>LEI: 529900VBK42Y5HHRMD23 | Long             | DBT              | CORP              | US        |   2675000 | PA      | $3210199.45   | 0.11%             | 2035-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                     | WP CAREY INC                                                            | CUSIP: 000000000<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    400000 | PA      | $485701.03    | 0.02%             | 2032-07-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOLDING DINFRASTRUCTURES DES METIERS DE LENVIRONNEMENT SAS       | HOLDING DINFRASTRUCTURES DES METIE                                      | CUSIP: 000000000<br>LEI: 969500I3QVK40XEORU25 | Long             | DBT              | CORP              | FR        |    805000 | PA      | $983101.95    | 0.03%             | 2029-10-24      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC                         | SCOTTISH HYDRO ELECTRIC TRANS                                           | CUSIP: 000000000<br>LEI: 549300ECJZDA7203MK64 | Long             | DBT              | CORP              | GB        |    520000 | PA      | $609441.59    | 0.02%             | 2032-09-04      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LONZA FINANCE INTERNATIONAL NV/SA                                | LONZA FINANCE INTERNATIONAL NV/SA                                       | CUSIP: 000000000<br>LEI: 549300AS6XQBD4ETT379 | Long             | DBT              | CORP              | BE        |    545000 | PA      | $635449.26    | 0.02%             | 2034-09-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FINANCIAL SERVICES AG                                 | VOLKSWAGEN FINANCIAL SERVICES AG                                        | CUSIP: 000000000<br>LEI: 529900SSGT49ZZSWYE62 | Long             | DBT              | CORP              | DE        |   3700000 | PA      | $4378430.20   | 0.15%             | 2031-11-19      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                | JOHNSON & JOHNSON                                                       | CUSIP: 000000000<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    510000 | PA      | $580353.88    | 0.02%             | 2045-02-26      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                               | 2ND LIEN NEWCO EXCHANGE                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     96173 | PA      | $77619.01     | 0.00%             | 2029-10-15      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV                    | TEVA PHARMACEUTICAL FINANCE NETHER                                      | CUSIP: 000000000<br>LEI: 549300HSQCIKJAOYIT23 | Long             | DBT              | CORP              | NL        |   1613000 | PA      | $1905126.62   | 0.07%             | 2031-06-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | EURO COUNTRIES                                                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |   2295224 | OU      | $71830.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO-SCHATZ SEP 25                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |       -54 | NC      | $9517.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GRIFOLS SA                                                       | GRIFOLS SA                                                              | CUSIP: E5706XAS7<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |   2409000 | PA      | $2968869.05   | 0.10%             | 2030-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US 5YR NOTE SEP 25                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |      2761 | NC      | $4105161.60   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| VIRGIN MEDIA BRISTOL LLC                                         | VIRGIN MEDIA TLN 2.5                                                    | CUSIP: G9368PBC7<br>LEI: 213800IQ982XX69LE276 | Long             | LON              | CORP              | US        |   1750000 | PA      | $1725762.50   | 0.06%             | 2028-01-31      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | US DOLLARS                                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |  81356586 | OU      | $-5932292.33  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29343347 | PA      | $27338073.23  | 0.95%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12937859 | PA      | $12398874.88  | 0.43%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3035902 | PA      | $2734610.99   | 0.10%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16878994 | PA      | $16175237.78  | 0.56%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6394205 | PA      | $5766878.48   | 0.20%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12401662 | PA      | $11555445.68  | 0.40%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9972153 | PA      | $9557436.56   | 0.33%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8208003 | PA      | $8218000.39   | 0.29%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1215518 | PA      | $1217982.34   | 0.04%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3132GDHP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27754 | PA      | $28133.02     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3132GEQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22425 | PA      | $22694.49     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_360                                       | FHLMC_360                                                               | CUSIP: 3132J0US4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1162176 | PA      | $1023976.75   | 0.04%             | 2047-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                                                         | CUSIP: 3132JBH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1995963 | PA      | $1795030.19   | 0.06%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9817153 | PA      | $9023667.89   | 0.31%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    785098 | PA      | $744297.61    | 0.03%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    722469 | PA      | $669914.63    | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT                                                   | CUSIP: 31335ACR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2484938 | PA      | $2314431.00   | 0.08%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                                                         | CUSIP: 3133C6EW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12152621 | PA      | $11967395.66  | 0.42%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA_19-1-KP                                                     | FNMA_19-1                                                               | CUSIP: 3136B3A34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1046553 | PA      | $951915.47    | 0.03%             | 2049-02-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-86                                            | FNMA_18-86                                                              | CUSIP: 3136B3SX9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    288405 | PA      | $285713.42    | 0.01%             | 2047-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNMA_18-94                                     | FNMA_18-94                                                              | CUSIP: 3136B3WS5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    487331 | PA      | $443365.33    | 0.02%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4093                | FHLMC_4093                                                              | CUSIP: 3137AST20<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2157500 | PA      | $373413.20    | 0.01%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4765                                           | FHLMC_4765                                                              | CUSIP: 3137FEQ29<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3363484 | PA      | $2620991.57   | 0.09%             | 2048-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5473                | FHLMC_5473K                                                             | CUSIP: 3137HHFL0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1442232 | PA      | $1444377.22   | 0.05%             | 2054-11-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138ELXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    304123 | PA      | $319930.47    | 0.01%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138ERDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1062125 | PA      | $1043244.44   | 0.04%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138ET7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    732190 | PA      | $690958.94    | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138NYGE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1130863 | PA      | $1022081.12   | 0.04%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138W9GN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    396593 | PA      | $358029.45    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    415667 | PA      | $375248.44    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138W9MK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3612441 | PA      | $3477786.76   | 0.12%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    729786 | PA      | $691210.47    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR OR LESS L                                      | CUSIP: 3138WXG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    219126 | PA      | $197093.79    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3138XJ6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1301055 | PA      | $1248668.70   | 0.04%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_01-M2                                        | FNMA_01-M2                                                              | CUSIP: 313920HM5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      7031 | PA      | $6993.17      | 0.00%             | 2031-06-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-8                                             | FNMA_06-8                                                               | CUSIP: 31394VV64<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    375610 | PA      | $38993.88     | 0.00%             | 2036-03-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_2980                                           | FHLMC_2980                                                              | CUSIP: 31395UF63<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    146856 | PA      | $14037.55     | 0.00%             | 2034-11-15      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31401A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5899 | PA      | $5956.74      | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3001016 | PA      | $2767393.98   | 0.10%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140KSVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19012947 | PA      | $15057807.30  | 0.52%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12227894 | PA      | $9699705.85   | 0.34%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WAMU_05-AR15                                                     | WAMU_05-AR15                                                            | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1325680 | PA      | $1273361.16   | 0.04%             | 2045-11-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| WAMU_03-AR9                                                      | WAMU_03-AR9                                                             | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    205270 | PA      | $204529.08    | 0.01%             | 2033-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| WAMU_03-AR10                                                     | WAMU_03-AR10                                                            | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    225951 | PA      | $218111.12    | 0.01%             | 2033-10-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| WAMU_05-AR4                                                      | WAMU_05-AR4                                                             | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    241727 | PA      | $228237.62    | 0.01%             | 2035-04-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                     | PERATON CORP TLB 3.75                                                   | CUSIP: 000000000<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    498929 | PA      | $439212.59    | 0.02%             | 2028-02-01      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                             | HEATHROW FUNDING LTD                                                    | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |   2015000 | PA      | $2127724.93   | 0.07%             | 2030-10-08      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| EUROGRID GMBH                                                    | EUROGRID GMBH                                                           | CUSIP: 000000000<br>LEI: 967600Q53854Z2NBCC81 | Long             | DBT              | CORP              | DE        |   1400000 | PA      | $1338623.35   | 0.05%             | 2033-04-21      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                     | AMPRION GMBH                                                            | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |   1000000 | PA      | $935507.16    | 0.03%             | 2033-09-23      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140MMAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3293460 | PA      | $2854417.59   | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2266474 | PA      | $2199249.78   | 0.08%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q8DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1414156 | PA      | $1298220.25   | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3857322 | PA      | $3544789.68   | 0.12%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1236107 | PA      | $1196559.27   | 0.04%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 3140QBBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1647454 | PA      | $1518248.67   | 0.05%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QCBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7393647 | PA      | $6557310.93   | 0.23%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14410080 | PA      | $12091735.80  | 0.42%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QMTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15366489 | PA      | $12197640.74  | 0.42%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QMUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12932548 | PA      | $10852588.94  | 0.38%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QMZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7656104 | PA      | $6639524.34   | 0.23%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VSTA_24-CES3                                                            | CUSIP: 92841WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7437953 | PA      | $7446498.19   | 0.26%             | 2055-01-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3368975 | PA      | $3135286.69   | 0.11%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1042212 | PA      | $964524.38    | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S2R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1768364 | PA      | $1726295.44   | 0.06%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1422047 | PA      | $1386468.58   | 0.05%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FINANCING II                                       | CUSIP: 361841AQ2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   3030000 | PA      | $2857793.52   | 0.10%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LOAN TRUST GMACM_05-AR6                | GMACM_05-AR6                                                            | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1180979 | PA      | $940054.16    | 0.03%             | 2035-11-19      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13715900 | PA      | $13134627.47  | 0.46%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36202F2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30247 | PA      | $30011.78     | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 3620A9TT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28761 | PA      | $28789.01     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST GSR_05-AR6                               | GSR_05-AR6                                                              | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127533 | PA      | $115464.10    | 0.00%             | 2035-09-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| GREAT WOLF TRUST GWT_24-WLF2                                     | GWT_24-WLF2                                                             | CUSIP: 362414AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4437000 | PA      | $4448102.26   | 0.15%             | 2041-05-15      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241KDH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12800 | PA      | $12952.07     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241LDX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13911 | PA      | $13675.16     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241LLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31791 | PA      | $30344.18     | 0.00%             | 2040-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241LP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24423 | PA      | $23304.16     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241LPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58639 | PA      | $55942.74     | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR PLATINUM                                                      | CUSIP: 36241LU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35400 | PA      | $33767.66     | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSMBS_18-RPL1                       | GSMBS_18-RPL1                                                           | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2856871 | PA      | $2800929.01   | 0.10%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                              | ALTICE FINANCING SA                                                     | CUSIP: 02154CAF0<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    225000 | PA      | $169386.08    | 0.01%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36296QLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31441 | PA      | $31578.78     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS BIDCO LTD                                 | GALAXY PIPELINE ASSETS BIDCO LTD                                        | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    314026 | PA      | $278266.22    | 0.01%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                              | GENERAL ELECTRIC CAPITAL CORP                                           | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   1886000 | PA      | $1887488.38   | 0.07%             | 2026-05-05      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GETTY IMAGES INC                                                 | GETTY IMAGES INC                                                        | CUSIP: 374276AM5<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |    115161 | PA      | $114310.67    | 0.00%             | 2030-02-21      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                              | ALTICE FINANCING SA                                                     | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    440000 | PA      | $322300.00    | 0.01%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS LP                                             | AMERIGAS PARTNERS LP                                                    | CUSIP: 030981AM6<br>LEI: H36E1IF6YS0OBMHM6168 | Long             | DBT              | CORP              | US        |    843000 | PA      | $869127.03    | 0.03%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3610000 | PA      | $3566409.75   | 0.12%             | 2035-10-23      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC/THE                                             | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    585000 | PA      | $599973.20    | 0.02%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PARTNERS LP                                             | AMERIGAS PARTNERS LP/AMERIGAS FINA                                      | CUSIP: 030981AP9<br>LEI: H36E1IF6YS0OBMHM6168 | Long             | DBT              | CORP              | US        |    606000 | PA      | $628056.14    | 0.02%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | AMGEN INC                                                               | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2513521.59   | 0.09%             | 2053-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12950000 | PA      | $12671671.10  | 0.44%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC/THE                                             | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $1054471.09   | 0.04%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN MONEY MANAGEMENT CORPORATION AMMC_24-28                 | AMMC_24-28A                                                             | CUSIP: 03166HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   9100000 | PA      | $9142715.40   | 0.32%             | 2037-07-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                 | AMWINS GROUP INC TLB 2.25                                               | CUSIP: 03234TBA5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    352947 | PA      | $353010.35    | 0.01%             | 2032-01-30      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC                                                 | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5200000 | PA      | $5036529.72   | 0.18%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| MKT MORTGAGE TRUST MKT_20-525M                                   | MKT_20-525M                                                             | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2035000 | PA      | $1787982.34   | 0.06%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_25-36A                             | MDPK_25-36A                                                             | CUSIP: 55819PBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4975735.00   | 0.17%             | 2035-04-15      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_16                                 | MDPK_16-24A                                                             | CUSIP: 55820NAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1447980 | PA      | $1448248.93   | 0.05%             | 2029-10-20      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_22-1                               | AOMT_22-1                                                               | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6593439 | PA      | $6173039.39   | 0.21%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_21-6                               | AOMT_21-6                                                               | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3855611 | PA      | $3234651.20   | 0.11%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | WARNERMEDIA HOLDINGS INC                                                | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4535000 | PA      | $3372329.87   | 0.12%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4445000 | PA      | $4337991.07   | 0.15%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST MHL_05-4                                        | MHL_05-4                                                                | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500150 | PA      | $498192.01    | 0.02%             | 2035-10-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| NEP GROUP INC                                                    | NEP GROUP INC TLB 3.25                                                  | CUSIP: 62908HAM7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    211557 | PA      | $194501.61    | 0.01%             | 2026-08-19      | Variable      | 9.34%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | ELEVANCE HEALTH INC                                                     | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1589252.44   | 0.06%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | ELEVANCE HEALTH INC                                                     | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1398790.63   | 0.05%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                  | NAKED JUICE LLC TL 3.25                                                 | CUSIP: 62984CAM5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |   1549043 | PA      | $1228902.05   | 0.04%             | 2029-01-24      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                  | NAKED JUICE LLC TL 6.0                                                  | CUSIP: 62984CAN3<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    148703 | PA      | $68589.06     | 0.00%             | 2030-01-24      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                             | APPALACHIAN POWER CO                                                    | CUSIP: 037735BZ9<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   3225000 | PA      | $3341890.71   | 0.12%             | 2033-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                             | APPALACHIAN POWER CO                                                    | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   4030000 | PA      | $4149471.87   | 0.14%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM4                 | NRZT_22-NQM4                                                            | CUSIP: 64831UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14228538 | PA      | $14293159.36  | 0.50%             | 2062-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_24-NQM2                 | NRZT_24-NQM2                                                            | CUSIP: 64832BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6818976 | PA      | $6803602.67   | 0.24%             | 2064-09-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INS CO                                             | NEW YORK LIFE INSURANCE COMPANY                                         | CUSIP: 64952GAT5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3235000 | PA      | $2388898.00   | 0.08%             | 2050-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY TRANSITIONAL FIN AUTH                              | New York City Transitional Finance Authority Future Tax Secured Revenue | CUSIP: 64971XQZ4<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |   2000000 | PA      | $1543196.60   | 0.05%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARCHES BUYER INC                                                 | ANCESTRY.COM INC TLB 3.25                                               | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |    262502 | PA      | $258989.45    | 0.01%             | 2027-12-06      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FINANCE PLC                                     | ARDAGH PACKAGING FIN PLC/HLDGS USA                                      | CUSIP: 03969AAN0<br>LEI: 6354001JXMLKNZDZR978 | Long             | DBT              | CORP              | IE        |    445000 | PA      | $417826.57    | 0.01%             | 2026-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ARDAGH PACKAGING FINANCE PLC                                     | ARDAGH PACKAGING FIN PLC/HLDGS USA                                      | CUSIP: 03969AAP5<br>LEI: 6354001JXMLKNZDZR978 | Long             | DBT              | CORP              | IE        |   3500000 | PA      | $1540003.78   | 0.05%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                   | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1293474.28   | 0.04%             | 2026-06-29      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                   | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1650633.97   | 0.06%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                            | ATHENE GLOBAL FUNDING                                                   | CUSIP: 04685A3L3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1505638.84   | 0.05%             | 2027-03-08      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER COMPANY (MINNESOTA)                        | NORTHERN STATES POWER CO (MN)                                           | CUSIP: 665772CN7<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $1809288.34   | 0.06%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER COMPANY (MINNESOTA)                        | NORTHERN STATES POWER COMPANY (MIN                                      | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1070894.57   | 0.04%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP_21-2A                       | AESOP_21-2A                                                             | CUSIP: 05377RET7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3850000 | PA      | $3684166.26   | 0.13%             | 2028-02-20      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                      | AVOLON HOLDINGS FUNDING LTD                                             | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2035000 | PA      | $1983876.59   | 0.07%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST SEMT_24-INV1                              | SEMT_24-INV1                                                            | CUSIP: 816939AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12072589 | PA      | $12011753.74  | 0.42%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                             | SMITHFIELD FOODS INC                                                    | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1293353.87   | 0.04%             | 2031-09-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                          | VOLKSWAGEN GROUP OF AMERICA FINANC                                      | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    280000 | PA      | $284548.17    | 0.01%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                          | VOLKSWAGEN GROUP OF AMERICA FINANC                                      | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    355000 | PA      | $357144.12    | 0.01%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)                                              | CUSIP: 836205AY0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    570000 | PA      | $567791.64    | 0.02%             | 2030-06-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA (REPUBLIC OF)                                       | SOUTH AFRICA (REPUBLIC OF)                                              | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    865000 | PA      | $833115.71    | 0.03%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_19-OC11                                              | BX_19-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355000 | PA      | $1263872.73   | 0.04%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES BXHPP_21-FILM      | BXHPP_21-FILM                                                           | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8878000 | PA      | $8500685.00   | 0.30%             | 2036-08-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                              | SPECTRUM BRANDS INC                                                     | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    412000 | PA      | $332046.12    | 0.01%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                           | SPRINT SPECTRUM CO I/ II /III/ LLC                                      | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2684000 | PA      | $2701795.04   | 0.09%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_21-3                    | STAR_21-3                                                               | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4460195 | PA      | $3905527.42   | 0.14%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| SAMI_06-AR3                                                      | SAMI_06-AR3                                                             | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3983804 | PA      | $3257679.63   | 0.11%             | 2036-05-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| BXSC COMMERCIAL MORTGAGE TRUST BXSC_22-WSS                       | BXSC_22-WSS                                                             | CUSIP: 05610BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5012500.00   | 0.17%             | 2035-03-15      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_22-CSMO                          | BX_22-CSMO                                                              | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6925000 | PA      | $6955305.19   | 0.24%             | 2027-06-15      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| SWITCH DATA CENTER SWTCH_25-1A                                   | SWTCH_25-1A                                                             | CUSIP: 871044AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7310000 | PA      | $7208518.93   | 0.25%             | 2055-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD SYMP_16-18A                                     | SYMP_16-18A                                                             | CUSIP: 87154GEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7970055 | PA      | $7956378.60   | 0.28%             | 2033-07-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2625000 | PA      | $2598523.96   | 0.09%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1940084.49   | 0.07%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)                                          | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    906000 | PA      | $856145.06    | 0.03%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)                                          | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    720000 | PA      | $736587.24    | 0.03%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_22-CSMO                          | BX_22-CSMO                                                              | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4080000 | PA      | $4110600.82   | 0.14%             | 2027-06-15      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO BCC_21-6A                                | BCC_24-6A                                                               | CUSIP: 05684PAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8750000 | PA      | $8755250.00   | 0.30%             | 2034-10-21      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                         | UNITED NATURAL FOODS TLB 4.75                                           | CUSIP: 91116KAD7<br>LEI: 549300GKGW6WPZ282D40 | Long             | LON              | CORP              | US        |    397516 | PA      | $399503.59    | 0.01%             | 2031-05-01      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BILL                                                           | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24892312.75  | 0.87%             | 2025-08-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4972000 | PA      | $4913964.66   | 0.17%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3395000 | PA      | $3104552.24   | 0.11%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11220000 | PA      | $10907021.22  | 0.38%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9300000 | PA      | $8717456.10   | 0.30%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4020000 | PA      | $3538554.68   | 0.12%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   2579000 | PA      | $2554523.81   | 0.09%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   7482000 | PA      | $6618774.15   | 0.23%             | 2038-06-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                          | BAYER US FINANCE II LLC                                                 | CUSIP: 07274NAQ6<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1532000 | PA      | $1254547.20   | 0.04%             | 2048-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BCPE FLAVOR DEBT MERGER SUB LLC                                  | BCPE FLAVOR DEBT MERGER SUB LLC                                         | CUSIP: 072933AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    440000 | PA      | $449776.69    | 0.02%             | 2032-07-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FINANCE CORP                                  | BERKSHIRE HATHAWAY FINANCE CORP                                         | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $645731.48    | 0.02%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | BERRY GLOBAL INC                                                        | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2883000 | PA      | $2765616.93   | 0.10%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | BERRY GLOBAL INC                                                        | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2981000 | PA      | $2924423.03   | 0.10%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                 | BERRY GLOBAL ESCROW CORP                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    271000 | PA      | $270988.81    | 0.01%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BRAZIL FEDERATIVE REPUBLIC OF (GOVERNMENT)                       | BRAZIL (FEDERATIVE REPUBLIC OF)                                         | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    925000 | PA      | $919514.40    | 0.03%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                            | BROOKLYN UNION GAS CO                                                   | CUSIP: 114259AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1527302.53   | 0.05%             | 2054-07-18      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| INGENOVIS HEALTH INC                                             | INGENOVIS HEALTH INC TLB 3.75                                           | CUSIP: 12510MAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    167181 | PA      | $66036.43     | 0.00%             | 2028-03-06      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| CENTURITY 2023 CITY TRUST CENT_23-CITY                           | CENTT_23-CITY                                                           | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2850000 | PA      | $2853542.27   | 0.10%             | 2028-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                           | EXTRA SPACE STORAGE LP                                                  | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    723000 | PA      | $628364.68    | 0.02%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP                                             | FARMERS EXCHANGE CAPITAL                                                | CUSIP: 309588AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3225000 | PA      | $3384800.28   | 0.12%             | 2028-07-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAPITAL II                                      | FARMERS EXCHANGE CAPITAL II                                             | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3810000 | PA      | $3636093.72   | 0.13%             | 2053-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 20YR GIANT                                                        | CUSIP: 3128CUU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    271763 | PA      | $267165.73    | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2774287 | PA      | $2469076.27   | 0.09%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJZF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4073402 | PA      | $3622878.46   | 0.13%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3970684 | PA      | $3521664.66   | 0.12%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 31292K2L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17207 | PA      | $17441.98     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179S5P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    680079 | PA      | $679034.72    | 0.02%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1874531 | PA      | $1744504.82   | 0.06%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SCB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5869 | PA      | $5919.36      | 0.00%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1113035 | PA      | $998046.66    | 0.03%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3592210 | PA      | $3224293.00   | 0.11%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SSQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3086137 | PA      | $2856350.65   | 0.10%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SWZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    713541 | PA      | $696786.91    | 0.02%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2595902 | PA      | $2326809.06   | 0.08%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    156600 | PA      | $152550.04    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    713128 | PA      | $672217.75    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TAN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    532721 | PA      | $531902.72    | 0.02%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75071 | PA      | $74955.81     | 0.00%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TE43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    531641 | PA      | $530824.80    | 0.02%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3692486 | PA      | $3399349.65   | 0.12%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TJ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    171346 | PA      | $171768.26    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104218 | PA      | $93283.12     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TLT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    815947 | PA      | $769134.20    | 0.03%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84191 | PA      | $79277.90     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA II 30YR SF - JUMBO-CONFORMING                                      | CUSIP: 36179U3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1121471 | PA      | $977099.91    | 0.03%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD VOYA_15-3A                                          | VOYA_15-3A                                                              | CUSIP: 92913UBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4487566 | PA      | $4486959.72   | 0.16%             | 2031-10-20      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD VOYA_14-4A                                          | VOYA_14-4A                                                              | CUSIP: 92914RBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5725000 | PA      | $5728681.18   | 0.20%             | 2031-07-14      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD VOYA_16-3A                                          | VOYA_16-3A                                                              | CUSIP: 92915HAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4866942 | PA      | $4872762.96   | 0.17%             | 2031-10-18      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD VOYA_18-3A                                          | VOYA_18-3A                                                              | CUSIP: 92917KAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5373549 | PA      | $5379733.75   | 0.19%             | 2031-10-15      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                               | VOYAGER PARENT LLC                                                      | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    627000 | PA      | $653494.36    | 0.02%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| WAMU_07-HY2                                                      | WAMU_07-HY2                                                             | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1545257 | PA      | $1401774.49   | 0.05%             | 2036-12-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| GUATEMALA REPUBLIC OF (GOVERNMENT)                               | GUATEMALA (REPUBLIC OF)                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GT        |    315000 | PA      | $266553.61    | 0.01%             | 2033-10-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CAST & CREW LLC                                                  | CAST & CREW PAYROLL TL 3.75                                             | CUSIP: 000000000<br>LEI: 549300XE7OZGFGN5F466 | Long             | LON              | CORP              | US        |    145172 | PA      | $137031.92    | 0.00%             | 2028-12-29      | Variable      | 8.08%                 | No            |                  2 | On Loan: No      |
| ELEMENT MATERIALS TECHNOLOGY GROUP US HOLDINGS INC               | ELEMENT MATERIALS TLB 3.75                                              | CUSIP: 000000000<br>LEI: 213800EGOJGGUKUGEZ30 | Long             | LON              | CORP              | US        |    260762 | PA      | $260978.58    | 0.01%             | 2029-07-06      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                          | ZAYO GROUP HOLDINGS INC TLB 4.25                                        | CUSIP: 000000000<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    365326 | PA      | $350179.64    | 0.01%             | 2027-03-09      | Variable      | 8.58%                 | No            |                  2 | On Loan: No      |
| MATIV HOLDINGS INC                                               | MATIV HOLDINGS INC DD TL 2.5                                            | CUSIP: 000000000<br>LEI: 549300Z1FU4IDULG1R21 | Long             | LON              | CORP              | US        |    172023 | PA      | $170302.71    | 0.01%             | 2027-05-06      | Variable      | 6.93%                 | No            |                  3 | On Loan: No      |
| BARRACUDA NETWORKS INC                                           | BARRACUDA NETWORKS INC TLB 4.5                                          | CUSIP: 000000000<br>LEI: 549300CXGRZWNMPU8080 | Long             | LON              | CORP              | US        |    198315 | PA      | $164055.70    | 0.01%             | 2029-08-15      | Variable      | 8.78%                 | No            |                  2 | On Loan: No      |
| GUATEMALA REPUBLIC OF (GOVERNMENT)                               | GUATEMALA (REPUBLIC OF)                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | GT        |    480000 | PA      | $476094.03    | 0.02%             | 2029-08-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INGENOVIS HEALTH INC                                             | INGENOVIS HEALTH INC TLB 4.25                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    354072 | PA      | $146586.02    | 0.01%             | 2028-03-06      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| TMS ISSUER SARL                                                  | TMS ISSUER SARL                                                         | CUSIP: 000000000<br>LEI: 21380092DY1X4BHPMA32 | Long             | DBT              | CORP              | LU        |   1375000 | PA      | $1419370.41   | 0.05%             | 2032-08-23      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                    | ENEL FINANCE INTERNATIONAL NV                                           | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    735000 | PA      | $876711.72    | 0.03%             | 2043-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COSTA RICA (REPUBLIC OF)                                         | COSTA RICA (REPUBLIC OF)                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | CR        |    930000 | PA      | $969746.76    | 0.03%             | 2034-04-03      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| NATIONAL GAS TRANSMISSION PLC                                    | NATIONAL GAS TRANSMISSION PLC                                           | CUSIP: 000000000<br>LEI: FPCHGTHKVH9ZWXS7S453 | Long             | DBT              | CORP              | GB        |   2405000 | PA      | $2958710.81   | 0.10%             | 2030-04-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                     | MH SUB I LLC TLB 4.25                                                   | CUSIP: 000000000<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    182760 | PA      | $171489.19    | 0.01%             | 2028-05-03      | Variable      | 8.58%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                               | REALTY INCOME CORPORATION                                               | CUSIP: 000000000<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    900000 | PA      | $1136675.09   | 0.04%             | 2030-07-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHEMOURS COMPANY                                                 | CHEMOURS COMPANY TLB2 3.5                                               | CUSIP: 000000000<br>LEI: 549300M1BOLNXL8DOV14 | Long             | LON              | CORP              | US        |    336540 | PA      | $335278.30    | 0.01%             | 2028-08-18      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                               | BAUSCH & LOMB CORP TL 4                                                 | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    154638 | PA      | $154445.16    | 0.01%             | 2028-09-29      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| STAR PARENT INC                                                  | STAR PARENT INC TLB 4.0                                                 | CUSIP: 000000000<br>LEI: 254900GRGCJYRMDRWT73 | Long             | LON              | CORP              | US        |    121944 | PA      | $120686.55    | 0.00%             | 2030-09-27      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                | XEROX CORPORATION TLB 4.0                                               | CUSIP: 000000000<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | LON              | CORP              | US        |    313849 | PA      | $302176.51    | 0.01%             | 2029-11-17      | Variable      | 8.28%                 | No            |                  2 | On Loan: No      |
| DAVIDE CAMPARI MILANO NV                                         | DAVIDE CAMPARI MILANO NV                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $1356920.17   | 0.05%             | 2029-01-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                     | CALPINE CORP TLB5 1.75                                                  | CUSIP: 000000000<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |    682497 | PA      | $682182.70    | 0.02%             | 2032-02-15      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| WEC US HOLDINGS LTD                                              | WESTINGHOUSE TLB 2.25                                                   | CUSIP: 000000000<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    278604 | PA      | $278581.54    | 0.01%             | 2031-01-27      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| BOOST NEWCO BORROWER LLC                                         | BOOST NEWCO BORROWER LLC TLB 2.0                                        | CUSIP: 92943EAG1<br>LEI: 254900S8RE1OL7TTCU64 | Long             | LON              | CORP              | US        |    439634 | PA      | $440548.33    | 0.02%             | 2031-01-31      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| WBHT COMMERCIAL MORTGAGE TRUST WBHT_25-WBM                       | WBHT_25-WBM                                                             | CUSIP: 92943QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3410000 | PA      | $3402805.58   | 0.12%             | 2042-06-15      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_19-R4                                              | CIM_19-R4                                                               | CUSIP: 12556FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4765705 | PA      | $4455710.31   | 0.16%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM_20-R3                                                        | CIM_20-R3                                                               | CUSIP: 12559NAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4771121 | PA      | $4665412.34   | 0.16%             | 2060-01-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_20-R6                                              | CIM_20-R6                                                               | CUSIP: 12560YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3688312 | PA      | $3360693.17   | 0.12%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_20-R7                                              | CIM_20-R7                                                               | CUSIP: 12563GAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5510970 | PA      | $4975921.35   | 0.17%             | 2061-12-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                | DISH NETWORK CORP                                                       | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    263000 | PA      | $270783.58    | 0.01%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_15                                 | DRSLF_15-40A                                                            | CUSIP: 26244GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4748236 | PA      | $4753934.04   | 0.17%             | 2031-08-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_16                                 | DRSLF_16-45A                                                            | CUSIP: 26244MBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7800000 | PA      | $7802503.80   | 0.27%             | 2030-10-15      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                        | DUKE ENERGY CAROLINAS                                                   | CUSIP: 26442CAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $770873.15    | 0.03%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                         | DUKE ENERGY PROGRESS LLC                                                | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    500000 | PA      | $382970.84    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                          | DUKE ENERGY FLORIDA LLC                                                 | CUSIP: 26444HAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $410671.22    | 0.01%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ECI MACOLA/MAX HOLDING LLC                                       | ECI MACOLA/MAX HOLDING LLC TLB                                          | CUSIP: 26825UAM3<br>LEI: 549300MZ2LKM75L5EI42 | Long             | LON              | CORP              | US        |    190886 | PA      | $191722.07    | 0.01%             | 2030-05-09      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| EAST OHIO GAS CO                                                 | EAST OHIO GAS CO                                                        | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |   2015000 | PA      | $1791620.77   | 0.06%             | 2030-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                                    | ECHOSTAR CORP                                                           | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |    142000 | PA      | $145988.62    | 0.01%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                     | ECOPETROL SA                                                            | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    280000 | PA      | $288772.43    | 0.01%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| EDGEWATER GENERATION LLC (DELAWARE)                              | EDGEWATER GEN LLC TLB 3.0                                               | CUSIP: 28031FAM2<br>LEI: 5493004PLDT1L28SWG83 | Long             | LON              | CORP              | US        |    155832 | PA      | $156277.34    | 0.01%             | 2030-08-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| 8TH AVENUE FOOD & PROVISIONS INC                                 | 8TH AVENUE FOOD & PROV 1LN TL 3.75                                      | CUSIP: 28253PAC3<br>LEI: 549300PBCACU45IZ2V05 | Long             | LON              | CORP              | US        |     65713 | PA      | $65633.25     | 0.00%             | 2025-10-01      | Variable      | 10.25%                | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                                                      | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2458000 | PA      | $2166758.72   | 0.08%             | 2045-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                | EVERSOURCE ENERGY                                                       | CUSIP: 30040WAR9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   3135000 | PA      | $3149999.90   | 0.11%             | 2027-07-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                | EVERSOURCE ENERGY                                                       | CUSIP: 30040WAW8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   2760000 | PA      | $2886142.41   | 0.10%             | 2029-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC TRUST OBX_21-NQM2                       | OBX_21-NQM2                                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7169731 | PA      | $5896241.12   | 0.21%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST NYC_25-1155                        | NYC_25-1155                                                             | CUSIP: 67122BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5143000 | PA      | $5202544.11   | 0.18%             | 2042-06-10      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 51 LTD OCT51_21-1A                   | OCT51_21-1A                                                             | CUSIP: 675943AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7215000 | PA      | $7222251.08   | 0.25%             | 2034-07-20      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                              | ONCOR ELECTRIC DELIVERY COMPANY LL                                      | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   3025000 | PA      | $3084790.82   | 0.11%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                   | 1261229 B.C. LTD.                                                       | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    730000 | PA      | $736543.55    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                   | OPEN TEXT CORP                                                          | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    650000 | PA      | $673529.32    | 0.02%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    745000 | PA      | $699669.99    | 0.02%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                                                      | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2240000 | PA      | $2276503.30   | 0.08%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                               | OREGON TOOL LUX LP                                                      | CUSIP: 68610BAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    413573 | PA      | $236249.44    | 0.01%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                   | PECO ENERGY CO                                                          | CUSIP: 693304BD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2690000 | PA      | $2298576.89   | 0.08%             | 2052-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC                                        | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    340000 | PA      | $361454.56    | 0.01%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC                                        | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    795000 | PA      | $888406.56    | 0.03%             | 2034-10-20      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC                                        | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    125000 | PA      | $129815.49    | 0.00%             | 2035-01-22      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| PRKCM_21-AFC2 TRUST                                              | PRKCM_21-AFC2                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8893463 | PA      | $7826502.86   | 0.27%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| PERTAMINA PERSERO PT                                             | PT PERTAMINA (PERSERO)                                                  | CUSIP: 69370PAH4<br>LEI: N/A                  | Long             | DBT              | NUSS              | ID        |   1443000 | PA      | $1325955.75   | 0.05%             | 2030-08-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_22-RN2                 | PRET_22-RN2                                                             | CUSIP: 69377NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4892338 | PA      | $4889967.85   | 0.17%             | 2052-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_25-RPL3                                            | PRPM_25-RPL3                                                            | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6813049 | PA      | $6498200.06   | 0.23%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| NEON MAPLE PURCHASER INC                                         | NEON MAPLE PURCHASER INC TLB1 3.0                                       | CUSIP: 69425BAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    249375 | PA      | $249669.25    | 0.01%             | 2031-11-17      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF (GOVERNMENT)                                  | PANAMA (REPUBLIC OF)                                                    | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    895000 | PA      | $683020.46    | 0.02%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WACHOVIA STUDENT LOAN TRUST                                      | WSLT_06-1                                                               | CUSIP: 92978JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3481623 | PA      | $3409590.85   | 0.12%             | 2040-04-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| WAMU_06-AR11                                                     | WAMU_06-AR11                                                            | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2573525 | PA      | $2159909.30   | 0.08%             | 2046-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| ABG INTERMEDIATE HOLDINGS 2 LLC                                  | ABG INTERM HLDS 2 LLC TLB1 2.25                                         | CUSIP: 00076VBL3<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |     95026 | PA      | $94899.33     | 0.00%             | 2028-12-21      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION COMPANY LLC                                     | AEP TRANSMISSION COMPANY LLC                                            | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    305000 | PA      | $224039.57    | 0.01%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AI AQUA MERGER SUB INC                                           | AI AQUA MERGER SUB INC TLB 3.00                                         | CUSIP: 00132UAP9<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |    184427 | PA      | $184045.67    | 0.01%             | 2028-07-31      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC                                       | AERCAP IRELAND CAPITAL DAC                                              | CUSIP: 00774MAG0<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   3070000 | PA      | $3067502.49   | 0.11%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| WAMU_06-AR4                                                      | WAMU_06-AR4                                                             | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1738585 | PA      | $1626473.64   | 0.06%             | 2046-05-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE                                  | WFCM_15-SG1                                                             | CUSIP: 94989QAV2<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |   5107895 | PA      | $5093309.56   | 0.18%             | 2048-09-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5278000 | PA      | $5086366.26   | 0.18%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1708465.29   | 0.06%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2850000 | PA      | $2849684.61   | 0.10%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    780000 | PA      | $783200.78    | 0.03%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY                                                   | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5545000 | PA      | $5688231.66   | 0.20%             | 2031-01-24      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                | XEROX CORPORATION                                                       | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    735000 | PA      | $769292.48    | 0.03%             | 2030-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| ZIPLY FIBER ISSUER LLC ZIPLY_24-1A                               | ZIPLY_24-1A                                                             | CUSIP: 98979QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3240918.87   | 0.11%             | 2054-04-20      | Fixed         | 7.81%                 | No            |                  2 | On Loan: No      |
| NK KAZMUNAYGAZ AO                                                | KAZMUNAYGAS NATIONAL CO                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | KZ        |    534000 | PA      | $536744.26    | 0.02%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TELENET FINANCING USD LLC                                        | TELENET FINANCING USD TLAR 2.0                                          | CUSIP: 000000000<br>LEI: 213800BMPOX34U6DWN81 | Long             | LON              | CORP              | US        |    238852 | PA      | $233279.78    | 0.01%             | 2028-04-30      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                         | ELANCO ANIMAL HEALTH TLB 1.75                                           | CUSIP: 000000000<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |   1549621 | PA      | $1547885.80   | 0.05%             | 2027-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                                          | ZAYO TLB 3.0                                                            | CUSIP: 000000000<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    398904 | PA      | $378640.02    | 0.01%             | 2027-03-09      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| DAKOTA HOLDING CORP                                              | DUFF & PHELPS TLB 3.75                                                  | CUSIP: 000000000<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |    827559 | PA      | $802822.80    | 0.03%             | 2027-04-09      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| EUROGRID GMBH                                                    | EUROGRID GMBH                                                           | CUSIP: 000000000<br>LEI: 967600Q53854Z2NBCC81 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $236210.70    | 0.01%             | 2031-09-05      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV SA                                          | ANHEUSER BUSCH INBEV SA                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BE        |   2015000 | PA      | $2319231.49   | 0.08%             | 2044-03-22      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                   | MCDONALDS CORPORATION                                                   | CUSIP: 000000000<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    520000 | PA      | $640332.49    | 0.02%             | 2035-03-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTERNATIONAL FIN NV                                  | VOLKSWAGEN INTERNATIONAL FIN PNC9                                       | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $1597509.69   | 0.06%             | N/A             | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                                    | EURO COUNTRIES                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | XX        |   6490787 | OU      | $274526.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO-BOBL SEP 25                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |      -263 | NC      | $121641.21    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CORPORACION NACIONAL DEL COBRE DE CHILE                          | CORPORACION NACIONAL DEL COBRE DE                                       | CUSIP: P3143NBP8<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |    720000 | PA      | $698490.33    | 0.02%             | 2033-02-02      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO-BUND SEP 25                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |      -193 | NC      | $171126.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 2YR NOTE SEP 25                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |      3741 | NC      | $3103450.82   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| VISA INC                                                         | VISA INC                                                                | CUSIP: U9224PAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    870000 | PA      | $1019183.73   | 0.04%             | 2044-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                         | VISA INC                                                                | CUSIP: U9224PAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2361156.41   | 0.08%             | 2033-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-13                                            | FNMA_13-13                                                              | CUSIP: 3136ACH53<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1414095 | PA      | $1362708.70   | 0.05%             | 2042-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-45                                            | FNMA_13-45                                                              | CUSIP: 3136AD3D9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    100738 | PA      | $9353.34      | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA_13-81                                                       | FNMA_13-81                                                              | CUSIP: 3136AFD68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     50255 | PA      | $915.88       | 0.00%             | 2042-10-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-54                                            | FNMA_18-54                                                              | CUSIP: 3136B2YM8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    410554 | PA      | $406174.55    | 0.01%             | 2047-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                | AMCOR FLEXIBLES NORTH AMERICA INC                                       | CUSIP: 02344AAD0<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   4450000 | PA      | $4525793.05   | 0.16%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                         | AMERICAN ASSETS TRUST LP                                                | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |   3650000 | PA      | $3271042.91   | 0.11%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                         | AMERICAN HOMES 4 RENT LP                                                | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1658099.79   | 0.06%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   8468000 | PA      | $7594433.41   | 0.26%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                      | AVOLON HOLDINGS FUNDING LTD                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3398000 | PA      | $3228277.25   | 0.11%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                 | BAT CAPITAL CORP                                                        | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1327308.36   | 0.05%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST BCAP_07-AA1                                       | BCAP_07-AA1                                                             | CUSIP: 05530PAP7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3920283 | PA      | $3537429.91   | 0.12%             | 2037-03-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| BCPE NORTH STAR US HOLDCO 2 INC                                  | BCPE NORTH STAR US HOLDCO TL 4.0                                        | CUSIP: 05552DAD4<br>LEI: 254900AGB0JDUDNIJC95 | Long             | LON              | CORP              | US        |    391889 | PA      | $386011.02    | 0.01%             | 2028-06-09      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3128K9Q49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7306 | PA      | $7668.10      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3128K9SR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5312 | PA      | $5499.15      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128LXBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    298231 | PA      | $302658.19    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36179UD90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2984728 | PA      | $2813422.83   | 0.10%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA II 30YR SF - JUMBO-CONFORMING                                      | CUSIP: 36179UVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    412374 | PA      | $369490.07    | 0.01%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                                                              | CUSIP: 36180AB85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15137078 | PA      | $14495579.21  | 0.50%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP                                                   | GLP CAPITAL LP / GLP FIN II INC                                         | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    870000 | PA      | $891966.14    | 0.03%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-26              | GNMA_06-26                                                              | CUSIP: 38374NDU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     12880 | PA      | $10635.25     | 0.00%             | 2036-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2237919.13   | 0.08%             | 2028-02-24      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    400000 | PA      | $281552.94    | 0.01%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1349842.36   | 0.05%             | 2036-01-24      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_19-OSB | JPMCC_19-OSB                                                            | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720000 | PA      | $2548063.63   | 0.09%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST JPMMT_25-CES1                           | JPMMT_25-CES1                                                           | CUSIP: 46658XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6403910 | PA      | $6437813.17   | 0.22%             | 2055-05-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                                            | JANE STREET GROUP LLC TLB 2.0                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    491259 | PA      | $490625.19    | 0.02%             | 2031-12-15      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                                | JAPAN TOBACCO INC                                                       | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    660000 | PA      | $679090.67    | 0.02%             | 2030-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX SARL                                         | JBS USA HOLDING LUX SARL                                                | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1471000 | PA      | $1606267.30   | 0.06%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| KELSO INDUSTRIES LLC                                             | KELSO INDUSTRIES LLC TL 5.75                                            | CUSIP: 48825CAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    313470 | PA      | $313469.65    | 0.01%             | 2029-12-30      | Variable      | 10.08%                | No            |                  2 | On Loan: No      |
| KELSO INDUSTRIES LLC                                             | KELSO INDUSTRIES LLC DDTL 5.75                                          | CUSIP: 48825CAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     54678 | PA      | $54677.78     | 0.00%             | 2029-12-30      | Variable      | 5.75%                 | No            |                  3 | On Loan: No      |
| Kedrion                                                          | KEVLAR SPA                                                              | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |    870000 | PA      | $833102.93    | 0.03%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                                            | KEYSPAN GAS EAST CORPORATION                                            | CUSIP: 49338CAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $6235148.72   | 0.22%             | 2033-03-06      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| KUEHG CORP                                                       | KUEHG CORP TLB 3.25                                                     | CUSIP: 50118YAG4<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |    139634 | PA      | $139634.18    | 0.00%             | 2030-06-12      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| LCM LTD PARTNERSHIP LCM_35A                                      | LCM_25-35A                                                              | CUSIP: 50202QAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7300000 | PA      | $7300087.60   | 0.25%             | 2035-10-15      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS                                                  | LAS VEGAS SANDS CORP                                                    | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   2865000 | PA      | $2923129.25   | 0.10%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                             | LEXINGTON REALTY TRUST                                                  | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1604118.14   | 0.06%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORPORATION                                      | LOCKHEED MARTIN CORPORATION                                             | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    730000 | PA      | $702275.58    | 0.02%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORPORATION                                      | LOCKHEED MARTIN CORPORATION                                             | CUSIP: 539830CD9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    210000 | PA      | $209358.95    | 0.01%             | 2034-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128M7HE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     78246 | PA      | $78164.30     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128M96X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2617180 | PA      | $2519771.99   | 0.09%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LBMLT_06-10                                                      | LBMLT_06-10                                                             | CUSIP: 54251YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3469094 | PA      | $2444222.72   | 0.09%             | 2036-11-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | WARNERMEDIA HOLDINGS INC                                                | CUSIP: 55903VBD4<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   6975000 | PA      | $4117725.34   | 0.14%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                         | WARNERMEDIA HOLDINGS INC                                                | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3830000 | PA      | $2012391.66   | 0.07%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| MICHAELS COMPANIES INC                                           | MAGIC MERGERCO INC                                                      | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2145101.95   | 0.07%             | 2028-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MICHAELS COMPANIES INC                                           | MAGIC MERGERCO INC                                                      | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    710000 | PA      | $468067.90    | 0.02%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD MAGNE_20-25A                                   | MAGNE_20-25A                                                            | CUSIP: 55955GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5725754 | PA      | $5725771.43   | 0.20%             | 2032-01-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MAGNITE INC                                                      | MAGNITE INC TLB 3.0                                                     | CUSIP: 55955NAG3<br>LEI: 54930018FR2YX1HHSB02 | Long             | LON              | CORP              | US        |    415478 | PA      | $415997.20    | 0.01%             | 2031-02-06      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                       | MAJORDRIVE HOLDINGS IV LLC                                              | CUSIP: 56085RAA8<br>LEI: 25490044R1FR5N8FIT62 | Long             | DBT              | CORP              | US        |    110000 | PA      | $86982.00     | 0.00%             | 2029-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST OMW_20-1MW                                        | OMW_20-1MW                                                              | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3470000 | PA      | $3279204.13   | 0.11%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                      | MCAFEE CORP TLB1 3.0                                                    | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |     92786 | PA      | $89983.39     | 0.00%             | 2029-03-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                   | MCDONALDS CORPORATION                                                   | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $3805145.58   | 0.13%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP                                                    | CUSIP: 5901886X1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $998354.06    | 0.03%             | 2026-12-01      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MABR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4366273 | PA      | $4098741.50   | 0.14%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MABS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    988287 | PA      | $927732.78    | 0.03%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN FFMER_07-2            | FFMER_07-2                                                              | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1632159 | PA      | $1182042.15   | 0.04%             | 2037-05-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SECURITIES MLMBS_07-2              | MLMBS_07-2                                                              | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    463079 | PA      | $395479.91    | 0.01%             | 2036-08-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| MIAMI DADE CNTY FL AVIATION REVENUE                              | County of Miami-Dade FL Aviation Revenue                                | CUSIP: 59333P4R6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    930000 | PA      | $844034.24    | 0.03%             | 2034-10-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| GAINWELL ACQUISITION CORP                                        | GAINWELL ACQUISITION CORP TLB 4.0                                       | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    745704 | PA      | $717180.74    | 0.02%             | 2027-10-01      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MAD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    175104 | PA      | $167653.35    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2045167 | PA      | $1879891.14   | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MODENA BUYER LLC                                                 | MODENA BUYER LLC TLB 4.5                                                | CUSIP: 60753DAC8<br>LEI: 254900B0G2IU0VBDOY26 | Long             | LON              | CORP              | US        |    111240 | PA      | $106929.57    | 0.00%             | 2031-07-01      | Variable      | 8.78%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                    | MODIVCARE INC                                                           | CUSIP: 60783XAC8<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |   2905350 | PA      | $813498.00    | 0.03%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ5A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    340949 | PA      | $340780.63    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1305614 | PA      | $1270853.82   | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2805000 | PA      | $2398413.03   | 0.08%             | 2032-04-28      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST MSM_05-2AR                    | MSM_05-2AR                                                              | CUSIP: 61745M4E0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235055 | PA      | $234331.82    | 0.01%             | 2035-04-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJ5E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    705993 | PA      | $704337.46    | 0.02%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    203953 | PA      | $209335.62    | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    990000 | PA      | $857415.81    | 0.03%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    845000 | PA      | $740313.19    | 0.03%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJPY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2010629 | PA      | $2001702.55   | 0.07%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJX47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    692194 | PA      | $641267.77    | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJXE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1438735 | PA      | $1335244.73   | 0.05%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2791943 | PA      | $2484789.78   | 0.09%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    420000 | PA      | $374826.26    | 0.01%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                                                          | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3540000 | PA      | $3639888.60   | 0.13%             | 2036-01-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJYH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1656086 | PA      | $1530819.91   | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT                                                        | CUSIP: 3128MJYT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1243731 | PA      | $1108069.33   | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                                                        | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1371358.81   | 0.05%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOFTWARE INC.                               | TAKE-TWO INTERACTIVE SOFTWARE INC                                       | CUSIP: 874054AH2<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   3355000 | PA      | $3179081.70   | 0.11%             | 2032-04-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS & ANN ASSOC OF AMER                                 | TEACHERS INSURANCE & ANNUITY                                            | CUSIP: 878091BG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    890000 | PA      | $596084.06    | 0.02%             | 2050-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TECHNIMARK LLC                                                   | TECHNIMARK HOLDINGS LLC TLB 3.25                                        | CUSIP: 87854HAD8<br>LEI: SMVHAQI7R80MMI4TPU55 | Long             | LON              | CORP              | US        |    245431 | PA      | $246351.14    | 0.01%             | 2031-04-14      | Variable      | 7.57%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 3129324M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53755 | PA      | $55917.94     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 312936Y50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20860 | PA      | $21155.37     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV                   | TEVA PHARMACEUTICAL FINANCE NETHER                                      | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    284000 | PA      | $289706.36    | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL FINANCE NETHERLANDS IV BV                    | TEVA PHARMACEUTICAL FINANCE NETHER                                      | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |    283000 | PA      | $287117.80    | 0.01%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                                                              | CUSIP: 312938UD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74814 | PA      | $76760.58     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS MIRROR                                                  | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1836860 | PA      | $1631633.59   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                                    | VISTRA ENERGY CORP TLB3 1.75                                            | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |    404810 | PA      | $405623.61    | 0.01%             | 2030-12-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| TIAA CLO IV TIA_18-1A                                            | TIA_18-1A                                                               | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4618901 | PA      | $4620989.23   | 0.16%             | 2032-01-20      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS MIRROR                                                  | CUSIP: 3132AD3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    234679 | PA      | $222124.44    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DMHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7909878 | PA      | $7014990.16   | 0.24%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                            | TIME WARNER CABLE LLC                                                   | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1919531.79   | 0.07%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC TLJ 2.5                                                   | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    396480 | PA      | $397153.62    | 0.01%             | 2031-02-28      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                   | TRANSOCEAN INC                                                          | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |    232000 | PA      | $239134.15    | 0.01%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FINANCING LTD                                   | TRANSOCEAN TITAN FIN LTD                                                | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    180952 | PA      | $185089.58    | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DQK54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9640603 | PA      | $8418161.77   | 0.29%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DVKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7692685 | PA      | $7044664.05   | 0.25%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRUGREEN LP                                                      | TRUGREEN LP TLB 4.0                                                     | CUSIP: 89787RAH5<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |    569188 | PA      | $538952.62    | 0.02%             | 2027-11-02      | Variable      | 8.43%                 | No            |                  2 | On Loan: No      |
| TWITTER INC                                                      | X CORP TLB1 6.5                                                         | CUSIP: 90184NAG3<br>LEI: 549300I8RX485XMK6836 | Long             | LON              | CORP              | US        |    469748 | PA      | $458299.80    | 0.02%             | 2029-10-26      | Variable      | 10.93%                | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14566552 | PA      | $11561052.70  | 0.40%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  26826952 | PA      | $21289140.41  | 0.74%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10200028 | PA      | $8478298.09   | 0.29%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5915167 | PA      | $4687444.87   | 0.16%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UFC HOLDINGS LLC                                                 | UFC HOLDINGS LLC TLB4 2.25                                              | CUSIP: 90266UAK9<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    223157 | PA      | $223888.57    | 0.01%             | 2031-11-21      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                            | UBER TECHNOLOGIES INC                                                   | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   4360000 | PA      | $4292329.50   | 0.15%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11438371 | PA      | $9914765.92   | 0.34%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER                                                   | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18648741 | PA      | $16145449.43  | 0.56%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                              | UNITED AIR 2023-1 A PTT                                                 | CUSIP: 90932LAJ6<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |   4017095 | PA      | $4074431.56   | 0.14%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | MEXICO (UNITED MEXICAN STATES)                                          | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    990000 | PA      | $856826.32    | 0.03%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                             | FRONTIER COMM HOLD LLC TLB 2.5                                          | CUSIP: 35906EAU4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    166290 | PA      | $166081.91    | 0.01%             | 2031-07-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176BCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     91859 | PA      | $87542.19     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)                      | UNITED MEXICAN STATES                                                   | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $168740.30    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                           | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34710000 | PA      | $34531026.56  | 1.20%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                           | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 158161000 | PA      | $157296057.03 | 5.47%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BOND                                                           | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51075000 | PA      | $52471582.03  | 1.83%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33300540 | PA      | $33850779.39  | 1.18%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48822600 | PA      | $48906513.84  | 1.70%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64887 | PA      | $64940.89     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176FD62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6015 | PA      | $5969.94      | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                                                               | CUSIP: 36176W2N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60137 | PA      | $56954.59     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  87945000 | PA      | $88013707.03  | 3.06%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY NOTE                                                           | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 163613000 | PA      | $164252113.28 | 5.71%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                                                  | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1030705.58   | 0.04%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                                                  | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   6740000 | PA      | $6803064.10   | 0.24%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC                                                  | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2811489.13   | 0.10%             | 2054-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY CALIF REGTS MEDICAL CENTER POOLED REV                 | Regents of the University of California Medical Center Pooled Revenue   | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4385000 | PA      | $2766981.04   | 0.10%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                    | UNIVERSAL HEALTH SERVICES INC                                           | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1824877.41   | 0.06%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| VZ SECURED FINANCING BV                                          | VZ SECURED FINANCING BV                                                 | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |   3250000 | PA      | $2886364.84   | 0.10%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                               | VENTURE GLOBAL PLAQUEMINES LNG LLC                                      | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    600000 | PA      | $650024.65    | 0.02%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | VENTURE GLOBAL LNG INC                                                  | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    274000 | PA      | $282982.17    | 0.01%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | VENTURE GLOBAL LNG INC                                                  | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $1179271.78   | 0.04%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | VENTURE GLOBAL LNG INC                                                  | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    188000 | PA      | $190257.00    | 0.01%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                           | VENTURE GLOBAL LNG INC                                                  | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    287000 | PA      | $279724.16    | 0.01%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-7                            | VERUS_21-7                                                              | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13718877 | PA      | $12328020.12  | 0.43%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP / VICI NOTE CO                                       | CUSIP: 92564RAE5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    105000 | PA      | $100671.97    | 0.00%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                               | VICI PROPERTIES LP/VICI NOTE CO                                         | CUSIP: 92564RAL9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    515000 | PA      | $499017.88    | 0.02%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2057229.11   | 0.07%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_22-NQM1                                          | CSMC_22-NQM1                                                            | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9291455 | PA      | $8450364.13   | 0.29%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_18-RPL9             | CSMC_18-RPL9                                                            | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4075299 | PA      | $3948831.22   | 0.14%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST CERTIFICATES CSMCM_21-RP11                           | CSMCM_21-RP11                                                           | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    364312 | PA      | $280798.21    | 0.01%             | 2061-10-27      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RP11                        | CSMC_21-RP11                                                            | CUSIP: 12659AAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8659999 | PA      | $6985046.57   | 0.24%             | 2061-10-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    775000 | PA      | $742853.36    | 0.03%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1030391.09   | 0.04%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    670000 | PA      | $614693.41    | 0.02%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   5075000 | PA      | $4383605.09   | 0.15%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    374000 | PA      | $376480.11    | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650DZ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    415000 | PA      | $396639.00    | 0.01%             | 2053-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    140000 | PA      | $144130.95    | 0.01%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                                                         | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1917175.07   | 0.07%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST CWALT_05-76                   | CWALT_05-76                                                             | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1887238 | PA      | $1762488.84   | 0.06%             | 2036-01-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                                     | CALPINE CORP TLB10 1.75                                                 | CUSIP: 13134MBW2<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |    883867 | PA      | $883363.26    | 0.03%             | 2031-01-31      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175BN3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   2918000 | PA      | $2655212.08   | 0.09%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175BS2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1108817.10   | 0.04%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $933018.59    | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2201430.67   | 0.08%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1676328.50   | 0.06%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                      | CITIBANK NA                                                             | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $3026667.74   | 0.11%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1874371.76   | 0.07%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR                                 | CMALT_06-A5                                                             | CUSIP: 18974BAM1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    809118 | PA      | $699248.57    | 0.02%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND                                           | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        | 444383010 | NS      | $444294133.45 | 15.46%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMONSPIRIT HEALTH                                              | COMMONSPIRIT HEALTH                                                     | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4959636.18   | 0.17%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R03                   | CAS_22-R03                                                              | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5194550.00   | 0.18%             | 2042-03-25      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01        | CAS_22-R01                                                              | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4386054 | PA      | $4428832.06   | 0.15%             | 2041-12-25      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LLC FIDIUM FIBER FINANCE HOLDCO LLC  | CNSL_25-1A                                                              | CUSIP: 209031AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2590000 | PA      | $2668200.91   | 0.09%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)                                                   | CUSIP: 21H022671<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  42125000 | PA      | $35782633.88  | 1.24%             | 2055-07-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)                                                   | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  30950000 | PA      | $28771747.98  | 1.00%             | 2055-07-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)                                                   | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14975000 | PA      | $14331943.25  | 0.50%             | 2055-07-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)                                                   | CUSIP: 21H050672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  38575000 | PA      | $37886329.01  | 1.32%             | 2055-07-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)                                                   | CUSIP: 21H052678<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22450000 | PA      | $22479460.91  | 0.78%             | 2055-07-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COTIVITI HOLDINGS INC                                            | COTIVITI HOLDINGS INC TL 2.75                                           | CUSIP: 22164MAF4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    198282 | PA      | $197125.55    | 0.01%             | 2032-03-26      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| CSFB_04-AR5                                                      | CSFB_04-AR5                                                             | CUSIP: 22541SHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     24738 | PA      | $24660.39     | 0.00%             | 2034-06-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST CROSS_24-H7                                 | CROSS_24-H7                                                             | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7562409 | PA      | $7574768.38   | 0.26%             | 2069-11-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                 | CROWN CASTLE INTERNATIONAL CORP                                         | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1194000 | PA      | $1041815.15   | 0.04%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL_06-14                  | CWL_06-14                                                               | CUSIP: 23243LAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1553425 | PA      | $1506346.49   | 0.05%             | 2037-02-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTER ISSUER LLC CYRUS_25-1                       | CYRUS_25-1A                                                             | CUSIP: 23284BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4380000 | PA      | $4470180.42   | 0.16%             | 2050-02-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| DTI HOLDCO INC                                                   | DTI HOLDCO INC TLB 4.0                                                  | CUSIP: 23358EAK5<br>LEI: 549300QQVMUL3P8XVJ27 | Long             | LON              | CORP              | US        |    234538 | PA      | $231397.50    | 0.01%             | 2029-04-26      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| DAILYPAY SECURITIZATION TRUST DLPY_25-1                          | DLPY_25-1A                                                              | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2840000 | PA      | $2860107.77   | 0.10%             | 2028-06-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    469883 | PA      | $444997.96    | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    215700 | PA      | $198016.58    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7657 | PA      | $7019.11      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR - JUMBO-C                                      | CUSIP: 31418DHY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1384484 | PA      | $1180974.03   | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR UMBS                                                          | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2521239 | PA      | $2202933.24   | 0.08%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3254645 | PA      | $2596900.08   | 0.09%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR UMBS                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8590346 | PA      | $7414491.17   | 0.26%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9075606 | PA      | $7220235.52   | 0.25%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14704646 | PA      | $12230960.50  | 0.43%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  61292323 | PA      | $50952456.28  | 1.77%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3212390 | PA      | $2784829.11   | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11285908 | PA      | $10814952.14  | 0.38%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7487759 | PA      | $6488871.49   | 0.23%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1773361 | PA      | $1599288.25   | 0.06%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418ELU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2325251 | PA      | $2095043.74   | 0.07%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5456428 | PA      | $5365089.96   | 0.19%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25616775 | PA      | $24516016.86  | 0.85%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418ES35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6387475 | PA      | $6120720.79   | 0.21%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6509212 | PA      | $6395575.01   | 0.22%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP                                                    | FERRELLGAS LP/FERRELLGAS FIN                                            | CUSIP: 315289AC2<br>LEI: 549300EW667UKOZLEW85 | Long             | DBT              | CORP              | US        |   2429000 | PA      | $2248602.50   | 0.08%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHAMS_05-AA10                                                    | FHAMS_05-AA10                                                           | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    683734 | PA      | $518431.26    | 0.02%             | 2035-12-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| FHAMS_05-AA7                                                     | FHAMS_05-AA7                                                            | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    481764 | PA      | $428295.29    | 0.01%             | 2035-09-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| FHAMS_05-AA8                                                     | FHAMS_05-AA8                                                            | CUSIP: 32051GWF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1296295 | PA      | $726257.37    | 0.03%             | 2035-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES FHAMS_06-FA8       | FHAMS_06-FA8                                                            | CUSIP: 32052DAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    745266 | PA      | $270524.25    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION LLC                                     | FIRSTENERGY TRANSMISSION LLC                                            | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $848181.93    | 0.03%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FLEXENTIAL ISSUER LLC FLX_21-1                                   | FLX_21-1A                                                               | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3550000 | PA      | $3416525.33   | 0.12%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                         | FLORIDA POWER & LIGHT COMPANY                                           | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1180030.01   | 0.04%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                         | FLORIDA POWER & LIGHT CO                                                | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1119917.16   | 0.04%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FORTREA HOLDINGS INC                                             | FORTREA HOLDINGS INC                                                    | CUSIP: 34965KAA5<br>LEI: 5493000FIVFABOVCDU97 | Long             | DBT              | CORP              | US        |    325000 | PA      | $294432.19    | 0.01%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                            | FOUNDRY JV HOLDCO LLC                                                   | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    570000 | PA      | $584492.07    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MEDICAL CARE US FINANCE III INC                        | FRESENIUS MEDICAL CARE US FIN III                                       | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |   3755000 | PA      | $3608195.36   | 0.13%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-55              | GNMA_12-55                                                              | CUSIP: 38378BRQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    272871 | PA      | $2.73         | 0.00%             | 2052-04-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2               | GNMA_21-2                                                               | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4263561 | PA      | $3102176.35   | 0.11%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-21              | GNMA_21-21                                                              | CUSIP: 38380RTP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2899240 | PA      | $2235144.58   | 0.08%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-31              | GNMA_21-31                                                              | CUSIP: 38380RVK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3153206 | PA      | $2285549.79   | 0.08%             | 2061-01-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-36              | GNMA_21-36                                                              | CUSIP: 38380RXJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19115323 | PA      | $1582895.90   | 0.06%             | 2063-03-16      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-201             | GNMA_22-201                                                             | CUSIP: 38383LPG9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2730621 | PA      | $2735303.50   | 0.10%             | 2052-11-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30              | GNMA_24-30                                                              | CUSIP: 38384JMH4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1311581 | PA      | $1313335.08   | 0.05%             | 2054-02-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | GNMA_24-97                                                              | CUSIP: 38384PYX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2228835 | PA      | $2223142.78   | 0.08%             | 2054-06-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                                          | GC EDUCATION INC                                                        | CUSIP: 38528UAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    455000 | PA      | $441287.15    | 0.02%             | 2028-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GREAT CANADIAN GAMING CORP                                       | GREAT CANADIAN GAMING CORP                                              | CUSIP: 389925AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    145000 | PA      | $142150.73    | 0.00%             | 2029-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GRIFOLS WORLDWIDE OPERATIONS USA INC                             | GRIFOLS USA INC TLB 2.0                                                 | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    534824 | PA      | $532893.14    | 0.02%             | 2027-11-15      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                     | INTERNET BRANDS TLB3 4.25                                               | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    129436 | PA      | $121453.48    | 0.00%             | 2028-05-03      | Variable      | 8.58%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                                                 | CUSIP: 455780DR4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    500000 | PA      | $501225.57    | 0.02%             | 2033-01-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| INDONESIA (REPUBLIC OF)                                          | INDONESIA (REPUBLIC OF)                                                 | CUSIP: 455780DX1<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    701000 | PA      | $687940.29    | 0.02%             | 2034-09-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST INDX_06-AR27                    | INDX_06-AR27                                                            | CUSIP: 45661LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3066444 | PA      | $1191066.37   | 0.04%             | 2036-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | INTEL CORP                                                              | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    855000 | PA      | $602079.26    | 0.02%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | INTEL CORP                                                              | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   2165000 | PA      | $1369937.63   | 0.05%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | INTEL CORP                                                              | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1558000 | PA      | $925660.55    | 0.03%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | INTEL CORPORATION                                                       | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    600000 | PA      | $557853.83    | 0.02%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                       | INTEL CORPORATION                                                       | CUSIP: 458140CM0<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1112000 | PA      | $1018866.74   | 0.04%             | 2054-02-21      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                           | INTERNATIONAL FLAVORS & FRAGRANCES                                      | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    460000 | PA      | $433247.43    | 0.02%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                           | INTERNATIONAL FLAVORS & FRAGRANCES                                      | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   3915000 | PA      | $3462536.11   | 0.12%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                           | INTERNATIONAL FLAVORS & FRAGRANCES                                      | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    370000 | PA      | $271407.70    | 0.01%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER AND LIGHT CO                                    | INTERSTATE POWER AND LIGHT CO                                           | CUSIP: 461070AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2853089.31   | 0.10%             | 2033-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                        | INVITATION HOMES OPR PRT TLA 0.95                                       | CUSIP: 46187CAJ0<br>LEI: 549300147YMUQB3GW319 | Long             | LON              | CORP              | US        |   2810347 | PA      | $2754140.46   | 0.10%             | 2028-09-09      | Variable      | 5.26%                 | No            |                  3 | On Loan: No      |
| IQVIA INC                                                        | IQVIA INC                                                               | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   5800000 | PA      | $6060788.41   | 0.21%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ISRAEL (STATE OF)                                                | ISRAEL (STATE OF)                                                       | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   2000000 | PA      | $2043302.65   | 0.07%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX SARL                                         | JBS USA LUX SA/JBS FOOD CO/JBS USA                                      | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2076000 | PA      | $2151937.74   | 0.07%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HENDR_14-2A                                                      | HENDR_14-2A                                                             | CUSIP: 46618AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1615167 | PA      | $1447769.86   | 0.05%             | 2073-01-17      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION CORP JPMAC_06-FRE1                | JPMAC_06-FRE1                                                           | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1470982 | PA      | $1457872.04   | 0.05%             | 2035-05-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2162648.14   | 0.08%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4495000 | PA      | $4391165.11   | 0.15%             | 2027-04-22      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                                                     | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8615000 | PA      | $7740597.87   | 0.27%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| NRTH PARK MORTGAGE TRUST NRTH_24-PARK                            | NRTH_24-PARK                                                            | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6062000 | PA      | $6065778.44   | 0.21%             | 2041-03-15      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| PANAMA REPUBLIC OF (GOVERNMENT)                                  | PANAMA (REPUBLIC OF)                                                    | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    200000 | PA      | $194738.39    | 0.01%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PAPA JOHNS INTL INC                                              | PAPA JOHNS INTERNATIONAL INC                                            | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63111.55     | 0.00%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FUGUE FINANCE BV                                                 | FUGUE FINANCE LLC TLB 3.25                                              | CUSIP: 000000000<br>LEI: 254900LPOM3DXTS8SI47 | Long             | LON              | CORP              | NL        |    262319 | PA      | $263630.91    | 0.01%             | 2032-01-09      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOLDING CORP                                         | RENAISSANCE HOLDING CORP TLB 4.00                                       | CUSIP: 000000000<br>LEI: 549300UKKEC0Y6TXNF09 | Long             | LON              | CORP              | US        |    610126 | PA      | $552926.35    | 0.02%             | 2030-04-05      | Variable      | 8.28%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                     | MH SUB I LLC TLB 4.25                                                   | CUSIP: 000000000<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    498714 | PA      | $434294.70    | 0.02%             | 2031-12-31      | Variable      | 8.58%                 | No            |                  2 | On Loan: No      |
| AMSPEC PARENT LLC                                                | AMSPEC PARENT LLC DDTL 4.25                                             | CUSIP: 000000000<br>LEI: 254900LUGRP5Z7OOV477 | Long             | LON              | CORP              | US        |     17912 | PA      | $17956.72     | 0.00%             | 2031-12-22      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                           | DIGITAL DUTCH FINCO BV                                                  | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $347333.13    | 0.01%             | 2035-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                             | HEATHROW FUNDING LTD                                                    | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    690000 | PA      | $801277.81    | 0.03%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                    | MODIVCARE INC TL 7.5                                                    | CUSIP: 000000000<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |    475086 | PA      | $359164.80    | 0.01%             | 2026-01-10      | Variable      | 11.71%                | No            |                  2 | On Loan: No      |
| GENESYS CLOUD SERVICES HOLDINGS II LLC                           | GENESYS CLOUD SER HOLD I TLB 2.50                                       | CUSIP: 000000000<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | LON              | CORP              | US        |    253011 | PA      | $252823.59    | 0.01%             | 2032-01-30      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| GREAT OUTDOORS GROUP LLC                                         | GREAT OUTDOORS GROUP LLC TLB3 3.25                                      | CUSIP: 000000000<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |    318500 | PA      | $317604.67    | 0.01%             | 2032-01-23      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT UTILITIES FINANCE PLC                               | SEVERN TRENT UTILITIES FINANCE PLC                                      | CUSIP: 000000000<br>LEI: 213800KY9PT6WBH33232 | Long             | DBT              | CORP              | GB        |   1610000 | PA      | $1908911.71   | 0.07%             | 2035-08-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TWITTER INC                                                      | TWITTER INC                                                             | CUSIP: 000000000<br>LEI: 549300I8RX485XMK6836 | Long             | LON              | CORP              | US        |    182646 | PA      | $177420.08    | 0.01%             | 2029-10-26      | Variable      | 9.50%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                | JOHNSON & JOHNSON                                                       | CUSIP: 000000000<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   2430000 | PA      | $2870257.97   | 0.10%             | 2033-02-26      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN MEDICAL SYSTEMS EUROPE BV                               | AMERICAN MEDICAL SYSTEMS EUROPE BV                                      | CUSIP: 000000000<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |   3050000 | PA      | $3585267.11   | 0.12%             | 2031-03-08      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                               | OREGON TOOL LUX LP TL 0                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     28463 | PA      | $28712.31     | 0.00%             | 2029-10-15      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| SOUTH FIELD ENERGY LLC                                           | SOUTH FIELD ENERGY LLC TLC 3.25                                         | CUSIP: 000000000<br>LEI: 549300M3RBW5ZIH20760 | Long             | LON              | CORP              | US        |     11950 | PA      | $11994.78     | 0.00%             | 2031-08-29      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                        | IQVIA INC TLB 1.75                                                      | CUSIP: 000000000<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |    534524 | PA      | $536362.88    | 0.02%             | 2031-01-02      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| INTELSAT LUXEMBOURG SA                                           | INTELSAT SA/LUXEMBOURG                                                  | CUSIP: 000000000<br>LEI: 54930027UF5LR7S2XC75 | Long             | EC               | CORP              | LU        |    114829 | NS      | $3559699.00   | 0.12%             |  |  |  | No            |                  3 | On Loan: No      |
| POTOMAC ENERGY CENTER LLC                                        | POTOMAC ENERGY CENTER LLC TLB 3.0                                       | CUSIP: 000000000<br>LEI: 549300BHYFK6M9HVNA29 | Long             | LON              | CORP              | US        |    184254 | PA      | $183793.20    | 0.01%             | 2032-03-14      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| CELSIUS HOLDINGS INC                                             | CELSIUS HOLDINGS INC TLB 3.25                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    372213 | PA      | $373980.93    | 0.01%             | 2032-04-01      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| OPAL US LLC                                                      | OPAL US LLC TLB 3.25                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    587481 | PA      | $589501.72    | 0.02%             | 2032-04-28      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| EAGLEVIEW TECHNOLOGY CORP                                        | EAGLEVIEW TECHNOLOGY CORP TL 6.5                                        | CUSIP: 000000000<br>LEI: 549300HLIL8HO4PPLG50 | Long             | LON              | CORP              | US        |   1157361 | PA      | $1124086.98   | 0.04%             | 2028-08-14      | Variable      | 9.80%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                  | NAKED JUICE LLC TL 5.5                                                  | CUSIP: 000000000<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |   1733738 | PA      | $1715533.95   | 0.06%             | 2029-01-24      | Variable      | 9.80%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLIMITED CO                                      | FISERV FUNDING UNLIMITED CO                                             | CUSIP: 000000000<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |   1215000 | PA      | $1426586.03   | 0.05%             | 2036-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                     | ALPHABET INC                                                            | CUSIP: 000000000<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    270000 | PA      | $314842.91    | 0.01%             | 2045-05-06      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CASTLE US HOLDING CORP                                           | CASTLE US HOLDING CORP TL 5.0                                           | CUSIP: 000000000<br>LEI: 254900VXLMLPIE9ID612 | Long             | LON              | CORP              | US        |     26808 | PA      | $26808.30     | 0.00%             | 2030-04-29      | Variable      | 9.33%                 | No            |                  2 | On Loan: No      |
| CASTLE US HOLDING CORP                                           | CASTLE US HOLDING CORP TLB 4.25                                         | CUSIP: 000000000<br>LEI: 254900VXLMLPIE9ID612 | Long             | LON              | CORP              | US        |    196320 | PA      | $106258.04    | 0.00%             | 2030-05-31      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                               | VOYAGER PARENT LLC TLB 4.25                                             | CUSIP: 000000000<br>LEI: 2549002DYVI4ACSV4V71 | Long             | LON              | CORP              | US        |    554856 | PA      | $548536.63    | 0.02%             | 2032-05-09      | Variable      | 9.04%                 | No            |                  2 | On Loan: No      |
| PFIZER NETHERLANDS INTERNATIONAL FINANCE BV                      | PFIZER NETHERLANDS INTERNATIONAL F                                      | CUSIP: 000000000<br>LEI: 254900YI79T8NMNA4349 | Long             | DBT              | CORP              | NL        |    930000 | PA      | $1106001.07   | 0.04%             | 2032-05-19      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ARCHIMEDES DEBT MERGER SUB LLC                                   | ARCHIMEDES DEBT MER SUB LLC TL 4.0                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    271101 | PA      | $263531.97    | 0.01%             | 2032-05-27      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| FLUTTER ENTERTAINMENT PLC                                        | FLUTTER FINANCING BV TLB 2.0                                            | CUSIP: 000000000<br>LEI: 635400EG4YIJLJMZJ782 | Long             | LON              | CORP              | IE        |    422898 | PA      | $422369.87    | 0.01%             | 2032-06-04      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| CLEANOVA US HOLDINGS LLC                                         | CLEANOVA US HOLDINGS LLC TL 4.75                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    182974 | PA      | $178399.86    | 0.01%             | 2032-05-22      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| FIRST EAGLE INVESTMENT MANAGEMENT LLC                            | FIRST EAGLE TLB 3.5                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    177798 | PA      | $174464.44    | 0.01%             | 2032-06-06      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| NC QAZAQGAZ JSC                                                  | KAZTRANSGAS JSC                                                         | CUSIP: 000000000<br>LEI: 635400YGLXBBSVHONW39 | Long             | DBT              | NUSS              | KZ        |    400000 | PA      | $392202.25    | 0.01%             | 2027-09-26      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GC FERRY ACQUISITION I INC                                       | GC FERRY ACQU I INC DDTL 3.25                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     30356 | PA      | $29748.66     | 0.00%             | 2032-06-06      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | EURO BUXL 30YR BOND SEP 25                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | DE        |       -25 | NC      | $28690.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US LONG BOND SEP 25                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |        20 | NC      | $38125.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US ULTRA 10YR NOTE SEP 25                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |        38 | NC      | $125262.06    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US ULTRA T-BOND SEP 25                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       144 | NC      | $536379.27    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PELICAN PRODUCTS INC                                             | PELICAN PRODUCTS INC TL 4.25                                            | CUSIP: 70468BAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    175000 | PA      | $152468.75    | 0.01%             | 2028-12-29      | Variable      | 8.81%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                             | PENNSYLVANIA ELECTRIC COMPANY                                           | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6950000 | PA      | $6741194.12   | 0.23%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_07-7                                 | SLMA_07-7                                                               | CUSIP: 78444EAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1574837 | PA      | $1544997.82   | 0.05%             | 2025-12-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_07-7                                 | SLMA_07-7                                                               | CUSIP: 78444EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1990000 | PA      | $1991654.88   | 0.07%             | 2070-10-27      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_08-5                                 | SLMA_08-5                                                               | CUSIP: 78444YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5860000 | PA      | $5942885.01   | 0.21%             | 2073-07-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| SLMA_08-4                                                        | SLMA_08-4                                                               | CUSIP: 78445AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452398 | PA      | $453406.48    | 0.02%             | 2026-07-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST SLMA_08-6                                 | SLMA_08-6                                                               | CUSIP: 78445CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1274998 | PA      | $1268630.92   | 0.04%             | 2025-07-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| STORAGEMART COMMERCIAL MORTGAGE TRUST SMRT_22-MINI               | SMRT_22-MINI                                                            | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5607000 | PA      | $5455859.39   | 0.19%             | 2039-01-15      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    465000 | PA      | $462838.52    | 0.02%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    325000 | PA      | $315654.94    | 0.01%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                  | SANTANDER UK GROUP HOLDINGS PLC                                         | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1035000 | PA      | $1003327.97   | 0.03%             | 2028-01-11      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| ARTERA SERVICES LLC                                              | ARTERA SERVICES TLB 4.5                                                 | CUSIP: 000000000<br>LEI: 549300J2G34D0WX8Z443 | Long             | LON              | CORP              | US        |    339642 | PA      | $283213.47    | 0.01%             | 2031-02-15      | Variable      | 8.80%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                               | UNITED UTILITIES WATER FINANCE PLC                                      | CUSIP: 000000000<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |   1325000 | PA      | $1560442.80   | 0.05%             | 2034-05-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STUBHUB HOLDCO SUB LLC                                           | STUBHUB HOLDCO SUB LLC TLB 4.75                                         | CUSIP: 000000000<br>LEI: 549300NL9JUFIOARLW93 | Long             | LON              | CORP              | US        |    172530 | PA      | $167065.62    | 0.01%             | 2030-03-15      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                    | TRANSDIGM INC TLI 2.75                                                  | CUSIP: 000000000<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    398559 | PA      | $399838.55    | 0.01%             | 2028-08-24      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| 1011778 BC UNLIMITED LIABILITY CO (PRE-MERGER)                   | 1011778 BC UNLIMITED L CO TLB 1.75                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |    354009 | PA      | $352090.63    | 0.01%             | 2030-09-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                    | MODIVCARE INC TLB 4.75                                                  | CUSIP: 000000000<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |   1334403 | PA      | $969670.81    | 0.03%             | 2031-07-01      | Variable      | 9.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC                                       | AERCAP IRELAND CAP/AERCAP GLOBAL                                        | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   6350000 | PA      | $6050581.50   | 0.21%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAZZ FINANCING LUX SARL                                          | JAZZ PHARMACEUTICALS TLB2 2.25                                          | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |    335797 | PA      | $337086.81    | 0.01%             | 2028-05-05      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| TRIPADVISOR INC (PRE-REINCORPORATION)                            | TRIPADVISOR INC TLB 2.75                                                | CUSIP: 000000000<br>LEI: 549300XVG45PT5BART17 | Long             | LON              | CORP              | US        |    281209 | PA      | $280154.33    | 0.01%             | 2031-07-08      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                            | AIR LEASE CORPORATION                                                   | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4499799.26   | 0.16%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER COMPANY                                            | ALABAMA POWER COMPANY                                                   | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2948458.17   | 0.10%             | 2035-04-02      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RESEARCH NOW GROUP LLC                                           | RESEARCH NOW GROUP TLB                                                  | CUSIP: 000000000<br>LEI: 549300XTHJNIVC5Q8K50 | Long             | LON              | CORP              | US        |    107838 | PA      | $107097.34    | 0.00%             | 2028-07-15      | Variable      | 9.59%                 | No            |                  2 | On Loan: No      |
| SHOWTIME ACQUISITION LLC                                         | SHOWTIME ACQUISITION TLB 4.75                                           | CUSIP: 000000000<br>LEI: 54930002EOYTEFEJFW69 | Long             | LON              | CORP              | US        |    513327 | PA      | $517176.76    | 0.02%             | 2031-08-16      | Variable      | 9.07%                 | No            |                  3 | On Loan: No      |
| DAVE & BUSTERS INC                                               | DAVE & BUSTERS INC TLB 3.25                                             | CUSIP: 000000000<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | LON              | CORP              | US        |    388225 | PA      | $369640.43    | 0.01%             | 2031-11-01      | Variable      | 7.56%                 | No            |                  2 | On Loan: No      |
| EFS COGEN HOLDINGS I LLC                                         | EFS COGEN HOLDINGS LLC TLB 3.5                                          | CUSIP: 000000000<br>LEI: 549300KDKPYR8NXXKI52 | Long             | LON              | CORP              | US        |    306188 | PA      | $307146.59    | 0.01%             | 2031-10-03      | Variable      | 8.17%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                   | AVOLON TLB BORROWER 1 (US)TLB 1.75                                      | CUSIP: 000000000<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |   1587020 | PA      | $1587702.31   | 0.06%             | 2030-06-22      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| CORNERSTONE GENERATION LLC                                       | CORNERSTONE GENERATION TLB 3.25                                         | CUSIP: 000000000<br>LEI: 254900JBGAU2N55LVN75 | Long             | LON              | CORP              | US        |    158895 | PA      | $159622.85    | 0.01%             | 2031-10-28      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| SOUTH FIELD ENERGY LLC                                           | SOUTH FIELD ENERGY LLC TLB 3.25                                         | CUSIP: 000000000<br>LEI: 549300M3RBW5ZIH20760 | Long             | LON              | CORP              | US        |    186938 | PA      | $187639.21    | 0.01%             | 2031-08-29      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS INC                                                   | DK CROWN HLDS INC TLB 1.75                                              | CUSIP: 000000000<br>LEI: 2549006G33IUL6IVOD83 | Long             | LON              | CORP              | US        |    340487 | PA      | $339210.37    | 0.01%             | 2032-03-04      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| BCPE EMPIRE HOLDINGS INC                                         | BCPE EMPIRE HOLDINGS INC TLB 3.25                                       | CUSIP: 000000000<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |    461490 | PA      | $458375.11    | 0.02%             | 2030-12-11      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                               | OREGON TOOL LUX LP TLB 4.0                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    425803 | PA      | $343656.94    | 0.01%             | 2029-10-15      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS ISSUER LLC ADC_21-1A                        | ADC_21-1A                                                               | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600000 | PA      | $7345650.80   | 0.26%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD ALLEG_19-1A                                      | ALLEG_19-1A                                                             | CUSIP: 01750FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5598466 | PA      | $5594115.78   | 0.19%             | 2032-04-20      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12725000 | PA      | $10070407.21  | 0.35%             | 2021-07-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12175000 | PA      | $10092717.42  | 0.35%             | 2055-07-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16625000 | PA      | $14382961.48  | 0.50%             | 2055-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  62650000 | PA      | $56397867.06  | 1.96%             | 2055-07-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  37775000 | PA      | $35120430.63  | 1.22%             | 2055-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  30675000 | PA      | $29338228.90  | 1.02%             | 2055-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10675000 | PA      | $10460434.21  | 0.36%             | 2055-07-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS 30YR TBA(REG A)                                                    | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25000 | PA      | $24994.28     | 0.00%             | 2055-07-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC                                             | ALPHA GENERATION LLC TLB 2.75                                           | CUSIP: 02072UAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    620623 | PA      | $619332.55    | 0.02%             | 2031-09-30      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRU                                 | CWALT_06-HY12                                                           | CUSIP: 02146PAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2347208 | PA      | $2198568.65   | 0.08%             | 2036-08-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-R3                                              | CIM_21-R3                                                               | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6836828 | PA      | $6260152.05   | 0.22%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD CIFC_21-7A                                      | CIFC_21-7A                                                              | CUSIP: 12567HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8675000 | PA      | $8681211.30   | 0.30%             | 2035-01-23      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_22-I1                                              | CIM_22-I1                                                               | CUSIP: 12568TAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4937517 | PA      | $4923404.73   | 0.17%             | 2067-02-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_23-R1                                              | CIM_23-R1                                                               | CUSIP: 12569RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11853176 | PA      | $11603338.30  | 0.40%             | 2062-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_25-R1                                              | CIM_25-R1                                                               | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8655712 | PA      | $8550910.05   | 0.30%             | 2099-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-R5                                              | CIM_21-R5                                                               | CUSIP: 12592SAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6737052 | PA      | $5834618.41   | 0.20%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   3032000 | PA      | $2463979.61   | 0.09%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                 | CSC HOLDINGS LLC                                                        | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $742495.96    | 0.03%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/OPT CAP                                                | CUSIP: 161175CA0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     27000 | PA      | $18503.14     | 0.00%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMMUNICATIONS INC                                              | CUSIP: 161175CR3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   1271000 | PA      | $1355367.33   | 0.05%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST CHASE_25-2                     | CHASE_25-2                                                              | CUSIP: 16159VAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11100888 | PA      | $11137053.49  | 0.39%             | 2055-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                                                           | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    175000 | PA      | $171371.61    | 0.01%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER LLC COLO_21-1A                                   | COLO_21-1A                                                              | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4157300.70   | 0.14%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES 2020-1 CLASS AA PASS THROUGH TRUST                | DELTA AIR LINES 2020-AA                                                 | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6309273 | PA      | $5973473.36   | 0.21%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QNDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14884751 | PA      | $11936094.96  | 0.42%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QNUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17400020 | PA      | $13903283.59  | 0.48%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 3140QQK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6225510 | PA      | $5797325.43   | 0.20%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140W0WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3825469 | PA      | $3663051.86   | 0.13%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18379159 | PA      | $15414937.03  | 0.54%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22650065 | PA      | $17974422.27  | 0.63%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140XNWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9529077 | PA      | $8878883.94   | 0.31%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18052098 | PA      | $17730396.54  | 0.62%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER                                                    | CUSIP: 3140XQN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16139657 | PA      | $12789400.72  | 0.44%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31415M6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32252 | PA      | $32771.20     | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31416CM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     58820 | PA      | $61663.35     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31416TNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    108448 | PA      | $113267.53    | 0.00%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR OR LESS L                                      | CUSIP: 31417EEF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    158432 | PA      | $142894.18    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31417FZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    761680 | PA      | $714452.31    | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31417KSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55163 | PA      | $55848.56     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR                                                               | CUSIP: 31418AWD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    535575 | PA      | $522721.00    | 0.02%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA CONV LONG TERM 30YR OR LESS L                                      | CUSIP: 31418AWH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    305443 | PA      | $292108.40    | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR                                                               | CUSIP: 31418AYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    273878 | PA      | $263137.25    | 0.01%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 20YR                                                               | CUSIP: 31418BFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    388060 | PA      | $377780.23    | 0.01%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2321417 | PA      | $2198837.97   | 0.08%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2232324 | PA      | $2122305.73   | 0.07%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7777571 | PA      | $7787864.52   | 0.27%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                                                          | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20127393 | PA      | $20155587.98  | 0.70%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                                                               | CUSIP: 31419AVH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    629438 | PA      | $659861.99    | 0.02%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP                                                    | FERRELLGAS ESCROW LLC                                                   | CUSIP: 315289AA6<br>LEI: 549300EW667UKOZLEW85 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1872840.12   | 0.07%             | 2026-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2580000 | PA      | $2583678.21   | 0.09%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                                                                 | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    766000 | PA      | $724269.33    | 0.03%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HDI AEROSPACE INTERMEDIATE HOLDING                               | HDI AEROSPACE INTERMEDIATE HOLDING                                      | CUSIP: 40415WAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    340000 | PA      | $340000.00    | 0.01%             | 2032-02-11      | Variable      | 8.81%                 | No            |                  2 | On Loan: No      |
| HVMLT_06-10                                                      | HVMLT_06-10                                                             | CUSIP: 41162CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7659166 | PA      | $5846761.87   | 0.20%             | 2036-11-19      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE TRUST OF AMERICA HLDGS                                       | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   2367000 | PA      | $2336739.54   | 0.08%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                    | HEALTHCARE REALTY HOLDINGS LP                                           | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   2898000 | PA      | $2827327.61   | 0.10%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HEARTLAND DENTAL LLC                                             | HEARTLAND DENTAL LLC TLB 4.5                                            | CUSIP: 42236WAW7<br>LEI: 5493008FRC0GRKBN1075 | Long             | LON              | CORP              | US        |    225256 | PA      | $225285.34    | 0.01%             | 2028-04-28      | Variable      | 8.83%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                | HEALTHPEAK OP LLC DD .85                                                | CUSIP: 42250UAD4<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              | CORP              | US        |    980642 | PA      | $963480.30    | 0.03%             | 2027-02-22      | Variable      | 5.27%                 | No            |                  3 | On Loan: No      |
| HEALTHPEAK OP LLC                                                | HEALTHPEAK OP LLC DD .85                                                | CUSIP: 42250UAE2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              | CORP              | US        |    980642 | PA      | $963480.30    | 0.03%             | 2027-08-20      | Variable      | 5.27%                 | No            |                  3 | On Loan: No      |
| HEALTHPEAK OP LLC                                                | HEALTHPEAK OP LLC DD .85                                                | CUSIP: 42250UAF9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              | CORP              | US        |   1979146 | PA      | $1919771.75   | 0.07%             | 2029-03-01      | Variable      | 5.27%                 | No            |                  3 | On Loan: No      |
| HELIOS SOFTWARE HOLDINGS INC                                     | HELIOS SOFTWARE HOLDINGS/ION CORP                                       | CUSIP: 42329HAB4<br>LEI: 2138002XO5EAYFHPPT53 | Long             | DBT              | CORP              | US        |    464000 | PA      | $477148.10    | 0.02%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                            | HILTON WORLDWIDE FIN TLB4 2.0                                           | CUSIP: 43289DAK9<br>LEI: 5493003EG7H0N1E4XV50 | Long             | LON              | CORP              | US        |   1703854 | PA      | $1708914.62   | 0.06%             | 2030-11-08      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                                            | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   2457000 | PA      | $2356181.27   | 0.08%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                                            | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2693.01      | 0.00%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                                            | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    944000 | PA      | $772957.57    | 0.03%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                     | HUDSON PACIFIC PROPERTIES LP                                            | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53636.67     | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS HY_19-30HY                                          | HY_19-30HY                                                              | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2770000 | PA      | $2602758.76   | 0.09%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                       | HUMANA INC                                                              | CUSIP: 444859BN1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1343401.09   | 0.05%             | 2030-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                       | HUMANA INC                                                              | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   3055000 | PA      | $3070421.35   | 0.11%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HUNGARY (GOVERNMENT)                                             | HUNGARY (REPUBLIC OF)                                                   | CUSIP: 445545AM8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    881000 | PA      | $731521.11    | 0.03%             | 2031-09-22      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP                                             | ICAHN ENTERPRISES LP                                                    | CUSIP: 451102CF2<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1015950.27   | 0.04%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES LP                                             | ICAHN ENTERPRISES LP / ICAHN ENTER                                      | CUSIP: 451102CJ4<br>LEI: 549300T0G4GS0SINS786 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1318527.04   | 0.05%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                      | IMPERIAL BRANDS FINANCE PLC                                             | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    950000 | PA      | $938410.37    | 0.03%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                     | CUSIP: 71654QCC4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    296000 | PA      | $214129.54    | 0.01%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                              | PETROLEOS MEXICANOS                                                     | CUSIP: 71654QCL4<br>LEI: N/A                  | Long             | DBT              | NUSS              | MX        |    458000 | PA      | $318827.10    | 0.01%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PHILIPPINES (REPUBLIC OF)                                        | PHILIPPINES (REPUBLIC OF)                                               | CUSIP: 718286CJ4<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    770000 | PA      | $703575.50    | 0.02%             | 2030-05-05      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                       | PHYSICIANS REALTY LP                                                    | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1298415.76   | 0.05%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS COMPANY INC                                 | PIEDMONT NATURAL GAS COMPANY INC                                        | CUSIP: 720186AR6<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1386660.06   | 0.05%             | 2035-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                                                     | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   2634000 | PA      | $2372443.07   | 0.08%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PILGRIMS PRIDE CORP                                              | PILGRIMS PRIDE CORP                                                     | CUSIP: 72147KAL2<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   3850000 | PA      | $4226053.60   | 0.15%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| KFC HOLDING CO                                                   | YUM! BRANDS INC TLB 1.75                                                | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |    391980 | PA      | $393571.26    | 0.01%             | 2028-03-15      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST PMTLT_25-INV4                                     | PMTLT_25-INV4                                                           | CUSIP: 73015DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1919674 | PA      | $1910000.17   | 0.07%             | 2056-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS PRET_25-NPL6                    | PRET_25-NPL6                                                            | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4300000 | PA      | $4300292.83   | 0.15%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY INC                                              | PROGRESS ENERGY INC                                                     | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |   2894000 | PA      | $3268769.10   | 0.11%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_25-RPL4                                            | PRPM_25-RPL4                                                            | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7428070 | PA      | $6939566.97   | 0.24%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF OKLAHOMA                               | PUBLIC SERVICE COMPANY OF OKLAHOMA                                      | CUSIP: 744533BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3670000 | PA      | $3696820.09   | 0.13%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST RCKT_25-CES6-A1B                             | RCKT_25-CES6                                                            | CUSIP: 748949AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7440000 | PA      | $7477124.11   | 0.26%             | 2055-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST RCKT_24-CES8                                 | RCKT_24-CES8                                                            | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8842268 | PA      | $8859608.23   | 0.31%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST RCKT_24-CES9                                 | RCKT_24-CES9                                                            | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7436356 | PA      | $7468033.09   | 0.26%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| RED VENTURES LLC                                                 | RED VENTURES LLC TLB5 2.75                                              | CUSIP: 75703UAL9<br>LEI: 549300YLXP1WUPT0Q494 | Long             | LON              | CORP              | US        |    344848 | PA      | $291772.58    | 0.01%             | 2030-03-04      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| REGATTA XXXII FUNDING LTD REG32_25-4A                            | REG32_25-4A                                                             | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7000000 | PA      | $7023310.00   | 0.24%             | 2038-07-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC RALI_05-QA8                       | RALI_05-QA8                                                             | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    757925 | PA      | $389162.50    | 0.01%             | 2035-07-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| REXFORD INDUSTRIAL REALTY LP                                     | REXFORD INDUSTRIAL REALTY LP                                            | CUSIP: 76169XAB0<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |    415000 | PA      | $355681.90    | 0.01%             | 2031-09-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ROMANIA (REPUBLIC OF)                                            | ROMANIA (REPUBLIC OF)                                                   | CUSIP: 77586RAQ3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $206280.34    | 0.01%             | 2028-02-17      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| RYAN LLC                                                         | RYAN LLC TLB 3.5                                                        | CUSIP: 78350LAZ8<br>LEI: 549300TG86D8HZC6TE67 | Long             | LON              | CORP              | US        |    198009 | PA      | $198195.24    | 0.01%             | 2030-11-14      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST SLCLT_06-1                                | SLCLT_06-1                                                              | CUSIP: 784427AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158349 | PA      | $141862.84    | 0.00%             | 2055-03-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| HUNTERSTOWN GENERATION LLC                                       | KESTREL ACQUISITION LLC TLB 3.5                                         | CUSIP: 000000000<br>LEI: 549300ER0JUHJLPPMH08 | Long             | LON              | CORP              | US        |    184171 | PA      | $183772.91    | 0.01%             | 2031-11-06      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| SOUTHERN VETERINARY PARTNERS LLC                                 | SOUTHRN VETERAN PRTNS LLC TLB 3.25                                      | CUSIP: 000000000<br>LEI: 549300DT78GYJYRK0R74 | Long             | LON              | CORP              | US        |    253847 | PA      | $253948.34    | 0.01%             | 2031-12-04      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORPORATION LLC                       | EQUINIX EUROPE 2 FINANCING CORPORA                                      | CUSIP: 000000000<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $2049186.38   | 0.07%             | 2034-11-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMMUNICATIONS TLB5 2.25                                        | CUSIP: 000000000<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    542854 | PA      | $543602.93    | 0.02%             | 2031-12-15      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE OF (GOVERNMENT)                                   | OMAN GOVT INTL BOND                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    700000 | PA      | $715083.68    | 0.02%             | 2028-01-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HOLDINGS SCA                                    | MEDTRONIC GLOBAL HOLDINGS SCA                                           | CUSIP: 000000000<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |   1735000 | PA      | $1894848.65   | 0.07%             | 2031-03-07      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA                                                     | WORLDLINE SA                                                            | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |   2094960 | PA      | $2258263.62   | 0.08%             | 2026-07-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER                                                    | THERMO FISHER SCIENTIFIC INC                                            | CUSIP: 000000000<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2797265.78   | 0.10%             | 2028-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PARAGUAY REPUBLIC OF (GOVERNMENT)                                | PARAGUAY (REPUBLIC OF)                                                  | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    670000 | PA      | $665918.62    | 0.02%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                           | DIGITAL DUTCH FINCO BV                                                  | CUSIP: 000000000<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $800658.73    | 0.03%             | 2032-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                                | TENNET HOLDING BV                                                       | CUSIP: 000000000<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | NUSS              | NL        |    470000 | PA      | $599429.64    | 0.02%             | 2042-10-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WORLDLINE SA                                                     | WORLDLINE SA                                                            | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |    327500 | PA      | $451967.48    | 0.02%             | 2025-07-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL SWITCH FINANCE BV                                         | GLOBAL SWITCH FINANCE BV                                                | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |   1210000 | PA      | $1334055.44   | 0.05%             | 2030-10-07      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                       | VONOVIA SE                                                              | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |   2100000 | PA      | $2031231.89   | 0.07%             | 2032-09-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| OMAN SULTANATE OF (GOVERNMENT)                                   | OMAN (SULTANATE OF)                                                     | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    300000 | PA      | $312844.16    | 0.01%             | 2027-10-28      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                          | E.ON SE                                                                 | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |   2225000 | PA      | $2644168.24   | 0.09%             | 2033-04-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE LLC                                        | PROLOGIS EURO FINANCE LLC                                               | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1264389.44   | 0.04%             | 2034-05-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE LLC                                        | PROLOGIS EURO FINANCE LLC                                               | CUSIP: 000000000<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              | CORP              | US        |    545000 | PA      | $690681.43    | 0.02%             | 2033-05-23      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA (REPUBLIC OF)                                            | ROMANIA (REPUBLIC OF)                                                   | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1140000 | PA      | $976401.10    | 0.03%             | 2032-03-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                     | STRYKER CORPORATION                                                     | CUSIP: 000000000<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    835000 | PA      | $987156.05    | 0.03%             | 2032-09-11      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-23

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer